Short term Trading Strategy Integrating MACD and RSI

This strategy is named "Short-term Trading Strategy Integrating MACD and RSI". It combines the signals from the MACD and RSI indicators to capture market fluctuations over short timeframes for profit. MACD stands for…

Pine ScriptMean reversion Momentum Trend following RSI MACD

Author: ChaoZhang
Complexity: Intermediate · 88 lines
Parameters: 15
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

MACD stands for Moving Average Convergence Divergence. It consists of the fast line, slow line, and histogram. When the fast line crosses above the slow line, it signals strengthening short-term price momentum and generates a buy signal. When the fast line crosses below the slow line, it signals weakening momentum and generates a sell signal.

RSI stands for Relative Strength Index. It reflects overbought and oversold conditions of prices. RSI below 20 is oversold, and above 80 is overbought. Overbought zones are warnings of potential price drops, while oversold zones warn of potential bounces.

This strategy's trade signals come from two aspects:

First, MACD line crossovers and histogram changes. When the histogram changes from negative to positive, it shows increasing momentum in price in the short run, indicating opportunities to buy. When histogram changes from positive to negative, it shows fading momentum and suggests selling.

Second, RSI overbought/oversold levels. Combining RSI helps filter some false signals from MACD. Buying only when RSI is low and selling only when RSI is high improves accuracy.

The advantage of this strategy is combining the strengths of the two indicators for more accurate trade signals, and sensitively capturing short-term fluctuations. But MACD and RSI parameters need optimization to prevent overtrading. Stop loss levels also need to be reasonable to control single trade loss.

In summary, this strategy suits nimble short-term trading, catching profit opportunities from short-term reversals. But active risk management and close market monitoring are required to adjust parameters timely.

Parameters

Name	Default	What it controls
v_input_1	true	From Month
v_input_2	true	From Day
v_input_3	2019	From Year
v_input_4	true	To Month
v_input_5	true	To Day
v_input_6	2020	To Year
v_input_7	20	RSI Oversold
v_input_8	80	RSI Overbought
v_input_9	14	RSI Length
v_input_10	12	MACD fast
v_input_11	26	MACD slow
v_input_12	9	MACD length
v_input_13	10	Stop Loss (price %)
v_input_14	50	Take Profit (price %)
v_input_15	2	Take Position Threshold

Source Pine Script

/*backtest
start: 2022-09-06 00:00:00
end: 2023-09-12 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Uraynium V3", overlay=false, pyramiding = 0, calc_on_every_tick=true, precision=1, currency="USD", default_qty_value=10, default_qty_type=strategy.cash,initial_capital=100,commission_type=strategy.commission.percent,commission_value=0.1) 
// === INPUT BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2019, title = "From Year", minval = 2017)
ToMonth   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear    = input(defval = 2020, title = "To Year", minval = 2017)

// === FUNCTION EXAMPLE ===
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
inTimeframe()  => true

overSold      = input( 20 , minval = 1, title = "RSI Oversold")
overBought    = input( 80 , minval = 1, title = "RSI Overbought")
rsiLength     = input(14, minval = 1, title = "RSI Length")
fastLength    = input(12, minval = 1, title = "MACD fast")
slowlength    = input(26, minval = 1, title = "MACD slow")
MACDLength    = input( 9, minval = 1, title = "MACD length")
stopLoss      = input(   10, minval = 1, title = "Stop Loss (price %)")
takeProfit    = input(   50, minval = 1, title = "Take Profit (price %)")
triggerPosLvl = input(    2, minval = 1 ,title ="Take Position Threshold", type=input.float)
src = close

// === CALC ===

stopLossValue        = close*(stopLoss/100)/syminfo.mintick
takeProfitValue      = close*(takeProfit/100)/syminfo.mintick

vrsi = rsi(src, rsiLength)
//avgRSI = vrsi*0.5 + vrsi[1]*0.25 + vrsi[2]*0.125 + vrsi[3]*0.0625
avgRSI = (4*vrsi + 3*vrsi + 2*vrsi[2] + vrsi[3])/10
[macdLine, signalLine, histLine] = macd(src, fastLength, slowlength, MACDLength)


MACDdelta         = signalLine - macdLine
isMACDRunLong     = signalLine > macdLine
isMACDRunShort    = macdLine < signalLine
isMACDSwitchLong  = crossover(MACDdelta, 0)
isMACDSwitchShort = crossunder(MACDdelta, 0)
isMACDCross       = crossover(MACDdelta, 0) or crossunder(MACDdelta, 0)

buySignal =  (histLine-histLine[1]) + (avgRSI - avgRSI[1])

// === ACTION ===
isPosLong    = strategy.position_size > 0
isPosShort   = strategy.position_size < 0
isNoMarginPos= strategy.position_size == 0
entryLong  = (isNoMarginPos or isPosShort) and ( buySignal >  triggerPosLvl )
entryShort = (isNoMarginPos or isPosLong ) and ( buySignal < -triggerPosLvl ) 

if inTimeframe()
    strategy.entry("Long" , strategy.long,  comment="Entry Long",  when=entryLong )
    strategy.entry("Short", strategy.short, comment="Entry Short", when=entryShort)
    strategy.entry("Long" , strategy.long,  comment="Switch Long", when=entryLong)
    strategy.entry("Short", strategy.short, comment="Switch Short",when=entryShort)
    strategy.exit("Stop (long SL/TP)",  loss=stopLossValue, profit=takeProfitValue, when=entryLong )  
    strategy.exit("Stop (short SL/TP)", loss=stopLossValue, profit=takeProfitValue, when=entryShort)  
    strategy.close("Long" , when=entryShort)
    strategy.close("Short", when=entryLong)    

// === DRAW ===
posColor = isNoMarginPos ?  color.black : isPosLong ? color.green : color.red
plot(100, color=posColor,style=plot.style_area, transp=90, histbase=0)
        
plot(buySignal+overBought, color=color.green)
plot(50+macdLine/4, color=color.yellow)
plot(50+signalLine/4, color=color.orange)
histColor = histLine[1]-histLine > 0 ? color.red : color.green
plot(overSold+histLine/2, color=histColor, style=plot.style_histogram, histbase=overSold, transp=50, linewidth=2)

rsicolor = avgRSI>overBought ? color.red : avgRSI<overSold ? color.green : color.blue
plot(avgRSI,color=rsicolor, linewidth=2)
//plot(vrsi,color=color.purple, linewidth=2)
hline(overBought, color=color.red)
hline(overSold, color=color.green)
hline(50, color=color.gray)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-13. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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