Overview
This is a trend-following strategy based on multiple technical indicators and risk management. The strategy combines moving averages, Relative Strength Index (RSI), Directional Movement Index (DMI), and other technical indicators to identify market trends, while protecting capital through dynamic stop-loss, position management, and monthly maximum drawdown limits. The core concept lies in confirming trend validity through multi-dimensional technical indicators while strictly controlling risk exposure.

Strategy Principles
The strategy employs a multi-layered trend confirmation mechanism:

Uses 8/21/50 period Exponential Moving Averages (EMA) to determine trend direction
Utilizes price channel midline as a trend filter
Incorporates RSI moving average (5-period) movement within 35-65 range to filter false breakouts
Confirms trend strength through DMI indicator (14-period)
Verifies trend continuation using momentum indicator (8-period) and volume expansion
Implements ATR-based dynamic stop-loss for risk control
Applies fixed-risk position sizing with 5% risk per trade of initial capital
Sets 10% monthly maximum drawdown limit to prevent excessive losses

Strategy Advantages

Multiple technical indicators cross-validation improves trend judgment accuracy
Dynamic stop-loss mechanism effectively controls single trade risk
Fixed-risk position sizing enables more rational capital utilization
Monthly maximum drawdown limit provides systemic risk protection
Volume indicator integration enhances trend confirmation reliability
2:1 reward-to-risk ratio improves long-term profitability

Strategy Risks

Multiple indicators may lead to signal lag
May generate frequent false signals in ranging markets
Fixed-risk approach may lack flexibility during dramatic volatility changes
Monthly drawdown limit might cause missing important trading opportunities
May experience significant drawdowns during trend reversals

Strategy Optimization Directions

Introduce adaptive indicator parameters to suit different market environments
Develop more flexible position sizing schemes considering volatility changes
Add quantitative trend strength assessment to optimize entry timing
Design smarter monthly risk limit mechanisms
Include market environment recognition module to adjust strategy parameters under different market conditions

Summary
The strategy establishes a relatively complete trend-following trading system through the comprehensive use of multi-dimensional technical indicators. Its strength lies in the comprehensive risk management framework, including dynamic stop-loss, position sizing, and drawdown control. While there are certain lag risks, the strategy has the potential to maintain stable performance across different market environments through optimization and improvement. The key is to enhance its adaptability to market environments while maintaining the core strategy logic.

Strategy source code

/*backtest
start: 2024-02-10 00:00:00
end: 2025-02-08 08:00:00
period: 4h
basePeriod: 4h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("High Win-Rate Crypto Strategy with Drawdown Limit", overlay=true, initial_capital=10000, default_qty_type=strategy.fixed, process_orders_on_close=true)

// Moving Averages
ema8 = ta.ema(close, 8)
ema21 = ta.ema(close, 21)
ema50 = ta.ema(close, 50)

// RSI settings
rsi = ta.rsi(close, 14)
rsi_ma = ta.sma(rsi, 5)

// Momentum and Volume
mom = ta.mom(close, 8)
vol_ma = ta.sma(volume, 15)
high_vol = volume > vol_ma * 1

// Trend Strength
[diplus, diminus, _] = ta.dmi(14, 14)
strong_trend = diplus > 20 or diminus > 20

// Price channels
highest_15 = ta.highest(high, 15)
lowest_15 = ta.lowest(low, 15)
mid_channel = (highest_15 + lowest_15) / 2

// Trend Conditions
uptrend = ema8 > ema21 and close > mid_channel
downtrend = ema8 < ema21 and close < mid_channel

// Entry Conditions
longCondition = uptrend and ta.crossover(ema8, ema21) and rsi_ma > 35 and rsi_ma < 65 and mom > 0 and high_vol and diplus > diminus
shortCondition = downtrend and ta.crossunder(ema8, ema21) and rsi_ma > 35 and rsi_ma < 65 and mom < 0 and high_vol and diminus > diplus

// Dynamic Stop Loss based on ATR
atr = ta.atr(14)
stopSize = atr * 1.3

// Calculate position size based on fixed risk
riskAmount = strategy.initial_capital * 0.05

getLongPosSize(riskAmount, stopSize) => riskAmount / stopSize    
getShortPosSize(riskAmount, stopSize) => riskAmount / stopSize

// Monthly drawdown tracking
var float peakEquity = na
var int currentMonth = na
var float monthlyDrawdown = na
maxDrawdownPercent = 10

// Variables for SL and TP
var float stopLoss = na
var float takeProfit = na
var bool inTrade = false
var string tradeType = na

// Reset monthly metrics
monthNow = month(time)
if na(currentMonth) or currentMonth != monthNow
    currentMonth := monthNow
    peakEquity := strategy.equity
    monthlyDrawdown := 0.0

// Update drawdown metrics
peakEquity := math.max(peakEquity, strategy.equity)
monthlyDrawdown := math.max(monthlyDrawdown, (peakEquity - strategy.equity) / peakEquity * 100)

// Trading condition
canTrade = monthlyDrawdown < maxDrawdownPercent

// Entry and Exit Logic
if strategy.position_size == 0
    inTrade := false
    if longCondition and canTrade
        stopLoss := low - stopSize
        takeProfit := close + (stopSize * 2)
        posSize = getLongPosSize(riskAmount, stopSize)
        strategy.entry("Long", strategy.long, qty=posSize)
        strategy.exit("Long Exit", "Long", stop=stopLoss, limit=takeProfit)
        inTrade := true
        tradeType := "long"
    if shortCondition and canTrade
        stopLoss := high + stopSize
        takeProfit := close - (stopSize * 2)
        posSize = getShortPosSize(riskAmount, stopSize)
        strategy.entry("Short", strategy.short, qty=posSize)
        strategy.exit("Short Exit", "Short", stop=stopLoss, limit=takeProfit)
        inTrade := true
        tradeType := "short"

// Plot variables
plotSL = inTrade ? stopLoss : na
plotTP = inTrade ? takeProfit : na

// EMA Plots
plot(ema8, "EMA 8", color=color.blue, linewidth=1)
plot(ema21, "EMA 21", color=color.yellow, linewidth=1)
plot(ema50, "EMA 50", color=color.white, linewidth=1)

// SL and TP Plots
plot(plotSL, "Stop Loss", color=color.red, style=plot.style_linebr, linewidth=1)
plot(plotTP, "Take Profit", color=color.green, style=plot.style_linebr, linewidth=1)

// Signal Plots
plotshape(longCondition and canTrade, "Buy Signal", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small)
plotshape(shortCondition and canTrade, "Sell Signal", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)

// SL/TP Markers with correct y parameter syntax
plot(inTrade ? stopLoss : na, "Stop Loss Level", style=plot.style_circles, color=color.red, linewidth=2)
plot(inTrade ? takeProfit : na, "Take Profit Level", style=plot.style_circles, color=color.green, linewidth=2)

// Background Color
noTradingMonth = monthlyDrawdown >= maxDrawdownPercent
bgcolor(noTradingMonth ? color.new(color.gray, 80) : uptrend ? color.new(color.green, 95) : downtrend ? color.new(color.red, 95) : na)

// Drawdown Label
var label drawdownLabel = na
label.delete(drawdownLabel)
drawdownLabel := label.new(bar_index, high, "Monthly Drawdown: " + str.tostring(monthlyDrawdown, "#.##") + "%\n" + (noTradingMonth ? "NO TRADING" : "TRADING ALLOWED"), style=label.style_label_down, color=noTradingMonth ? color.red : color.green, textcolor=color.white, size=size.small)

The original address: Dynamic Indicator-Driven Trend Following Strategy with Risk Management System