ORIGINAL PRIMITIVE TREND TRACKING STRATEGY BASED ON MOVING AVERAGE

This strategy is based on the body of the candle, combined with the EMA indicator to judge the market trend direction, to achieve the ORIGINAL PRIMITIVE TREND TRACKING effect. Go long when there is a large yang line…

Pine ScriptTrend following Breakout EMA

Author: ChaoZhang
Complexity: Intermediate · 41 lines
Parameters: 10
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Principle

Calculate the average body length sbody of the last 30 K-line candles
When the latest K-line is a yang line and the body length is greater than sbody/2, go long
When already long, if the latest K-line is a yin line, the body length is greater than sbody/2, and the current position is profitable, then close the long position
When the latest K-line is a yin line and the body length is greater than sbody/2, go short
When already short, if the latest K-line is a yang line, the body length is greater than sbody/2, and the current position is profitable, then close the short position

Advantage Analysis

This strategy has the following advantages:

Original and simple, easy to understand and implement
Based on candle structure judgment, has some effect on catching breakouts
Track trends, can capture larger moves
Fast stop loss when profitable, helps lock in profits

Risk Analysis

This strategy also has some risks:

Unable to effectively filter false breakouts, may cause unnecessary losses
Judging only by candles is susceptible to slippage and gap influence
Did not consider the problem of excessive trading frequency

Risks can be reduced by:

Combine with other indicators to filter signals
Set stop loss strategy
Optimize parameters to control trade frequency

Optimization Directions

This strategy can be optimized in the following aspects:

Add breakout indicators to filter false breakouts
Add stop loss strategy to reduce single loss
Incorporate trend indicators to verify trend direction
Parameter optimization to find the best parameter combination

Summary

This strategy belongs to the original simple trend tracking strategy. By judging candle structures, it can effectively track trend directions. At the same time, setting a fast stop loss mechanism can lock in profits. This strategy can supplement the trend tracking portfolio, but still needs to be optimized to reduce risks. It is worth further researching the effect of combining with other indicators in the future.

Parameters

Name	Default	What it controls
v_input_1	true	Long
v_input_2	true	Short
v_input_3	true	Use body
v_input_4	true	Use UUP
v_input_5	1900	From Year
v_input_6	2100	To Year
v_input_7	true	From Month
v_input_8	true	To Month
v_input_9	true	From day
v_input_10	31	To day

Source Pine Script

/*backtest
start: 2023-10-23 00:00:00
end: 2023-11-22 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy(title = "Noro's Primitive Strategy v1.0", shorttitle = "Primitive str 1.0", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100.0, pyramiding = 10)

//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
usebody = input(true, defval = true, title = "Use body")
useus = input(true, defval = true, title = "Use UUP")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(01, defval = 01, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")

//Logic
body = abs(close - open)
sbody = ema(body, 30) / 2
bar = close > open ? 1 : close < open ? -1 : 0

//Signals
up = bar == -1 and (body > sbody or usebody == false) and (close < strategy.position_avg_price or strategy.position_size <= 0 or useus == false)
dn = bar == 1 and (body > sbody or usebody == false) and (close > strategy.position_avg_price or strategy.position_size >= 0 or useus == false)

//Trading
if up
    strategy.entry("Long", strategy.long, needlong == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 00, 00)))

if dn
    strategy.entry("Short", strategy.short, needshort == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 00, 00)))
    
if time > timestamp(toyear, tomonth, today, 00, 00)
    strategy.close_all()

Published by ChaoZhang on the FMZ strategy square · last modified 2023-11-23. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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