Directional movement using EMA- Algorithmic strategy
Updated
Following Multiple requests from the community to Publish most popular trading strategies along with their backtest results. I have a listed down some popular strategies from the web and we would be posting regarding the methodology and related parameters used. This is not financial advice and we won't suggest you invest in any strategies without doing your own research.
About the strategy:
Wilder Directional Movement strategy using EMA was published by Zerodha expert advisor. In this, we are using 2 indicators
The strategy here involves combining the Directional Movement System (as measured by DI+ and DI-) with 13 and 21 days EMA. The strategy prompts a signal when two conditions satisfy –
1) 13-period exponential moving average (EMA) on closing basis crosses over 21 periods EMA and
2) 14 period of directional indicator positive crosses over 14 periods of directional indicator of negative
Buy:
CROSSOVER(EMA(CLOSE, 13), EMA(CLOSE, 21)) AND CROSSOVER(DIP(14), DIN(14))
Sell:
CROSSOVER(EMA(CLOSE, 21), EMA(CLOSE, 13)) AND CROSSOVER(DIN(14), DIP(14))
Backtesting parameters:
*Exchange : Bitmex
*Market: BTC
*Asset: USD Perpetual contract
*Tick Interval: 6h
*Backtesting Period: 2nd Jan 2017 to 15th May 2019
*Trading Method: Long-Close_short
*Leverage: 1x
Backtest results:
Returns: 11.89 %
Market Returns: 784.6 %
Start Value:0.05 BTC
Current Value:0.055942 BTC
Profit Factor: 1.45
Returns vs Market: -772.72
Annualized total return: 4.9 %
Total Trades: 4.9 %
Max Drawdown: -20.16%
Sharpe Ratio: 0.31
You can now play with the parameters in the strategy and optimize the number of trades, returns and buy and sell using the data. Please DM us for the links to backtest.
About the strategy:
Wilder Directional Movement strategy using EMA was published by Zerodha expert advisor. In this, we are using 2 indicators
- Exponential Moving Average (EMA)- The exponential moving average (EMA) is a weighted moving average (WMA) that gives more weighting, or importance, to recent price data than the simple moving average (SMA) does. The EMA responds more quickly to recent price changes than the SMA. The formula for calculating the EMA just involves using a multiplier and starting with the SMA.
- Welles Wilder's directional movement system-The Welles Wilder's Directional Movement System is an indicator that helps you gauge the strength market’s trend irrespective of whether it is an uptrend or a downtrend.
The strategy here involves combining the Directional Movement System (as measured by DI+ and DI-) with 13 and 21 days EMA. The strategy prompts a signal when two conditions satisfy –
1) 13-period exponential moving average (EMA) on closing basis crosses over 21 periods EMA and
2) 14 period of directional indicator positive crosses over 14 periods of directional indicator of negative
Buy:
CROSSOVER(EMA(CLOSE, 13), EMA(CLOSE, 21)) AND CROSSOVER(DIP(14), DIN(14))
Sell:
CROSSOVER(EMA(CLOSE, 21), EMA(CLOSE, 13)) AND CROSSOVER(DIN(14), DIP(14))
Backtesting parameters:
*Exchange : Bitmex
*Market: BTC
*Asset: USD Perpetual contract
*Tick Interval: 6h
*Backtesting Period: 2nd Jan 2017 to 15th May 2019
*Trading Method: Long-Close_short
*Leverage: 1x
Backtest results:
Returns: 11.89 %
Market Returns: 784.6 %
Start Value:0.05 BTC
Current Value:0.055942 BTC
Profit Factor: 1.45
Returns vs Market: -772.72
Annualized total return: 4.9 %
Total Trades: 4.9 %
Max Drawdown: -20.16%
Sharpe Ratio: 0.31
You can now play with the parameters in the strategy and optimize the number of trades, returns and buy and sell using the data. Please DM us for the links to backtest.
Trade active
Backtest result link mudrex.com/backtest/7e8f632c-2a1e-49a9-b028-133151ac95b6
Trade active
Link, not working-> images.mudrex.com/result_images/backtests/7e8f632c-2a1e-49a9-b028-133151ac95b6.jpgTrade active
Note
Got the chart wrong....updated the chart for visualization
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