This is a trend-based strategy that uses EMA and SMA intersection for determining the direction of the trend and MACD for the entry signal. At the same time, the strategy uses ATR, which is working as a trailing stop.
The strategy entry will work when the Trend ribbon will turn green and the MACD line will crossover the signal line. This strategy also takes into account the pyramiding and allows it to enter the second time if the signal will repeat itself.
There are 3 exit points. The first 10% of the position will be closed when the price will increase by 2%. The second portion of 50% will be closed when the price reaches the 5% Take profit target. The remaining 40 % of the position will wait for the exit signal which will occur when the price closes below the ATR line.
The strategy is using a fixed amount in dollars, each time the entry occurs the strategy will enter with 100$ in the order.
The strategy can be applied to other crypto assets. However, they will require input changes.
IMPORTANT
This is a trend strategy and works better in the trending market
This is Long Only strategy
We added the trend identifier using the EMA and SMA interaction
We Added Take profit and stop-loss levels
We added inputs for the period selection, so you could see how the strategy is performing on a monthly basis.
Applicable to ETH-USD 30 minutes
| Bitmex | FTX |
Input | Value | Value |
Period | 39 | 38 |
Fast Length | 7 | 7 |
Slow Length | 14 | 16 |
Source | Close | Close |
Signal Smoothing | 3 | 3 |
Simple MA (Oscillator) | False (NA) | False (NA) |
Simple MA (Signal Line) | True | True |
Long Take Profit 1 % | 2 | 2.5 |
Long Take Profit 1 Qty | 10 | 10 |
Long Take Profit 2% | 5 | 5 |
Long Take Profit 2 Qty | 50 | 40 |
SL Multiplier | 3.5 | 3.5 |
ATR Period | 6 | 5 |
Strategy script code
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Wunderbit Trading
//@version=5
strategy('MACD Strategy', overlay=true, pyramiding=2, commission_type=strategy.commission.percent, commission_value=0.04, initial_capital=100, default_qty_type=strategy.cash, default_qty_value=100, currency=currency.USD)
// FUNCTIONS
Ema(src, p) =>
ema = 0.
sf = 2 / (p + 1)
ema := nz(ema[1] + sf * (src - ema[1]), src)
ema
Sma(src, p) =>
a = ta.cum(src)
(a - a[math.max(p, 0)]) / math.max(p, 0)
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
/// TREND
ribbon_period = input.int(39, 'Period', step=1)
leadLine1 = ta.ema(close, ribbon_period)
leadLine2 = ta.sma(close, ribbon_period)
p3 = plot(leadLine1, color=color.new(#53b987, 50), title='EMA', linewidth=1)
p4 = plot(leadLine2, color=color.new(#eb4d5c, 50), title='SMA', linewidth=1)
fill(p3, p4, color=leadLine1 > leadLine2 ? #53b987 : #eb4d5c, transp=60)
// MACD
fast_length = input(title='Fast Length', defval=7)
slow_length = input(title='Slow Length', defval=14)
src = input(title='Source', defval=close)
signal_length = input.int(title='Signal Smoothing', minval=1, maxval=50, defval=3)
sma_source = input(title='Simple MA(Oscillator)', defval=false)
sma_signal = input(title='Simple MA(Signal Line)', defval=true)
// Plot colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
col_macd = #0094ff
col_signal = #ff6a00
// Calculating
fast_ma = sma_source ? Sma(src, fast_length) : Ema(src, fast_length)
slow_ma = sma_source ? Sma(src, slow_length) : Ema(src, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal ? Sma(macd, signal_length) : Ema(macd, signal_length)
hist = macd - signal
//plot(hist, title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below) ), transp=0 )
// plot(macd, title="MACD", color=col_macd, transp=0)
// plot(signal, title="Signal", color=col_signal, transp=0)
// TAKE PROFIT AND STOP LOSS
long_tp1_inp = input.float(2, 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(3.5, 'SL Mutiplier', minval=1, step=0.1)
ATR_period = input.int(6, 'ATR period', minval=1, step=1)
// Strategy
entry_long = ta.crossover(macd, signal) and leadLine2 < leadLine1
entry_price_long = ta.valuewhen(entry_long, close, 0)
SL_floating_long = entry_price_long - multiplier * Atr(ATR_period)
exit_long = close < SL_floating_long
///// BACKTEST PERIOD ///////
testStartYear = input(2018, '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='Insert Enter Long Comment', 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='Insert Exit Long comment')
// 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')