Scalping Dips in Bull Market Strategy

The Scalping Dips in Bull Market strategy is a trend-following strategy. It buys the dip during bull markets, sets a wide stop loss to lock in profits when exiting positions. This strategy is suitable for bull…

Pine ScriptScalping Mean reversion Trend following SMA

Author: ChaoZhang
Complexity: Intermediate · 55 lines
Parameters: 12
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

This strategy first calculates the percentage price change over a lookback period. When the price drops by more than the preset callback percentage, a buy signal is triggered. At the same time, the moving average line needs to be above the close price as a confirmation of the uptrend.

After entering a position, stop loss and take profit prices are set. The stop loss percentage is large to ensure sufficient funds; the take profit percentage is small for fast profit taking. When the stop loss or take profit is triggered, the position will be closed.

Advantage Analysis

The advantages of this strategy are:

Aligns with the trend following methodology to obtain excess returns
Reasonable callback percentage and trend criteria ensure accuracy
The stop loss design fully considers capital safety
Quick profit taking by take profit settings and drawdown control

Risk Analysis

There are also some risks with this strategy:

Overly deep retracement or trend reversal may lead to losses
Drawdown risk from the wide stop loss
Difficulty satisfying stop loss/profit conditions during range-bound markets

Counter measures: Strictly control position sizing, adjust stop loss percentage, properly reduce take profit exit ratio to mitigate risks.

Optimization Directions

The strategy can be optimized in the following aspects:

Dynamically adjust the callback percentage to optimize entry opportunities
Add more indicators to improve decision accuracy
Incorporate volatility measures to dynamically tune stop loss/profit ratios
Optimize position sizing to better control risks

Conclusion

The Scalping Dips in Bull Market strategy locks in excess returns using a wide stop loss. It capitalizes on buying callback dips in bull market trends for profit opportunities. Fine tuning parameters and risk controls can yield good steady returns.

Parameters

Name	Default	What it controls
v_input_1	true	From Month
v_input_2	10	From Day
v_input_3	2020	From Year
v_input_4	true	Thru Month
v_input_5	true	Thru Day
v_input_6	2112	Thru Year
v_input_7	true	Show Date Range
v_input_8	true	Lookback Period
v_input_9	50	Moving Average
v_input_10	2	v_input_10
v_input_11	10	v_input_11
v_input_12	3	v_input_12

Source Pine Script

/*backtest
start: 2023-12-30 00:00:00
end: 2024-01-29 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Coinrule

//@version=3
strategy(shorttitle='Scalping Dips On Trend',title='Scalping Dips On Trend (by Coinrule)', overlay=true, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 30, commission_type=strategy.commission.percent, commission_value=0.1)

//Backtest dates
fromMonth = input(defval = 1,  title = "From Month")     
fromDay   = input(defval = 10,    title = "From Day")       
fromYear  = input(defval = 2020, title = "From Year")       
thruMonth = input(defval = 1,    title = "Thru Month")     
thruDay   = input(defval = 1,    title = "Thru Day")     
thruYear  = input(defval = 2112, title = "Thru Year")       

showDate  = input(defval = true, title = "Show Date Range")

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true

inp_lkb = input(1, title='Lookback Period')
 
perc_change(lkb) =>
    overall_change = ((close[0] - close[lkb]) / close[lkb]) * 100

// Call the function    
overall = perc_change(inp_lkb)

//MA inputs and calculations
MA=input(50, title='Moving Average')

MAsignal = sma(close, MA)

//Entry

dip= -(input(2))

strategy.entry(id="long", long = true, when = overall< dip and MAsignal > close and window()) 

//Exit
Stop_loss= ((input (10))/100)
Take_profit= ((input (3))/100)

longStopPrice  = strategy.position_avg_price * (1 - Stop_loss)
longTakeProfit = strategy.position_avg_price * (1 + Take_profit)

strategy.close("long", when = close < longStopPrice or close > longTakeProfit and window())

Published by ChaoZhang on the FMZ strategy square · last modified 2024-01-30. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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