OPEN-SOURCE SCRIPT
Consecutive Bars Above/Below EMA Buy the Dip Strategy
█ STRATEGY DESCRIPTION
The "Consecutive Bars Above/Below EMA Buy the Dip Strategy" is a mean-reversion strategy designed to identify potential buying opportunities when the price dips below a moving average for a specified number of consecutive bars. It enters a long position when the dip condition is met and exits when the price shows strength by exceeding the previous bar's high. This strategy is suitable for use on various timeframes.
█ WHAT IS THE MOVING AVERAGE?
The strategy uses either a Simple Moving Average (SMA) or an Exponential Moving Average (EMA) as a reference for identifying dips. The type and length of the moving average can be customized in the settings.
█ SIGNAL GENERATION
1. LONG ENTRY
A Buy Signal is triggered when:
2. EXIT CONDITION
█ ADDITIONAL SETTINGS
█ PERFORMANCE OVERVIEW
The "Consecutive Bars Above/Below EMA Buy the Dip Strategy" is a mean-reversion strategy designed to identify potential buying opportunities when the price dips below a moving average for a specified number of consecutive bars. It enters a long position when the dip condition is met and exits when the price shows strength by exceeding the previous bar's high. This strategy is suitable for use on various timeframes.
█ WHAT IS THE MOVING AVERAGE?
The strategy uses either a Simple Moving Average (SMA) or an Exponential Moving Average (EMA) as a reference for identifying dips. The type and length of the moving average can be customized in the settings.
█ SIGNAL GENERATION
1. LONG ENTRY
A Buy Signal is triggered when:
- The close price is below the selected moving average for a specified number of consecutive bars (`consecutiveBarsTreshold`).
- The signal occurs within the specified time window (between `Start Time` and `End Time`).
2. EXIT CONDITION
- A Sell Signal is generated when the current closing price exceeds the high of the previous bar (`close > high[1]`). This indicates that the price has shown strength, potentially confirming the reversal and prompting the strategy to exit the position.
█ ADDITIONAL SETTINGS
- Consecutive Bars Threshold: The number of consecutive bars the price must remain below the moving average to trigger a Buy Signal. Default is 3.
- MA Type: The type of moving average used (SMA or EMA). Default is SMA.
- MA Length: The length of the moving average. Default is 5.
- Start Time and End Time: The time window during which the strategy is allowed to execute trades.
█ PERFORMANCE OVERVIEW
- This strategy is designed for mean-reverting markets and performs best when the price frequently oscillates around the moving average.
- It is sensitive to the number of consecutive bars below the moving average, which helps to identify potential dips.
- Backtesting results should be analysed to optimize the Consecutive Bars Threshold, MA Type, and MA Length for specific instruments.
Script open-source
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