Solid and Steady SMA Position Holding Strategy

This strategy is a simple position holding strategy based on SMA lines. It goes long when the short term SMA line crosses over the long term SMA line, and closes position when the short term SMA line crosses below…

Pine ScriptTrend following MACD EMA SMA ATR

Author: ChaoZhang
Complexity: Intermediate · 89 lines
Parameters: 15
Backtest bar: 1d · swing
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Principle

The strategy uses two SMA lines, one short term 20-day line and one long term 50-day line. The short term line can catch price trend changes faster, while the long term line filters out short term noise. When the short term line rises quickly above the long term line, it indicates the trend may have started a long term upturn, so we go long here. When the short term line drops below the long term line, it suggests the uptrend may have ended, so we close position here.

In summary, this strategy utilizes the curve features of SMA lines to determine price movement trends on two time dimensions, and makes stable profits with relatively steady position holding.

Advantage Analysis

The advantages of this strategy include:

Simple to operate, easy to understand, low barrier to use
Relatively stable by leveraging the strengths of SMA lines
Long holding periods, less impacted by short term market noise
Few configurable parameters, easy to find optimal parameter combinations

Risk Analysis

The risks of this strategy include:

More stop losses possible when prolonged range-bound markets
SMA lines have lagging effect, cannot catch immediate price changes
Unable to capitalize on short term spike pullback patterns
Unable to control single trade loss size

Optimization Directions

This strategy can be further optimized in the following aspects:

Add MACD indicator to identify bottom rebound timing for less losses during range-bound markets
Test different SMA line parameter combinations to find optimal
Incorporate domestic indicators for spotting trend divergence, improving entry accuracy
Add profit taking and stop loss mechanisms to control per trade profit/loss

Summary

In summary, this SMA position holding strategy is stable, simple and easy to operate, suitable for beginner live trading. As algo trading keeps evolving, this strategy can incorporate more indicators and techniques for better performance.

Parameters

Name	Default	What it controls
v_input_1	14	Length
v_input_2	true	Highlight Movements ?
v_input_3_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_float_1	true	Long Take Profit 1 %
v_input_int_1	10	Long Take Profit 1 Qty
v_input_float_2	5	Long Take Profit 2%
v_input_int_2	50	Long Take Profit 2 Qty
v_input_float_3	2.2	SL Mutiplier
v_input_int_3	17	ATR period
v_input_4	2022	Backtest Start Year
v_input_5	true	Backtest Start Month
v_input_6	true	Backtest Start Day
v_input_7	9999	Backtest Stop Year
v_input_8	12	Backtest Stop Month
v_input_9	31	Backtest Stop Day

Source Pine Script

/*backtest
start: 2022-12-11 00:00:00
end: 2023-12-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy('Zlema Strateg Long 5m', overlay=true )

// FUNCTIONS

Atr(p) =>
    atr = 0.
    Tr = math.max(high - low, math.max(math.abs(high - close[1]), math.abs(low - close[1])))
    atr := nz(atr[1] + (Tr - atr[1]) / p, Tr)
    atr

// ZLEMA
length = input(title='Length', defval=14)
highlightMovements = input(title='Highlight Movements ?', defval=true)
src = input(title='Source', defval=close)

lag = math.floor((length - 1) / 2)

zlema = ta.ema(src + src - src[lag], length)

zlemaColor = highlightMovements ? zlema > zlema[1] ? color.green : color.red : #6d1e7f
plot(zlema, title='ZLEMA', linewidth=2, color=zlemaColor, transp=0)


// TAKE PROFIT AND STOP LOSS
long_tp1_inp = input.float(1, title='Long Take Profit 1 %', step=0.1) / 100
long_tp1_qty = input.int(10, title='Long Take Profit 1 Qty', step=1)

long_tp2_inp = input.float(5, title='Long Take Profit 2%', step=0.1) / 100
long_tp2_qty = input.int(50, title='Long Take Profit 2 Qty', step=1)

long_take_level_1 = strategy.position_avg_price * (1 + long_tp1_inp)
long_take_level_2 = strategy.position_avg_price * (1 + long_tp2_inp)




// Stop Loss
multiplier = input.float(2.2, 'SL Mutiplier', minval=1, step=0.1)
ATR_period = input.int(17, 'ATR period', minval=1, step=1)

// Strategy
entry_long = zlema > zlema[1]
entry_price_long = ta.valuewhen(entry_long, close, 0)
SL_floating_long = entry_price_long - multiplier * Atr(ATR_period)
exit_long = zlema < zlema[1]

///// BACKTEST PERIOD ///////
testStartYear = input(2022, 'Backtest Start Year')
testStartMonth = input(1, 'Backtest Start Month')
testStartDay = input(1, 'Backtest Start Day')
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0)

testStopYear = input(9999, 'Backtest Stop Year')
testStopMonth = input(12, 'Backtest Stop Month')
testStopDay = input(31, 'Backtest Stop Day')
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)

testPeriod() =>
    time >= testPeriodStart and time <= testPeriodStop ? true : false

if testPeriod()
    strategy.entry('long', strategy.long, comment='Long', when=entry_long)
    strategy.exit('TP1', 'long', qty_percent=long_tp1_qty, limit=long_take_level_1)  //, trail_points=entry_price_long * long_trailing / syminfo.mintick, trail_offset=entry_price_long * long_trailing / syminfo.mintick)
    strategy.exit('TP2', qty_percent=long_tp2_qty, limit=long_take_level_2)  //, trail_points=entry_price_long * long_trailing / syminfo.mintick, trail_offset=entry_price_long * long_trailing / syminfo.mintick)
    strategy.close('long', when=exit_long, comment='exit long')


// LONG POSITION
plot(strategy.position_size > 0 ? long_take_level_1 : na, style=plot.style_linebr, color=color.new(color.green, 0), linewidth=1, title='1st Long Take Profit')
plot(strategy.position_size > 0 ? long_take_level_2 : na, style=plot.style_linebr, color=color.new(color.green, 0), linewidth=1, title='2nd Long Take Profit')
plot(strategy.position_size > 0 ? SL_floating_long : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Long Stop Loss')


if testPeriod()
    strategy.entry('long', strategy.long, comment='Long', when=entry_long)


// LONG POSITIONplot(strategy.position_size > 0 ? SL_floating_long : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Long Stop Loss')

Published by ChaoZhang on the FMZ strategy square · last modified 2023-12-18. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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