Multi-Timeframe Trend Following with 200 EMA Filter - Longs Only — Strategy by GNGTrader08
By GNGTrader08
Performance Metrics
- Author: GNGTrader08
- Symbol: VANTAGE:BTCUSD
- Timeframe: 5 minutes
- Net P&L: +11,201.51 USD (+1,143.80%)
- Win Rate: 33.8%
- Profit Factor: 1.922
- Max Drawdown: 1,167.05 USD (85.24%)
- Total Trades: 154
- Sharpe Ratio: 0.327
Description
OverviewThis strategy is designed to trade long positions based on multiple timeframe Exponential Moving Averages (EMAs) and a 200 EMA filter. The strategy ensures that trades are only entered in strong uptrends and aims to capitalize on sustained upward movements while minimizing risk with a defined stop-loss and take-profit mechanism.Key ComponentsInitial Capital and Position SizingInitial Capital: $1000.Lot Size: 1 unit per trade.InputsFast EMA Length (fast_length): The period for the fast EMA.Slow EMA Length (slow_length): The period for the slow EMA.200 EMA Length (filter_length_200): Set to 200 periods for the primary trend filter.Stop Loss Percentage (stop_loss_perc): Set to 1% of the entry price.Take Profit Percentage (take_profit_perc): Set to 3% of the entry price.Timeframes and EMAsEMAs are calculated for the following timeframes using the request.security function:5-minute: Short-term trend detection.15-minute: Intermediate-term trend detection.30-minute: Long-term trend detection.The strategy also calculates a 200-period EMA on the 5-minute timeframe to serve as a primary trend filter.Trend CalculationThe strategy determines the trend for each timeframe by comparing the fast and slow EMAs:If the fast EMA is above the slow EMA, the trend is considered positive (1).If the fast EMA is below the slow EMA, the trend is considered negative (-1).Combined Trend SignalThe combined trend signal is derived by summing the individual trends from the 5-minute, 15-minute, and 30-minute timeframes.A combined trend value of 3 indicates a strong uptrend across all timeframes.Any combined trend value less than 3 indicates a weakening or negative trend.Entry and Exit ConditionsEntry Condition:A long position is entered if:The combined trend signal is 3 (indicating a strong uptrend across all timeframes).The current close price is above the 200 EMA on the 5-minute timeframe.Exit Condition:The long position is exited if:The combined trend signal is less than 3 (indicating a weakening trend).The current close price falls below the 200 EMA on the 5-minute timeframe.Stop Loss and Take ProfitStop Loss: Set at 1% below the entry price.Take Profit: Set at 3% above the entry price.These levels are automatically set when entering a trade using the strategy.entry function with stop and limit parameters.PlottingThe strategy plots the fast and slow EMAs for the 5-minute timeframe and the 200 EMA for visual reference on the chart:Fast EMA (5-min): Plotted in blue.Slow EMA (5-min): Plotted in red.200 EMA (5-min): Plotted in green.