Strategies
Super-BitMoon量化动量交易策略Super-BitMoon-quantitative-momentum-trading-strategy
ChaoZhang · PineScript · Mean Reversion · 2023-09-15 16:13:05
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Overview
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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 through key support or resistance levels. 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. [/trans]
Parameters
| Parameters | Default | Description |
|---|---|---|
| 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 code (83 lines)
/*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