tbiktag

Moving Regression Band Breakout strategy

Following the introduction of the Moving Regression Prediction Bands indicator (see link below), I'd like to propose how to utilize it in a simple band breakout strategy:

  • Go long after the candle closes above the upper band. The lower band (alternatively, the lower band minus the 14-period ATR or the central line) will serve as a support line.
  • Exit as soon as the candle closes below the support line.
  • To manage the risk of false breakouts, a fixed stop loss is set to the value of the support line at the time of opening a position. When the support line moves above the position opening price, shift the stop loss to breakeven.
The same logic but in reverse applies to short positions.

As an option, it is possible to allow long entries only when the slope of the Moving Regression curve is positive (and short entries when the slope is negative).

Model parameters:
  • Length and Polynomial Order define the lag and smoothness of the model.
  • Multiplier specifies the width of the channel.

As the default model parameter values, I set those that I found to provide optimal risk / reward ratio on the daily timeframe (for both trending and range-bound market). However, the settings are very flexible and can be well-adjusted to particular market conditions. Feel free to play around and leave feedback in the comments!


Here's the original Moving Regression Prediction Bands script:
Note di rilascio: corrected the way of how the user-defined backtest period is handled
Note di rilascio:
Script open-source

Nello spirito di condivisione promosso da TradingView, l'autore (al quale vanno i nostri ringraziamenti) ha deciso di pubblicare questo script in modalità open-source, così che chiunque possa comprenderlo e testarlo. Puoi utilizzarlo gratuitamente, ma il riutilizzo del codice è subordinato al rispetto del Regolamento. Per aggiungerlo al grafico, mettilo tra i preferiti.

Vuoi usare questo script sui tuoi grafici?

Commenti

Hello, thanks for sharing this script. Is the stop loss hard coded in? Some of my orders don't stop out until a ridiculous amount is reached. Would you add a user input for stop loss? Thanks.
+4 Rispondi
tbiktag rlone9440
@rlone9440, that's a fair point. The current implementation allows setting a stop loss only at one of the bands. But it will certainly be useful to make it flexible. Let's see if I can incorporate this in a non-invasive way.
+3 Rispondi
Hello, many thanks for sharing the strategy. I have one question, what modifications in the input parameters should I do if I want to trade with the strategy at 15 mins or 10 mins intervals. Thanks in advance..
+2 Rispondi
Do you have a version of this script with Alerts ?
+2 Rispondi
tbiktag gmeneguzzo
@gmeneguzzo, as far as I know, it's not possible to use an alertcondition in a Pine Strategies. You might want to consider using the original indicator (I just added alerts to it):
+2 Rispondi
cryptolinx tbiktag
@tbiktag, now it is possible. ;) TV has deployed a brand new alert() function, which works with both, strategies and studies.
On strategies, you can choose between 3 diverend calls:

- Order fills only
- Order fills and alert() function calls
- alert() function calls only

TV Blog: https://www.tradingview.com/blog/en/our-new-alerts-allow-for-dynamic-messages-22588/
+2 Rispondi
tbiktag cryptolinx
@cryptolinx, I guess I overlooked this, thanks for the link! I gotta check this
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@tbiktag, when I add alerts to this script it gives me an error about the "repainting" wondering if it's something that I'm doing wrong that I can fix? This strategy is great! Thanks for your contribution.
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tbiktag lawrenceleong
@lawrenceleong, Thanks for the feedback! I think the message that you're talking about is more of a warning than an error. But if you'll be having trouble with setting the alerts, you can always send me a message.
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@tbiktag, I would also like the version with alerts. Can you provide it for us?
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