Combo Backtest 123 Reversal & MACD Crossover with Trail and Stop — Strategy by CoinDigger
By HPotter
Performance Metrics
- Author: HPotter
- Symbol: BITMEX:XBTUSD
- Timeframe: 1 day
- Net P&L: +776,441.45 USD (+776,441.45%)
- Win Rate: 69.2%
- Profit Factor: 15.109
- Max Drawdown: 23,015.02 USD (44.48%)
- Total Trades: 65
- Sharpe Ratio: 0.461
Description
This is a modification of HPotter "Combo Backtest 123 Reversal & MACD Crossover" script.I've added a trail stop, basic leverage simulation and stop loss.Below is HPotter's explanation of the script principals.First strategyThis System was created from the Book "How I Tripled My Money In TheFutures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.The strategy buys at market, if close price is higher than the previous closeduring 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.The strategy sells at market, if close price is lower than the previous close priceduring 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.Second strategyMACD – Moving Average Convergence Divergence. The MACD is calculatedby subtracting a 26-day moving average of a security's price from a12-day moving average of its price. The result is an indicator thatoscillates above and below zero. When the MACD is above zero, it meansthe 12-day moving average is higher than the 26-day moving average.This is bullish as it shows that current expectations (i.e., the 12-daymoving average) are more bullish than previous expectations (i.e., the26-day average). This implies a bullish , or upward, shift in the supply/demandlines. When the MACD falls below zero, it means that the 12-day moving averageis less than the 26-day moving average, implying a bearish shift in thesupply/demand lines.A 9-day moving average of the MACD (not of the security's price) is usuallyplotted on top of the MACD indicator. This line is referred to as the "signal"line. The signal line anticipates the convergence of the two moving averages(i.e., the movement of the MACD toward the zero line).Let's consider the rational behind this technique. The MACD is the differencebetween two moving averages of price. When the shorter-term moving average risesabove the longer-term moving average (i.e., the MACD rises above zero), it meansthat investor expectations are becoming more bullish (i.e., there has been anupward shift in the supply/demand lines). By plotting a 9-day moving average ofthe MACD , we can see the changing of expectations (i.e., the shifting of thesupply/demand lines) as they occur.WARNING:- For purpose educate only- This script to change bars colors.