MACD and Bollinger Band Momentum Entries with RSI Exits
Summary
This five-minute long-only strategy combines MACD, a short-period RSI, and Bollinger Bands. It enters when MACD is above zero and its signal line, the upper Bollinger Band is rising, and RSI exceeds 70. It exits when RSI rises above 80. The author describes the RSI entry condition as optional and says it needs investigation, so the document does not establish that this filter improves results.
The strategy specifies a one-percent minimal return target and a 25 percent stop loss, though configuration can override both. No backtest results or performance evidence are provided. The rules give a concrete momentum-oriented example, but their thresholds and risk settings are not validated here; readers would need to assess them against suitable data and account for market and execution conditions.
Key ideas
- The strategy opens long positions when MACD is positive and above its signal line.
- A rising upper Bollinger Band and RSI above 70 are additional entry conditions.
- The exit signal occurs when RSI exceeds 80.
- The RSI entry filter is explicitly described as needing further investigation.
- The stated return target and stop loss are configurable and have no supporting performance results.
Tags
Full text
# Simple
# Simple
author@: Gert Wohlgemuth
idea:
this strategy is based on the book, 'The Simple Strategy' and can be found in detail here:
https://www.amazon.com/Simple-Strategy-Powerful-Trading-Futures-ebook/dp/B00E66QPCG/ref=sr_1_1?ie=UTF8&qid=1525202675&sr=8-1&keywords=the+simple+strategy
## Source (GPL-3.0)
```python
# --- Do not remove these libs ---
from freqtrade.strategy import IStrategy
from typing import Dict, List
from functools import reduce
from pandas import DataFrame
# --------------------------------
import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
class Simple(IStrategy):
"""
author@: Gert Wohlgemuth
idea:
this strategy is based on the book, 'The Simple Strategy' and can be found in detail here:
https://www.amazon.com/Simple-Strategy-Powerful-Trading-Futures-ebook/dp/B00E66QPCG/ref=sr_1_1?ie=UTF8&qid=1525202675&sr=8-1&keywords=the+simple+strategy
"""
INTERFACE_VERSION: int = 3
# Minimal ROI designed for the strategy.
# adjust based on market conditions. We would recommend to keep it low for quick turn arounds
# This attribute will be overridden if the config file contains "minimal_roi"
minimal_roi = {
"0": 0.01
}
# Optimal stoploss designed for the strategy
# This attribute will be overridden if the config file contains "stoploss"
stoploss = -0.25
# Optimal timeframe for the strategy
timeframe = '5m'
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# MACD
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macdsignal'] = macd['macdsignal']
dataframe['macdhist'] = macd['macdhist']
# RSI
dataframe['rsi'] = ta.RSI(dataframe, timeperiod=7)
# required for graphing
bollinger = qtpylib.bollinger_bands(dataframe['close'], window=12, stds=2)
dataframe['bb_lowerband'] = bollinger['lower']
dataframe['bb_upperband'] = bollinger['upper']
dataframe['bb_middleband'] = bollinger['mid']
return dataframe
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe.loc[
(
(
(dataframe['macd'] > 0) # over 0
& (dataframe['macd'] > dataframe['macdsignal']) # over signal
& (dataframe['bb_upperband'] > dataframe['bb_upperband'].shift(1)) # pointed up
& (dataframe['rsi'] > 70) # optional filter, need to investigate
)
),
'enter_long'] = 1
return dataframe
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# different strategy used for sell points, due to be able to duplicate it to 100%
dataframe.loc[
(
(dataframe['rsi'] > 80)
),
'exit_long'] = 1
return dataframe
```Shown in full with attribution under the source's licence. Licence: GPL-3.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.