134 lines
4.4 KiB
Markdown
134 lines
4.4 KiB
Markdown
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> Name
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EHMA-Range-Strategy
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> Author
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ChaoZhang
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> Strategy Description
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This script is a modified version of @borserman's script for the Exponential Hull Moving Average
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All credit for the EHMA goes to him :)
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In addition to the EHMA, this script works with a range around the EHMA (which can be modified), in an attempt to be robust against fake signals. Many times a bar will close below a moving average, only to reverse again the next bar, which eats away at your profits. Especially on shorter timeframes, but also on choppy longer timeframes this can make a strategy unattractive to use.
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With the range around the EHMA, the strategy only enters a long/exit-short position if a bar crosses above the upper range. Vice versa, it only enters a short/exit-long position if a bar crosses below the lower range. This avoids positions if bars behave choppy within the EHMA range & only enters a position if the market is confident in it's direction. Having said that, fakeouts are still possible, but a lot less frequent. Having backtested this strategy vs the regular EHMA strategy (and having experimented with various settings), this version seems to be a lot more robust & profitable!
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Disclaimer
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Please remember that past performance may not be indicative of future results.
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Due to various factors, including changing market conditions, the strategy may no longer perform as good as in historical backtesting.
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This post and the script don’t provide any financial advice.
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**backtest**
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_1|0|Position Type: Both|Long|Short|
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|v_input_2|180|Length|
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|v_input_3|0.02|Range Width|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2021-05-08 00:00:00
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end: 2022-05-07 23:59:00
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period: 1d
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basePeriod: 1h
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exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
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*/
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// Credit is due where credit is due:
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// Hull Moving Average: developed by Alan Hull
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// EHMA: coded by Twitter @borserman
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// I've built on their work in an attempt to create a strategy more robust to fake moves
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// @0xLetoII
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//@version=4
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//strategy(
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// title="EHMA Range Strategy",
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// process_orders_on_close=true,
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// explicit_plot_zorder=true,
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// overlay=true,
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// initial_capital=1500,
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// default_qty_type=strategy.percent_of_equity,
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// commission_type=strategy.commission.percent,
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// commission_value=0.085,
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// default_qty_value=100
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// )
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// Position Type
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pos_type = input(defval = "Both", title="Position Type", options=["Both", "Long", "Short"])
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// Inputs
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Period = input(defval=180, title="Length")
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RangeWidth = input(defval=0.02, step=0.01, title="Range Width")
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sqrtPeriod = sqrt(Period)
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// Function for the Borserman EMA
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borserman_ema(x, y) =>
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alpha = 2 / (y + 1)
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sum = 0.0
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sum := alpha * x + (1 - alpha) * nz(sum[1])
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// Calculate the Exponential Hull Moving Average
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EHMA = borserman_ema(2 * borserman_ema(close, Period / 2) - borserman_ema(close, Period), sqrtPeriod)
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// Create upper & lower bounds around the EHMA for broader entries & exits
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upper = EHMA + (EHMA * RangeWidth)
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lower = EHMA - (EHMA * RangeWidth)
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// Plots
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EHMAcolor = (close > EHMA ? color.green : color.red)
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plot(EHMA, color=EHMAcolor, linewidth=2)
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plot(lower, color=color.orange, linewidth=2)
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plot(upper, color=color.blue, linewidth=2)
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// Strategy
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long = close > upper
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exit_long = close < lower
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short = close < lower
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exit_short = close > upper
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// Calculate start/end date and time condition
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//startDate = input(timestamp("2017-01-01T00:00:00"))
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//finishDate = input(timestamp("2029-01-01T00:00:00"))
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time_cond = true
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// Entries & Exits
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if pos_type == "Both"
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strategy.entry("Long", strategy.long, comment="Long", when=long and time_cond)
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strategy.close("Long", comment="Exit Long", when=exit_long and time_cond)
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strategy.entry("Short", strategy.short, comment="Short", when=short and time_cond)
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strategy.close("Short", comment="Exit Short", when=exit_short and time_cond)
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if pos_type == "Long"
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strategy.entry("Long", strategy.long, comment="Long", when=long and time_cond)
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strategy.close("Long", comment="Exit Long", when=exit_long and time_cond)
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if pos_type == "Short"
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strategy.entry("Short", strategy.short, comment="Short", when=short and time_cond)
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strategy.close("Short", comment="Exit Short", when=exit_short and time_cond)
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```
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> Detail
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https://www.fmz.com/strategy/362103
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> Last Modified
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2022-05-10 00:01:08
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