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MACD Momentum with Trend Filter

Trade MACD crossovers only with the prevailing trend.

Strategy Overview​

  • Type: Momentum
  • Indicators: MACD (12, 26, 9), SMA(200)
  • Risk Level: Medium
  • Assets: Single asset (BTC)

Complete Code​

package main

import (
	"github.com/backtesting-org/kronos-sdk/pkg/types/connector"
	"github.com/backtesting-org/kronos-sdk/pkg/types/kronos"
	"github.com/backtesting-org/kronos-sdk/pkg/types/strategy"
	"github.com/shopspring/decimal"
)

type MACDMomentum struct {
	strategy.BaseStrategy
	k kronos.Kronos
}

func NewMACDMomentum(k kronos.Kronos) strategy.Strategy {
	return &MACDMomentum{k: k}
}

func (s *MACDMomentum) GetSignals() ([]*strategy.Signal, error) {
	btc := s.k.Asset("BTC")

	macd, _ := s.k.Indicators().MACD(btc, 12, 26, 9)
	sma200, _ := s.k.Indicators().SMA(btc, 200)
	price, _ := s.k.Market().Price(btc)

	// Only trade with the trend
	inUptrend := price.GreaterThan(sma200)
	inDowntrend := price.LessThan(sma200)

	// Bullish crossover in uptrend
	if macd.MACD.GreaterThan(macd.Signal) &&
		macd.Histogram.GreaterThan(decimal.Zero) &&
		inUptrend {
		s.k.Log().Opportunity("MACD-Momentum", "BTC", "MACD bullish crossover in uptrend")
		signal := s.k.Signal(s.GetName()).
			Buy(btc, connector.Binance, decimal.NewFromFloat(0.15)).
			Build()
		return []*strategy.Signal{signal}, nil
	}

	// Bearish crossover in downtrend
	if macd.MACD.LessThan(macd.Signal) &&
		macd.Histogram.LessThan(decimal.Zero) &&
		inDowntrend {
		s.k.Log().Opportunity("MACD-Momentum", "BTC", "MACD bearish crossover in downtrend")
		signal := s.k.Signal(s.GetName()).
			Sell(btc, connector.Binance, decimal.NewFromFloat(0.15)).
			Build()
		return []*strategy.Signal{signal}, nil
	}

	return nil, nil
}

func (s *MACDMomentum) GetName() strategy.StrategyName { return "MACD-Momentum" }
func (s *MACDMomentum) GetDescription() string { return "MACD with trend filter" }
func (s *MACDMomentum) GetRiskLevel() strategy.RiskLevel { return strategy.RiskLevelMedium }
func (s *MACDMomentum) GetStrategyType() strategy.StrategyType { return strategy.StrategyTypeMomentum }

How It Works​

  1. Determine Trend: Use 200 SMA to identify trend direction
  2. Check MACD: Look for bullish or bearish crossovers
  3. Filter: Only trade crossovers aligned with trend
  4. Execute: Buy in uptrends, sell in downtrends

Key Concepts​

  • MACD Crossover: When MACD line crosses signal line
  • Histogram: Shows strength of crossover
  • Trend Filter: Prevents counter-trend trades
  • With-Trend Only: Increases win rate

Backtesting​

Run with:

kronos backtest

Expected characteristics:

  • Moderate trade frequency
  • Better win rate than raw MACD
  • Avoids whipsaws in choppy markets
  • May miss early trend entries

Improvements​

Consider adding:

  • Multiple timeframe confirmation
  • Volume analysis
  • Stop loss based on recent swing
  • Partial exits on histogram divergence