Robot White Box Iceberg Strategy

Author: ChaoZhang
Complexity: Intermediate · 111 lines
Parameters: 22
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

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Overview

This strategy is based on moving average trading. It sets up three levels of long and short entry lines to implement bidirectional opening positions, belonging to the trend following strategy. When the price breaks through the moving average, the strategy opens long and short positions in batches by placing pending orders.

Strategy Logic

The strategy mainly uses the breakthrough of the moving average to determine the trend direction. Specifically, it calculates the arithmetic mean of opening price, closing price, highest price, lowest price and so on to obtain a moving average indicator. Then it sets up long entry lines above the moving average and short entry lines below it. When the price breaks through the moving average from below, long orders are triggered one by one. When the price breaks through from above, short orders are triggered one by one.

The number of long and short orders increases progressively. By setting pending orders, it implements batch opening positions. For example, entry line 1 triggers opening 1 contract long/short, entry line 2 triggers adding 1 contract, and entry line 3 adds another 1 contract. This helps diversify the entry cost and reduce the risk of a single order.

The strategy also has a hedging mechanism. When the position size is not 0, it will set a trailing stop loss order based on the moving average price. If the price breaks through the moving average again, it will close the position to lock in partial profit and protect the capital.

In summary, this strategy makes full use of the moving average indicator to determine the trend direction, maximizes the profit range through multiple entry lines, and controls risks with stop loss orders. It is a typical trend following strategy.

Advantage Analysis

The advantages of this strategy are:

Using moving average to determine the trend direction is clear and feasible. Moving averages can filter market noise effectively and determine the main trend direction.
Multiple entry lines maximize the use of trend runs. With multiple entry lines, it can capture the whole run range of the trend as much as possible and expand the profit space.
Opening positions in batches reduces single order risk. Entering the market in multiple times diversifies the risks of orders and reduces the average holding cost.
The hedging stop loss mechanism effectively controls risks. The hedging stop loss order realizes quick stop loss when price breaks the moving average again, avoiding huge losses.
The strategy logic is clear and easy to understand, with flexible parameter settings that can be optimized for different markets.

Risk Analysis

There are some risks in this strategy:

The probability of wrong signals from the moving average. Moving averages have lag and may give wrong signals.
Trend reversal risk leading to losses. The strategy assumes a trend, so trend reversals can lead to huge losses.
Too frequent entry lines increase trading frequency and slippage costs.
Batch opening positions increases concentration risk when position size is too large.
Improper stop loss point settings may lead to premature stop loss or the stop loss point is too small.

Corresponding risk management measures:

Optimize moving average parameters and select proper periods.
Pay attention to key technical indicators to spot trend reversal signals and stop loss in time.
Adjust the distance between entry lines to decrease trading frequency.
Optimize position sizing and proportion to control concentration risk.
Backtest and optimize stop loss points to reduce stop loss risk.

Optimization Directions

The strategy can be optimized from the following aspects:

Test different moving average parameters and data sources to find the best performing moving average indicator for determining trends.
Optimize the interval distance and position size proportion of long and short entry lines to find the optimal parameters.
Add other indicators as filter conditions to avoid wrong signals from the moving average, such as MACD, RSI etc.
Optimize stop loss line position, or set stop loss points dynamically based on ATR.
Add judgment of trend reversal to set close all positions conditions.
Optimize parameters for different market periods.
Add dynamic adjustment of position size based on account usage percentage.

Summary

This strategy judges the trend direction mainly based on moving averages, and takes advantage of trend runs as the profit source. By using multiple entry lines and opening positions in batches, it can effectively capture trends and expand profit zones. At the same time, stop loss mechanisms are used to control risks. The strategy logic is simple and clear, suitable for beginners to learn, and also for deep optimization. It is a typical trend following strategy.

Parameters

Name	Default	What it controls
v_input_1	100	Lot
v_input_2	3	MA Length
v_input_3	0	Data: 7. OHLC4 \| 2. High \| 3. Low \| 4. Close \| 5. HL2 \| 6. HLC3 \| 1. Open \| 8. OC2 \| 9. PCMA
v_input_4	true	short 3
v_input_5	true	short 2
v_input_6	true	short 1
v_input_7	true	long 1
v_input_8	true	long 2
v_input_9	true	long 3
v_input_10	15	Short line 3
v_input_11	10	Short line 2
v_input_12	5	Short line 1
v_input_13	-5	Long line 1
v_input_14	-10	Long line 2
v_input_15	-15	Long line 3
v_input_16	true	Offset
v_input_17	1900	From Year
v_input_18	2100	To Year
v_input_19	true	From Month
v_input_20	12	To Month
v_input_21	true	From day
v_input_22	31	To day

Source Pine Script

/*backtest
start: 2022-09-19 00:00:00
end: 2023-09-25 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2019

//@version=4
strategy(title = "Robot WhiteBox Iceberg", shorttitle = "Robot WhiteBox Iceberg", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 3)

//Settings
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Lot")
len = input(3, minval = 1, title = "MA Length")
s = input(defval = "7. OHLC4", options = ["1. Open", "2. High", "3. Low", "4. Close", "5. HL2", "6. HLC3", "7. OHLC4", "8. OC2", "9. PCMA"], title = "Data")
short3 = input(true, title = "short 3")
short2 = input(true, title = "short 2")
short1 = input(true, title = "short 1")
long1 = input(true, title = "long 1")
long2 = input(true, title = "long 2")
long3 = input(true, title = "long 3")
shortlevel3 = input(15.0, title = "Short line 3")
shortlevel2 = input(10.0, title = "Short line 2")
shortlevel1 = input(5.0, title = "Short line 1")
longlevel1 = input(-5.0, title = "Long line 1")
longlevel2 = input(-10.0, title = "Long line 2")
longlevel3 = input(-15.0, title = "Long line 3")
needoffset = input(true, title = "Offset")
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(12, defval = 12, 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")

//Variables
lots = 0.0
size = strategy.position_size
mult = 1 / syminfo.mintick
needtime = true

//MA
oc2 = (open + close) / 2
pcma = (highest(high, len) + lowest(low, len)) / 2
src = s == "1. Open" ? open : s == "2. High" ? high : s == "3. Low" ? low : s == "4. Close" ? close : s == "5. HL2" ? hl2 : s == "6. HLC3" ? hlc3 : s == "7. OHLC4" ? ohlc4 : s == "8. OC2" ? oc2: close
sma = sma(src, len)
ma = s == "9. PCMA" ? round(pcma * mult) / mult : round(sma * mult) / mult

//Levels
longline1 = 0.0
longline2 = 0.0
longline3 = 0.0
shortline1 = 0.0
shortline2 = 0.0
shortline3 = 0.0
longline1 := long1 ? round(ma * ((100 + longlevel1) / 100) * mult) / mult : close
longline2 := lots[1] == 0 ? long2 ? round(ma * ((100 + longlevel2) / 100) * mult) / mult : close : longline2[1]
longline3 := lots[1] == 0 ? long3 ? round(ma * ((100 + longlevel3) / 100) * mult) / mult : close : longline3[1]
shortline1 := short1 ? round(ma * ((100 + shortlevel1) / 100) * mult) / mult : close
shortline2 := lots[1] == 0 ? short2 ? round(ma * ((100 + shortlevel2) / 100) * mult) / mult : close : shortline2[1]
shortline3 := lots[1] == 0 ? short3 ? round(ma * ((100 + shortlevel3) / 100) * mult) / mult : close : shortline3[1]

//Lines
colorlong1 = long1 ? color.lime : na
colorlong2 = long2 ? color.lime : na
colorlong3 = long3 ? color.lime : na
colorshort1 = short1 ? color.red : na
colorshort2 = short2 ? color.red : na
colorshort3 = short3 ? color.red : na
offset = needoffset ? 1 : 0
plot(shortline3, offset = offset, color = colorshort3, title = "Short line 3")
plot(shortline2, offset = offset, color = colorshort2, title = "Short line 2")
plot(shortline1, offset = offset, color = colorshort1, title = "Short line 1")
plot(ma, offset = offset, color = color.blue, title = "MA line")
plot(longline1, offset = offset, color = colorlong1, title = "Long line 1")
plot(longline2, offset = offset, color = colorlong2, title = "Long line 2")
plot(longline3, offset = offset, color = colorlong3, title = "Long line 3")

//Trading
lot = 0.0
lot := size == 0 ? strategy.equity / close * capital / 100 : lot[1]
if ma > 0
    lots := round(size / lot)
    strategy.entry("L1", strategy.long, lot, limit = longline1, when = (lots == 0 and long1 and needtime))
    lots := round(size / lot)
    strategy.entry("L2", strategy.long, lot, limit = longline2, when = (lots <= 1 and long2 and needtime))
    lots := round(size / lot)
    strategy.entry("L3", strategy.long, lot, limit = longline3, when = (lots <= 2 and long3 and needtime))
    lots := round(size / lot)
    strategy.entry("S1", strategy.short, lot, limit = shortline1, when = (lots == 0 and short1 and needtime))
    lots := round(size / lot)
    strategy.entry("S2", strategy.short, lot, limit = shortline2, when = (lots >= -1 and short2 and needtime))
    lots := round(size / lot)
    strategy.entry("S3", strategy.short, lot, limit = shortline3, when = (lots >= -2 and short3 and needtime))
if size > 0
    strategy.entry("TPL", strategy.short, 0, limit = ma, when = needtime)
if size < 0
    strategy.entry("TPS", strategy.long, 0, limit = ma, when = needtime)
if time > timestamp(toyear, tomonth, today, 23, 59)
    strategy.close_all()
    strategy.cancel("L1")
    strategy.cancel("L2")
    strategy.cancel("L3")
    strategy.cancel("S1")
    strategy.cancel("S2")
    strategy.cancel("S3")
    strategy.cancel("TPL")
    strategy.cancel("TPS")

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-26. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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