Strategy Name: Double MA and Formation Strategy
Support: Commodity Futures, Digital Currency Spot, Digital Currency Futures
Data cycle: 15M


- Main chart:
MA index, formula: VAR3 ^^ MA (VAR2, PARAM1);
EMA index, formula: VAR4 ^ ^ EMA (VAR3, PARAM2); - Secondary chart:
none

(*backtest start: 2018-05-02 00:00:00 end: 2018-06-21 00:00:00 period: 15m exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}] args: [["TradeAmount",1000,126961],["SlideTick",10,126961],["ContractType","XBTUSD",126961]] *) DIRECTION:=0; // Direction control VAR2:=(HIGH+LOW+CLOSE)/3; VAR3^^MA(VAR2,PARAM1); VAR4^^EMA(VAR3,PARAM2); BOOL1:=CLOSE>REF(C,1) AND HIGH>REF(HIGH,1) AND CLOSE>OPEN; BOOL2:=CLOSE<REF(C,1) AND LOW<REF(LOW,1) AND CLOSE<OPEN; BUYPK:=BARPOS>PARAM1 AND CLOSE>VAR3 AND BOOL1 AND VAR3>VAR4; SELLPK:=BARPOS>PARAM1 AND CLOSE<VAR3 AND BOOL2 AND VAR3<VAR4; BUYJ:=CLOSE>BKPRICE AND BUYPK; SELLJ:=CLOSE<SKPRICE AND SELLPK; SELLS:=CLOSE<BKPRICE*(1-PARAM3*0.01); BUYS:=CLOSE>SKPRICE*(1+PARAM3*0.01); BKVOL=0 AND BUYPK AND DIRECTION>=0,BPK; SKVOL=0 AND SELLPK AND DIRECTION<=0,SPK; BKVOL>0 AND BUYJ,BK; SKVOL>0 AND SELLJ,SK; SELLS,SP; BUYS,BP; AUTOFILTER;
Backtest on FMZ Quant to know more
Source Code: https://www.fmz.com/strategy/129079

