Triple SMA Auto Tracking Strategy

The Triple SMA strategy is a trend-following strategy based on three simple moving averages (SMA) of different periods for trend identification and entries. It can automatically track trends and add positions during…

Pine ScriptMean reversion Trend following Volatility MACD SMA Pivots / S&R

Author: ChaoZhang
Complexity: Intermediate · 123 lines
Parameters: 15
Backtest bar: 1h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

Overview

Strategy Logic

The strategy uses three SMAs of different periods as the main trend indicator, including 200-, 400-, and 600-period SMAs. When price is above all three SMAs, it indicates an upward trend, and vice versa for downtrend.

For entries, the strategy combines the use of close price and StochClose oscillator. Signals are generated only when price aligns with the triple SMAs' direction. StochClose identifies overbought/oversold levels and gives long signal when crossing above 95 and short signal when crossing below 5.

The stop loss is set to price crossing below the slowest SMA.

The strategy allows pyramiding up to 10 times. Three take profit levels are built-in at 1%, 2% and 6% profits.

Advantage Analysis

The biggest advantage of the Triple SMA strategy is that by combining three SMAs of different periods, it can better identify trend direction and strength. It has stronger capabilities of filtering out false signals than single SMA strategies.

Additionally, incorporating StochClose for overbought/oversold analysis avoids taking signals around potential trend reversal points.

The stop loss based on the slowest SMA also maximizes the strategy's capability of riding trends while minimizing premature stop outs.

Allowing pyramiding enables the strategy to continously participate in trends.

Risk Analysis

The main risk of this strategy is that the triple SMAs may not completely filter out all false signals. If price fails to form a trend after breaking through the SMAs and pulls back soon, losses can occur. This often happens around major support/resistance levels.

Also, StochClose itself may generate incorrect signals, leading to inappropriate entries, especially in ranging markets.

To mitigate these risks, parameters like SMA periods can be adjusted. More indicators can be added, like KDJ and MACD, to improve signal quality.

Optimization Directions

The strategy can be optimized in the following aspects:

Add/tune SMA periods to find optimal values fitting specific products
Add additional indicators like KDJ and MACD for combo filtering and better entries
Optimize stop loss and take profit standards to better fit market volatility ranges
Optimize pyramiding settings to find ideal pyramiding strategies
Test across different products and make parameters adaptive to more products

Conclusion

In conclusion, the Triple SMA strategy is a very practical trend-following approach. By combining triple SMAs and StochClose, it achieves solid trend identification and avoids false signals. Allowing pyramiding also enables tracking trends. With parameter tuning and optimizations, it can become a powerful trend tracker.

Parameters

Name	Default	What it controls
v_input_1	200	sma 1 length
v_input_2	400	sma 2 length
v_input_3	600	sma 3 length
v_input_4_close	0	Source: close \| high \| low \| open \| hl2 \| hlc3 \| hlcc4 \| ohlc4
v_input_5	50	length for the oscillator
v_input_6	5	oscillator smoothing
v_input_7	95	signal when oscillator crosses above
v_input_8	5	signal when oscillator crosses below
v_input_9	2500	max orders filled on a day
v_input_10	true	take profit level 1
v_input_11	2	take profit level 2
v_input_12	6	take profit level 3
v_input_13	30	take profit quantity first
v_input_14	30	take profit quantity second
v_input_15	30	take profit quantity third

Source Pine Script

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(title="Tripla Sma with entries based on sma price closes ", shorttitle="TRIPLE SMA STRATEGY", overlay=true) ////resolution=""
len = input(200, minval=1, title="sma 1 length")
len1 = input(400, minval=1, title="sma 2 length")
len2 = input(600, minval=1, title="sma 3 length")
src = input(close, title="Source")
////////////////////////////////////////////
smma = 0.0
smma := na(smma[1]) ? sma(src, len) : (smma[1] * (len - 1) + src) / len

up = smma > smma [1]
down =smma < smma[1]
mycolor = up ? #64b5f6 : down ? #d32f2f : na
fastma = sma(hl2, 1)

fastplot = plot(fastma, color=#000000, transp=100, title='sma on candle')
slowplot = plot(smma, color=mycolor, transp=55, title='sma1')

////////////////////////////////////////////
smma1 = 0.0
smma1 := na(smma1[1]) ? sma(src, len1) : (smma1[1] * (len1 - 1) + src) / len1

up2 = smma1 > smma1 [1]
down2 =smma1 < smma1[1]

mycolor2 = up2 ? #64b5f6 : down2 ? #d32f2f : na
slowplot2 = plot(smma1, color=mycolor2, transp=45, title='sma2')

////////////////////////////////////////////
smma2 = 0.0
smma2 := na(smma2[1]) ? sma(src, len2) : (smma2[1] * (len2 - 1) + src) / len2

up3 = smma2 > smma2 [1]
down3 =smma2 < smma2[1]

mycolor3 = up3 ? #64b5f6 : down3 ? #d32f2f : na
slowplot3 = plot(smma2, color=mycolor3, transp=35, title='sma3')

////////////////////////////////////////////////////////////////////////////////////////
//Fill gaps
fillData = smma > fastma
fillData2 = smma < fastma

fillDtat = smma1 > smma
fillDtat2 = smma1 < smma

fillDat = smma2 > smma1
fillDat2 = smma2 < smma1


fillCol1 = fillData ? #ef5350 : fillData2 ? #64b5f6 : na
fillCol2 = fillDtat ? #ef5350 : fillDtat2 ? #64b5f6 : na
fillCol3 = fillDat ? #ef5350 : fillDat2 ? #64b5f6 : na


fill(slowplot, fastplot, color=fillCol1, transp=90, title="sma1 fill")
fill(slowplot, slowplot2, color=fillCol2, transp=80, title="sma2 fill")
fill(slowplot2, slowplot3, color=fillCol3, transp=60, title="sma3 fill")

uc = (close > smma) and (close > smma1)
dc = (close < smma) and (close < smma1)

barColor = uc ? #64b5f6 : dc ? #e91e63 : #b2b5be
barcolor(color=barColor)
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//StochClose from @trendinvestpro 
periods = input(50, minval=1, title="length for the oscillator")
smooth = input(5, minval=1, title="oscillator smoothing")
hhc=highest(close,periods)
llc=lowest(close,periods)
StochClose = sma((close-llc)/(hhc-llc)*100, smooth)

shortline = input(95, minval=0, title="signal when oscillator crosses above")
longline = input(5, minval=0, title="signal when oscillator crosses below")

////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
longs = close > smma2
shorts = close < smma2



long = longs == true and crossunder(StochClose, longline)
short = shorts == true and crossover(StochClose, shortline)

stoplong = close < smma and close < smma1 and close < smma2
stopshort = close > smma and close > smma1 and close > smma2

p1 = strategy.position_avg_price / 100 / syminfo.mintick

maxx = input(2500, title="max orders filled on a day", minval=0)
takeprofit1 = input(1, title="take profit level 1", minval=0)
takeprofit2 = input(2, title="take profit level 2", minval=0)
takeprofit3 = input(6, title="take profit level 3", minval=0)

takeprofitqt1 = input(30, title="take profit quantity first", minval=0)
takeprofitqt2 = input(30, title="take profit quantity second", minval=0)
takeprofitqt3 = input(30, title="take profit quantity third", minval=0)
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////////////////////////Strategy entries/////////////////////////////////////////////////////////////////////////////////////////
// strategy.risk.max_intraday_filled_orders(maxx)
strategy.entry("long", strategy.long, when=long)
strategy.exit("tpl1", "long", qty_percent = takeprofitqt1, profit = takeprofit1 * p1)
strategy.exit("tpl2", "long", qty_percent = takeprofitqt2, profit = takeprofit2 * p1)
strategy.exit("tpl3", "long", qty_percent = takeprofitqt3, profit = takeprofit3 * p1)
strategy.close("long", when=stoplong == true)


strategy.entry("short", strategy.short, when=short)
strategy.exit("tpl1", "short", qty_percent = takeprofitqt1, profit = takeprofit1 * p1)
strategy.exit("tpl2", "short", qty_percent = takeprofitqt2, profit = takeprofit2 * p1)
strategy.exit("tpl3", "short", qty_percent = takeprofitqt3, profit = takeprofit3 * p1)
strategy.close("short", when=stopshort == true)

Published by ChaoZhang on the FMZ strategy square · last modified 2024-01-26. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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