Super BitMoon quantitative momentum trading strategy

This strategy is called Super BitMoon. It is a short-term quantitative momentum trading strategy suitable for Bitcoin. The strategy has both long and short capabilities, allowing it to trade when Bitcoin breaks…

Pine ScriptMomentum Mean reversion Trend following RSI SMA Bollinger Bands ATR

Author: ChaoZhang
Complexity: Intermediate · 83 lines
Parameters: 15
Backtest bar: 5m · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

How the strategy works:

Use the ATR indicator to calculate recent volatility range and stop loss levels. When the price breaks through the previous candle's stop loss level, it signals a trend reversal.
Use the Weighted Moving Average (WVF) and Bollinger Bands to determine if Bitcoin is overbought or oversold. If the WVF crosses below the Bollinger upper band, the market may be oversold and present a long opportunity.
Use the RSI indicator to check if Bitcoin is oversold. If the RSI is below two oversold lines, it presents an opportunity to buy the dip.

Specific trading rules:

If WVF crosses below Bollinger upper band, and price is above ATR stop loss level, go long Bitcoin.
If RSI goes below 50 or 30 oversold lines, go short Bitcoin.

Advantages of this strategy:

Has both long and short capabilities for two-way trading.
Uses ATR stops to control risk and limit losses.
Uses WVF, Bollinger Bands and RSI together to improve signal accuracy.

Risks of this strategy:

Incorrect Bollinger and RSI parameters may generate bad signals.
Sudden price spikes or crashes may trigger stop loss.
Transaction costs impact profitability.

In summary, Super BitMoon is a solid quantitative momentum strategy ideal for short-term Indicators combos trading, with both trend following and mean reversion characteristics. With proper parameter tuning, it can achieve good risk-reward ratio. But traders still need to consider cost control and money management to reduce risks in live trading.

Parameters

Name	Default	What it controls
v_input_1	true	From Month
v_input_2	true	From Day
v_input_3	2011	From Year
v_input_4	12	To Month
v_input_5	31	To Day
v_input_6	2018	To Year
v_input_7	5	ATR Stop's Length
v_input_8	true	ATR Stop's Multiple
v_input_9	10	Synthetic VIX's Length
v_input_10	2	Synthetic VIX's Bollinger Band's Length
v_input_11	0.01	Synthetic VIX's Bollinger Band's Std Dev
v_input_12	10	RSI's Length
v_input_13	50	RSI's Oversold Level 1
v_input_14	50	RSI's Oversold Level 2
v_input_15	true	Strategy Direction

Source Pine Script

/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-08 09:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("Super BitMoon v1", overlay=false, commission_value = 0.25, default_qty_type=strategy.percent_of_equity, default_qty_value = 100)

/////////////////////////////////////////////////////////////
//START - SET DATE RANGE

// === BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1)
FromDay   = input(defval = 1, title = "From Day", minval = 1)
FromYear  = input(defval = 2011, title = "From Year")
ToMonth   = input(defval = 12, title = "To Month", minval = 1)
ToDay     = input(defval = 31, title = "To Day", minval = 1)
ToYear    = input(defval = 2018, title = "To Year")

startDate = time > timestamp(FromYear, FromMonth, FromDay, 00, 00)
endDate = time < timestamp(ToYear, ToMonth, ToDay, 23, 59)
withinTimeRange = true

/////////////////////////////////////////////////////////////
//END - SET DATE RANGE



/////////////////////////////////////////////////////////////
//START - INDICATORS

//ATR STOPS TREND FILTER
length = input(5, title="ATR Stop's Length")
mult = input(1, minval=0.01, title="ATR Stop's Multiple")
atr_ = atr(length)
max1 = max(nz(max_[1]), close)
min1 = min(nz(min_[1]), close)
is_uptrend_prev = nz(is_uptrend[1], true)
stop = is_uptrend_prev ? max1 - mult * atr_ : min1 + mult * atr_
vstop_prev = nz(vstop[1])
vstop1 = is_uptrend_prev ? max(vstop_prev, stop) : min(vstop_prev, stop)
is_uptrend = close - vstop1 >= 0
is_trend_changed = is_uptrend != is_uptrend_prev
max_ = is_trend_changed ? close : max1
min_ = is_trend_changed ? close : min1
vstop = is_trend_changed ? is_uptrend ? max_ - mult * atr_ : min_ + mult * atr_ : vstop1

//SYNTHETIC VIX
pd = input(10, title="Synthetic VIX's Length")
bbl = input(2, title="Synthetic VIX's Bollinger Band's Length")
mult2 = input(0.01, minval=0.01, title="Synthetic VIX's Bollinger Band's Std Dev")
wvf = ((highest(close, pd)-low)/(highest(close, pd)))*100
sDev = mult2 * stdev(wvf, bbl)
midLine = sma(wvf, bbl)
upperBand = midLine + sDev

//RSI
rsi = rsi(close, input(10,title="RSI's Length"))
os1 = input(50,title="RSI's Oversold Level 1")
os2 = input(50,title="RSI's Oversold Level 2")

/////////////////////////////////////////////////////////////
//END - INDICATORS



/////////////////////////////////////////////////////////////
//START - TRADING RULES
direction = input(defval=1, title = "Strategy Direction", minval=-1, maxval=1)
strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long))

condition1 = crossunder(wvf, upperBand) and close > vstop and withinTimeRange
condition2 = crossunder(rsi, os1) and withinTimeRange
condition3 = crossunder(rsi, os2) and withinTimeRange

strategy.entry("BUY", strategy.long, when = condition1)
strategy.entry("SELL", strategy.short, when = condition2 or condition3)

/////////////////////////////////////////////////////////////
//END - TRADING RULES

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-15. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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