Simple Trend Following Strategy 426834

This strategy combines moving averages and Hull curves to identify market trend direction and follow through on trends. The main logic is: 1. McGinley Dynamic MA judges overall trend direction 2. Hull curve…

Pine ScriptTrend following EMA SMA

Author: ChaoZhang
Complexity: Intermediate · 82 lines
Parameters: 14
Backtest bar: 4h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Strategy Logic

This strategy combines moving averages and Hull curves to identify market trend direction and follow through on trends.

The main logic is:

McGinley Dynamic MA judges overall trend direction
Hull curve crossovers generate specific long/short signals
Optional confirmation indicators for signal verification
Risk management via stop loss and take profit principles
Close positions when Hull curve reverses

The strategy aims to mechanically systematize trend following, minimizing individual subjective influences.

Advantages

MA judges overall direction, flexible confirmations
Hull clear long/short signals
Rules-based risk management minimizes errors

Risks

Parameter tuning and filters require optimization
Trend accuracy has uncertainties
Hull curve prone to lagging signals

Summary

This strategy seeks to systematize trend following operations to match market rhythm. But parameter optimization and indicator limitations warrant caution for stability.

Parameters

Name	Default	What it controls
v_input_1	false	=== Risk management settings ===
v_input_2	true	% Risk
v_input_3	2	Risk Reward Ratio
v_input_4	5	StopLoss %
v_input_5	false	=== Baseline - Switch L/S ===
v_input_6_close	0	McGinley source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_7	50	McG length
v_input_8	false	=== Confirmation indicator ===
v_input_9	false	Confirmation indicator Activation
v_input_10_ohlc4	0	Source: ohlc4 \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| close
v_input_11	5	Length
v_input_12	false	=== Entry indicator configuration ===
v_input_13_ohlc4	0	Source: ohlc4 \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| close
v_input_14	50	Length HMA

Source Pine Script

/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// © Milleman
//@version=4
strategy("Millebot", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital=100000, commission_type=strategy.commission.percent, commission_value=0.04)

// Risk management settings
Spacer2 = input(false, title="=== Risk management settings ===")
Risk = input(1.0, title="% Risk")/100
RRR = input(2,title="Risk Reward Ratio",step=0.1,minval=0,maxval=20)
SL = input(5,title="StopLoss %",step=0.25)/100

// Baseline : McGinley Dynamic
Spacer3 = input(false, title="=== Baseline - Switch L/S ===")
McG_Source = input(close, title="McGinley source")
McG_length = input(50, title=" McG length", minval=1)
McG_LS_Switch = 0.0
McG_LS_Switch := na(McG_LS_Switch[1]) ? ema(McG_Source, McG_length) : McG_LS_Switch[1] + (McG_Source - McG_LS_Switch[1]) / (McG_length * pow(McG_Source/McG_LS_Switch[1], 4))

// Confirmation indicator
Spacer4 = input(false, title="=== Confirmation indicator ===")
C1_Act = input(false, title=" Confirmation indicator Activation")
C1_src = input(ohlc4, title="Source")
C1_len = input(5,title="Length")
C1 = sma(C1_src,C1_len)

// Entry indicator : Hull Moving Average
Spacer5 = input(false, title="=== Entry indicator configuration ===")
src = input(ohlc4, title="Source")
length = input(50,title="Length HMA")
HMA = ema(wma(2*wma(src, length/2)-wma(src, length), round(sqrt(length))),1)

//VARIABLES MANAGEMENT
TriggerPrice = 0.0, TriggerPrice := TriggerPrice[1]
TriggerxATR = 0.0, TriggerxATR := TriggerxATR[1]
SLPrice = 0.0, SLPrice := SLPrice[1], TPPrice = 0.0, TPPrice := TPPrice[1]
isLong = false, isLong := isLong[1], isShort = false, isShort := isShort[1]

//LOGIC
GoLong = crossover(HMA[0],HMA[1]) and strategy.position_size == 0.0 and (McG_LS_Switch/McG_LS_Switch[1] > 1) and (not C1_Act or C1>C1[1])
GoShort = crossunder(HMA[0],HMA[1]) and strategy.position_size == 0.0 and (McG_LS_Switch/McG_LS_Switch[1] < 1) and (not C1_Act or C1<C1[1])

//FRAMEWORK

//Long
if GoLong and not GoLong[1]
    isLong := true, TriggerPrice := close
    TPPrice := TriggerPrice * (1 + (SL * RRR))
    SLPrice := TriggerPrice * (1-SL)
    Entry_Contracts = strategy.equity * Risk / ((TriggerPrice-SLPrice)/TriggerPrice) / TriggerPrice //Het aantal contracts moet meegegeven worden. => budget * risk / %afstand tot SL / prijs = aantal contracts
    strategy.entry("Long", strategy.long, comment=tostring(round(TriggerxATR/TriggerPrice*1000)), qty=Entry_Contracts)
    strategy.exit("TPSL","Long", limit=TPPrice, stop=SLPrice, qty_percent = 100)
if isLong and crossunder(HMA[0],HMA[1])
    strategy.close_all(comment="TrendChange")
    isLong := false

//Short
if GoShort and not GoShort[1]
    isShort := true, TriggerPrice := close
    TPPrice := TriggerPrice * (1 - (SL * RRR))
    SLPrice := TriggerPrice * (1 + SL)
    Entry_Contracts = strategy.equity * Risk / ((SLPrice-TriggerPrice)/TriggerPrice) / TriggerPrice //Het aantal contracts moet meegegeven worden. => budget * risk / %afstand tot SL / prijs = aantal contracts
    strategy.entry("Short", strategy.short, comment=tostring(round(TriggerxATR/TriggerPrice*1000)), qty=Entry_Contracts)
    strategy.exit("TPSL","Short", limit=TPPrice, stop=SLPrice)//, qty_percent = 100)
if isShort and crossover(HMA[0],HMA[1])
    strategy.close_all(comment="TrendChange")
    isShort := false

//VISUALISATION
plot(McG_LS_Switch,color=color.blue,title="Baseline")
plot(C1_Act?C1:na,color=color.white,title="confirmation Indicator")
plot(HMA, color=(HMA[0]>HMA[1]? color.green : color.red), linewidth=4, transp=40, title="Entry Indicator")
plot(isLong or isShort ? TPPrice : na, title="TakeProfit", color=color.green, style=plot.style_linebr)
plot(isLong or isShort ? SLPrice : na, title="StopLoss", color=color.red, style=plot.style_linebr)
bgcolor(isLong[1] and cross(low,SLPrice) and low[1] > SLPrice ? color.yellow : na, transp=75, title="SL Long")
bgcolor(isShort[1] and cross(high,SLPrice) and high[1] < SLPrice ? color.yellow : na, transp=75, title="SL Short")

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-14. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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