Powertrend - Volume Range Filter Strategy [wbburgin]The Powertrend is a range filter that is based off of volume, instead of price. This helps the range filter capture trends more accurately than a price-based range filter, because the range filter will update itself from changes in volume instead of changes in price. In certain scenarios this means that the Powertrend will be more profitable than a normal range filter.
Essentials of the Strategy
This is a breakout strategy which works best on trending assets with high volume and liquidity. It should be used on middle to higher timeframes and can be used on all assets that have volume provided by the data source (stocks, crypto, forex). It is long-only as of now. It can work on lower timeframes if you optimize the strategy filters to make less trades or if your exchange/broker is low/no fees, provided that your exchange/broker has high liquidity and volume.
The strategy enters a long position if the range filter is trending upwards and the price crosses over the upper range band, which signifies a price-volume breakout. The strategy closes the long position if the range filter is trending downwards and the price crosses under the lower range band, which signifies a breakdown. Both these conditions can be altered by the three filter options in the settings. The default trend filter is not alterable because it helps prevent false entries and exits that are against the trend.
Settings
The Length setting is the lookback period for the range smoothing.
The ADX Filter setting enables you to turn on an ADX filter, which will halt entries and exits unless the ADX of your customizable length is above a ADX VWMA of that length.
The Range Supertrend setting creates a supertrend from the top and bottom ranges, which can be used to filter entries and exits. The length is customizable. The filter can show you whether the range is making higher highs and lower lows. Below is an example of the Range Supertrend being used as a filter and plotted on-chart:
The VWMA setting halts entries if they are below a customizable length VWMA.
Both the Range Supertrend and the VWMA can also be plotted separately without actually filtering the strategy, so that you can use them independently if you wish. You can turn off the bar color, the highlighting, and the labels if you wish in the settings. A note about the bar color: if the color changes but the strategy does not signal an exit or entry this means that the crossover was against the trend. In these circumstances it may be indicative of a pullback to enter or exit or to add onto your position.
About the Strategy Results Below
A range filter is normally composed of two components - the range filter itself and a smoothing function. In the development of this script I tested both normal and volume-based varieties of the range filter and the smoothing function:
Tests Performed
Volume-based Range x VWMA smoothing
Price-based Range x VWMA smoothing
Price-based Range x EMA smoothing
Volume-based Range x EMA smoothing (final result)
The highest-performing was a volume-based range filter and a normal EMA-based smoothing function, but that does not mean that this strategy will be profitable - exits are based off of signal reversion so I strongly encourage you to develop your own take profits/stop losses for the strategy if you think it may be a good fit for you. The results below are with a commission value of 0.05% (because I built the strategy first for equities), slippage of 3, so if your exchange/broker has a higher fee schedule, I recommend adding filters and/or moving to higher timeframes for the strategy. Additionally, I used 10% of equity in each trade, while using the Range Supertrend filter (the previous upload was unrealistic because it used 100% of equity - missed a 0, apologies, and added in slippage).
Strategy!
Easy Trade Pro [Buy and Sell Strategy + Backtesting System]Hello Traders,
Easy Trade Pro is a comprehensive tool that combines multiple technical indicators into a single customizable one. This tool is the culmination of an extensive trading career, it is designed to help traders navigate the markets in any timeframe and financial asset, like Equities, Futures, Crypto, Forex and Commodities.
Before we deep dive into the comprehensive guide on what Easy Trade Pro is, let's kick off by showcasing the strategy used in this example. Please note, we have adopted an extremely conservative approach strictly following the Tradingview House Rules, which you can review here: www.tradingview.com
The backtest strategy parameters:
Currency pair: EUR USD
Timeframe: 15-min chart
Market: Spot, no leverage
Broker: FXCM
Trading range: 2022-09-01 07:30 — 2023-06-26 20:00
Backtesting range: 2022-08-31 23:00 — 2023-06-26 20:00
Initial Capital: $10,000
Buy Order Size: 20% of the capital, $2,000
Stop Loss: 0.50%
Sell orders: Four different take profits where we unload the position by 25% each time
Broker Fees: Commission set at 0.08$
Slippage: 10 ticks
Understanding FXCM Commissions and Setting Realistic Slippage for EUR/USD Spot Trading:
◉I would like to provide some clarity on the commission structure and slippage setting used in the study for trading the EUR/USD pair on the FXCM spot market. Based on the information available, FXCM charges a commission of $4.00 per standard lot (100,000) on both sides of the trade (meaning at open and close) for the EUR/USD pair. Since the study involve an order size of $2,000 USD, which is equivalent to 0.02 lots, the commission fee for one side of the trade (either buying or selling) would be calculated as $4.00 multiplied by 0.02, which is $0.08. This means that for each individual trade, whether it be a buy or sell, the commission fee would be $0.08.
◉As for slippage, it is crucial to account for the inherent uncertainty in the execution price due to market fluctuations. In the forex market, the EUR/USD pair is quoted with a precision of five decimal places, with the smallest price change being a "pipette" (0.00001). Given that slippage can vary based on market conditions, it is considered fair practice to use a slippage of around 10 ticks under normal market conditions for the EUR/USD pair. This allows for a more realistic representation of the execution price, especially in a liquid and fast-moving market such as forex.
More detailed information about FXCM fees structure in the link below:
docs.fxcorporate.com
Enter a Trade conditions:
For our buy order, we utilize a custom buy signal called 'Bullish Reversal'. A detailed explanation of this and other buy orders can be found later in the guide, specifically in section 1).
To enhance realism in our trading strategy, we have implemented a confirmation mechanism. When utilizing the strategy tester, you have the option to input a value to determine the number of confirmation candles to consider.
For example, if you set the input to 1, the system will check if the next candle following the signal meets the criteria for confirmation. If set to 2, the system will evaluate the second candle, and so on for higher values. The confirmation is determined by comparing the closing or opening price of the selected buy signal candle with the corresponding closing price of the confirmation candle.
In this case we choose as buy signal: 'Bullish Reversal' + 2 candle of confirmation
Exit a trade conditions:
On the sell side, we exit a trade in four different types of sell orders where we take profits. Inside '', you will encounter unique labels attributed to our custom sell signals. A detailed explanation of these sell orders can be found later in the guide, specifically in section 1). We used custom order called:
1TP 'Good Sell'
2TP 'Good Sell'
3TP 'Good Sell'
4TP 'Bearish Reversal' + 4 confirmation candles
Our confirmation logic, for sell signals, is applied only to 'Bearish Reversal' signal. The confirmation is determined by comparing the closing or opening price of the selected 'Bearish Reversal' candle with the corresponding closing price of the confirmation candle. In this case, we wait for the fourth candle from the 'Bearish Reversal' signal to confirm the sell trade.
Protect your capital:
This super-conservative study involves a clear low risk, with the use of $2,000, 20% of our capital. If the stop loss of 0.5% were triggered, we lose 10$, equating to 0.10% of $10,000 - thus affecting only 0.10% of our capital.
Super Conservative Approach & Results:
With 353 closed trades, we achieved a net profit of 2.03%, or $203.34$ relative to our initial $10,000 capital, and a win rate of 73.37%.
Less Conservative Approach & Results:
We could also consider increasing our risk to 0.5% of our capital per trade. We would maintain our stop loss at 0.50%, but we would need to use all our capital to enter the market. If the stop loss of 0.5% will be triggered, we would lose 50$, equating to 0.5% of $10,000.
In this scenario, our net profit would have increased to 10.15%, equivalent to $1015.
Please be aware:
While fully automated strategies can bring considerable advantages, they are not without their cons. For one, relying solely on an automated system may not take into account the potential confluence of other strategies or indicators, such as the significance of support and resistance zones. These elements often require a more nuanced, human understanding of the markets and cannot always be perfectly replicated by an algorithm.
Additionally, it's essential to remember that a significant percentage of traders are not consistently profitable. As such, prudent risk management, a conservative approach, and acceptance of a reasonable profit are crucial aspects of successful trading. While the allure of high returns can be tempting, the sustainability of your trading strategy should always take precedence. Achieving steady, reliable profits over time often outweighs the appeal of a risky, high-return strategy that could potentially lead to substantial losses.
So, while automation can be a powerful tool in your trading arsenal, it's also important to consider other strategies and factors. Always ensure you're managing your risk effectively and approaching trading with a realistic and informed perspective.
------------------------------------------------------------------------ Why Easy Trade Pro is Original? ----------------------------------------------------------------------------------
We developed Easy Trade Pro as a unique and comprehensive solution, and we decided to protect our code to preserve its originality. We invested significant time and effort into making it a realistic trading strategy simulator. The standout features that set Easy Trade Pro apart include:
☀ Versatile Stop Loss Mechanisms: Stop loss execution can be complex and often requires careful coding to work as intended. In most freely available open-source codes, stop losses are implemented using the Average True Range (ATR). ATR can be beneficial but has limitations:
☁ Lagging Indicator - Like most technical indicators, the ATR is a lagging indicator. This means it is based on past data, and so it may not accurately reflect future market volatility. If market conditions change rapidly, the ATR may not adjust quickly enough, potentially leading to suboptimal stop loss levels.
☁ No Directional Information - The ATR measures volatility, but it does not provide any indication of the direction of the trend. Therefore, it should not be used as a standalone tool for making trading decisions, but should be used in conjunction with other technical analysis tools that can provide directional cues.
☁ Inefficiency in Trending Markets - In strongly trending markets, ATR-based stops can sometimes be too far from the current price level. This could lead to larger losses if the price moves against your trade before hitting the stop loss. On the flip side, in less volatile, sideways markets, an ATR-based stop might be set too close to the entry point, leading to premature stop outs.
☁ Overoptimization Risk - If you're backtesting a trading strategy, there's a risk of overoptimizing your stop loss settings by fine-tuning them to past data. The best ATR multiplier that worked in the past might not necessarily work in the future, leading to potential performance issues.
☀ We countered these by implementing four different types of 'protect the trade' mechanisms:
✔ Fixed Percentage Stop Loss
✔ Trailing Stop Loss
✔ Stop Loss Moved to Entry Upon Reaching Certain Gain
✔ Stop Loss Moved to Entry Upon Reaching First Take Profit Order ("Custom Order").
☀ Dual Exit Strategy: We incorporated two distinct methods of exiting a trade. The first uses our custom signals, while the second triggers exit at a certain percentage of gain.
☀ Multiple Take Profit Orders: You have the flexibility to establish up to four different sell orders. This feature enables you to fractionate your exit strategy according to your needs. You can choose to trigger these fractions based on our custom signals or determine your own exit points by setting targeted gains at a fixed percentage.
☀ Confirmation Candle System: This feature enhances trade precision by requiring confirmation candles after a buy or sell signal. This confirmation, dependent on the next candle's closing price, helps reduce false signals and improves entry and exit points. While our confirmation system is applicable to all custom buy signals, it's solely dedicated for the bearish reversal when it comes to sell signals.
☀ Universal Compatibility: Easy Trade Pro's Strategy Tester works perfectly with any asset class. The code can handle different contract types, including the SPX contracts and fractional assets like Bitcoin. It's optimized to ensure proper execution of trades without rounding issues.
☀ Bullish and Bearish Reversal candles: Our method of detecting these pivotal candles combines conditions from buy and sell signals with pertinent divergences in Price, RSI, and Volume (OBV). The distinguishing factor, however, lies in recognizing significant shifts in market structure and liquidity grabs. To further enhance the credibility of our indicator, we've incorporated Bollinger Bands, serving as an additional layer in spotting potential trend reversals, particularly when aligned with long-wick candlesticks, engulfing patterns, and morning or evening star formations.
☀ Non-Repainting Indicator: Our indicator signals are designed not to repaint. Once a signal appears, it stays fixed, offering a reliable tool for your trading decisions.
================================================== EXTENSIVE TECHNICAL DESCRIPTION ====================================================
Easy Trade Pro is versatile, allowing you to analyze market trends across any financial asset. With its rigorous testing, our tool can be used confidently on any timeframe, from 1D to 1min, whether you prefer longer-term or shorter-term trades.
Although we recommend trading on timeframes between 1D and 1min, higher timeframes like 1W chart, can also provide broader insights.
Our study combines a variety of popular technical indicators, such as RSI, Stochastic RSI, MACD, DMI, Bollinger Bands as well as relevant EMAs. On the volume side OBV and MFI. Using a data-driven approach, “Easy Trade Pro” analyzes historical market trends to identify optimal ways to combine these indicators with significant divergences between price and oscillators. On top of that the code considers relevant changes in market structure and liquidity grabs, to generate reliable and accurate signals for potential buy and sell opportunities.
* ☎ --> Please not that MACD, BBs, and EMAs account for a minimal part of our script <--- ☎, If you're looking for a simpler tool, consider checking out our open-source indicator, 'RSI, SRSI, MACD, and DMI cross - Open source code'. You can find it here:
With our customizable system, traders will be able to identify:
1) Three types of buy signals🐂,💰,💎 and sell signals 🐻,🔨,💀
2) Bullish and bearish reversal candles with support and resistance lines
3) Bull and bear momentum signals
4) A function that utilizes Color bars to identify the strength of the trend
5) Three customizable moving averages
6) Alerts direct to your email or phone
7) Advanced and customizable settings menu
8) Our software also includes a backtesting system that that allows users to test their trading strategies on historical data, to check how they would have performed in real-world market conditions. This can help refine a trading strategy and make more informed decisions.
------------------------------------------------------------------------------ 1) BUY AND SELL SIGNALS ---------------------------------------------------------------------------------
Our buy and sell signals are generated using a custom combination of RSI, MFI, and Stochastic RSI levels, as well as relevant MACD and Stochastic RSI crosses. These indicators are carefully analyzed to identify potential trading opportunities and determine optimal entry and exit points for trades.
RSI (Relative strength index) measures the strength of a security's price action, while the SRSI (Stochastic Relative Strength Index) is a momentum oscillator that measures the current price relative to its high and low range over a set period. The Money Flow Index (MFI) is another momentum indicator that uses both price and volume data to measure buying and selling pressure. MACD (Moving Average Convergence Divergence) is a popular technical indicator used in financial markets to analyze price trends and momentum.
▶ With our system, you'll be able to identify three different levels of buy signals:
◉ The first level of buy signal is represented by a 🐂 emoji and is a "Good Buy". This signal indicates a possible buying opportunity. It indicates that could be a good opportunity to enter in a long trade. It's important to note that, the "Good Buy" signal can sometimes be supplemented with a green "Bull" text and a flag plotshape positioned beneath the signal. In these scenarios, we categorize this as a "Good Buy Bull" signal.
◉ The second level of buy signal is represented by a 💰 emoji and is a "Great Buy". This signal indicates a stronger buying opportunity than the "Good Buy" signal.
◉ The third and strongest buy signal is represented by a 💎 emoji and is an "Incredible Buy". This signal indicates a stronger buying opportunity than the "Good Buy" and "Great Buy" signals
▶ With our system, you'll be able to identify three different levels of sell signals:
◉ On the sell side, the first level is represented by a 🐻 emoji and is a "Good Sell". This signal indicates a possible selling opportunity. It indicates that could be a good opportunity to exit a trade or open a short position. It's important to note that, the "Good Sell" signal can occasionally be accompanied by a red "Bear" text and a flag plotshape positioned beneath the signal. In such instances, we refer to this as a "Good Sell Bear" signal.
◉ The second sell signal is represented by a 🔨 emoji and is a "Great Sell". This signal indicates a stronger selling opportunity than the "Good Sell" signal.
◉ The third and strongest sell signal is represented by a 💀 emoji and is an "Incredible Sell". This signal indicates a stronger selling opportunity than the "Good Sell" and "Great Sell" signals.
------------------------------------------2) "BULLISH AND BEARISH REVERSAL CANDLES PLUS SUPPORT AND RESISTANCE LINES" ------------------------------------------------
Bullish and bearish reversal candles are specific candles that have more probability to reverse the trend.
Our trading indicator is designed to identify bullish and bearish reversal candles. Our method of detecting these pivotal candles combines conditions from buy and sell signals with pertinent divergences in Price, RSI, and Volume (OBV). The distinguishing factor, however, lies in recognizing significant shifts in market structure and liquidity grabs. To further enhance the credibility of our indicator, we've incorporated Bollinger Bands, serving as an additional layer in spotting potential trend reversals, particularly when aligned with long-wick candlesticks, engulfing patterns, and morning or evening star formations.
These candles are represented by blue and orange colors respectively by default. Additionally, the indicator also uses lines that are drawn at either the opening or closing of candles to help identify pivot points of support or resistance. These candles, lines color or shape are customizable in the settings menu.
How can I benefit the most from bullish reversal candles? To make the most of bullish reversal candles, a powerful strategy is:
E.g, 1D chart - Wait for the next 1 or 2 candles to close above the support line linked to the bullish reversal candle. For lower timeframes, it is recommended to wait for 2 or 3 candles before making a trading decision. A good tip is also to look for other signals (confluence), like a buy signal. Traders should decide based on their risk tolerance.
Here below we can see an example of a bullish reversal candle in the BTC/USDT, 1D, chart. The system identify a bullish reversal candle (blue color), the next 2 candles are green and closed above the support blue line, in addition we have other bullish signals (confluence).
How can I benefit the most from bullish reversal lines? Bullish reversal lines can help traders to identify key level of support and maintain control of their position until a clear break below occurs.
In the example below we se how the price retrace to the support line:
After touching the price bounce up.
How can I benefit the most from bearish reversal candles? To make the most of bearish reversal candles, a powerful strategy is:
E.g, 1D chart - Wait for the next 1 or 2 candles to close below the resistance line linked to the bearish reversal candle. For lower timeframes, it is recommended to wait for 2 or 3 candles before making a trading decision. Traders should decide based on their risk tolerance.
Here below we can see an example of a bearish reversal candle in the ETH/USDT, 1D, chart. The system identify a bearish reversal candle (orange color), the next candle is red and closes below the resistance orange line. A good tip is also to look for other signals (confluence), like a sell signal.
How can I benefit the most from bearish reversal lines? Bearish reversal lines can help traders to identify key level of resistance and maintain control of their position until a clear break above occurs.
In the example below we se how the price bounce back to the resistance line and get rejected.
------------------------------------------------------------------------- 3) BULL AND BEAR MOMENTUM SIGNALS -----------------------------------------------------------------------
We analyzed factors such as buy or sell signals, long or short confirmation signals, DMI crossup or crossdown and breaks of market structure (BOS) or change of character (CHoCh) to determine the strength and direction of the trend. These study give us bull trend or bear trend signals that can help traders identify potential trading opportunities and make informed decisions.
These conditions are represented by a green word "BULL" and a flag shape below (bull momentum) and by a red word "BEAR" and a flag shape above (bear momentum) respectively by default. These plots shapes are customizable in the settings menu.
How can I benefit the most from bull momentum signals? To make the most of bull momentum signals, a powerful strategy is:
E.g, 1D chart - Look for confluence. If bull signal comes with a "Good Buy 🐂" in the same candle the signal is more strong. Another good combo is to look for a bullish reversal candle prior or after this signal, usually within a range of 1/2 candles. For lower timeframes, it is recommended to wait 2/3 candles before making a trading decision.
In the picture below we can see an example of a bull momentum signal in the US500, 1D, chart.
How can I benefit the most from bear momentum signals? To make the most of bear momentum signals, a powerful strategy is:
E.g, 1D chart - Look for confluence. If bear signal comes with a "Good Sell 🐻" in the same candle the signal is more strong. Another good combo is to look for a bearish reversal candle prior or after this signal, usually within a range of 1/2 candles. For lower timeframes, it is recommended to wait 2/3 candles before making a trading decision.
In the picture below we can see an example of a bear momentum signal in combo with a sell signal, NETFLIX, 1D, chart.
-------------------------------------------------------------- 4) "COLOR BARS THAT INDICATE THE STRENGTH OF THE TREND -----------------------------------------------------
This code is responsible for changing the color of the bars on a chart based on certain conditions. The gradient colors are defined for green and red, and the algorithm checks if the current bar is within a certain range of either a bearish reversal or bullish reversal candle and whether the price is above or below certain exponential moving averages or if important break of market structure occurs.
Ultimately, this feature helps traders visually identify potential trends and market shifts and avoid getting distracted by price fluctuations. Please note that every gradient of color can be customize by the user. We set 3 different bullish colors and 3 different bearish colors.
Below the picture of the settings menu related to the bar color.
----------------------------------------------------------------------5)THREE CUSTOMIZABLE MOVING AVERAGES ----------------------------------------------------------------------
You can choose up to three moving averages, any length and any type like SMA, EMA, WMA, HMA, RMA, SWMA and VWMA. Furthermore, you have the freedom to adjust the color and width of the lines to your preference.
Below the picture of the settings menu related to the moving averages.
----------------------------------------------------------------------6) ALERTS DIRECT TO YOUR EMAIL OR PHONE --------------------------------------------------------------------
Our alert feature sends real-time notifications directly to your email or phone when a signal is generated, allowing you to take immediate action and stay ahead of the market.
With our system, you first establish your own rules for trading in the strategy tester - this includes your criteria for entering and exiting trades.
Once you've defined these conditions, our system will start sending you alerts. These alerts will be triggered whenever your specified conditions are met. So, if the market matches your 'enter trade' conditions, you'll receive an alert prompting. Similarly, when your 'exit trade' conditions are met, you'll receive another alert.
Remember, these alerts are purely based on the conditions you set.
Once the condition is met, you will receive alerts directly to your email or phone when enter and exit a trade based on your custom conditions. To make sure you receive these notifications click on notifications tab.
---------------------------------------------------------------7) ADVANCED AND CUSTOMIZABLE SETTINGS MENU----------------------------------------------------------------------
We designed Easy Trade indicators with traders in mind, so it's user-friendly, easy to navigate and users can customize inputs, style, and colors of every feature in the indicator's settings menu.
-----------------------------------------------------------------------8) EASY TRADE PRO - BACKTESTING SYSTEM----------------------------------------------------------------------
Easy Trade Pro features a highly effective and realistic backtesting system, designed to mirror as closely as possible the real-world scenarios of entering and exiting trades.
Step 1:
Open the settings menu of the Indicator.
Once opened the settings menu click on properties.
Decide on the capital you wish to invest. Choose whether to use contracts or USD and determine the size of your orders. For the sake of realism, we recommend not exceeding 25% of your capital per order. However, if you decide to utilize your entire capital, make sure to adjust your stop loss accordingly. For instance, if you have a capital of 10K and use 10K with a stop loss at 2%, your potential loss would be $200. Conversely, if you use only 2K of your 10K capital with a stop loss at 10%, you would still lose the same 2% of your capital. To make your simulation even more authentic, consider incorporating broker fees or commissions into your calculations. For example, spot market fees are typically around 0.10%. If you're backtesting markets with low liquidity, consider factoring in slippage as well.
Step 2:
Navigate to the 'Inputs' section and scroll down until you come across 'Backtesting System - Strategy Test'. Once you locate this, click on the box and activate the 'USE STRATEGY SYSTEM' option by checking the tick box.
Also You will then need to set a 'Start Date' and 'End Date', establishing a specific time period during which you wish to test your strategy.
Otherwise you can consider to use the deep backtesting feature.
Step 3:
It's now time to establish the conditions for entering a trade. You can choose from five different types of custom buy signals: Good Buy, Good Buy Bull, Great Buy, Incredible Buy, and Bullish Reversal. Note that 'Great Buy' and 'Incredible Buy' are rare signals, so we advise against using them frequently in mechanical strategy tests; instead, consider them more for manual live tests. For more consistent results, we recommend using the other buy signals.
After determining your preferred buy signal, you can choose how many confirmation candles you wish to wait for before entering a trade. A 'confirmation' means that if the next candle closes above the opening or closing price of the chosen buy signal, it's considered a confirmation. This could be the opening or closing price, depending on whether the candle is green (close > open) or red.
You can set the number of confirmation candles in different time frames: below 2h, between 2h and 10h, and above 10h.
Step 4:
It's now time to safeguard your trade by managing risk. You can choose to implement a stop loss, expressed in percentage terms, or opt for a trailing stop. A trailing stop is a type of stop loss order that moves with the market price. It is designed to protect gains by enabling a trade to remain open and continue to profit as long as the market price is moving in a favorable direction. However, the trade closes if the market price changes direction by a specified amount (the 'trailing stop distance').
Additionally, you can minimize losses and move the stop loss to your entry point once the price reaches a certain percentage of profit. This strategy can help secure potential gains while limiting the potential for losses.
Step 5:
Now it's time to set the conditions for exiting the trade. You have the option to divide your exit into a maximum of four parts, with each part representing 25% of the position size. For each take profit point, you can choose from three different custom sell signals: Good Sell, Good Sell Bear, and Bearish Reversal.
Similarly, the concept of confirmation candles also applies here, but in this case, the candles are not closing above. A 'confirmation' for a sell signal means that if the next candle closes below the opening or closing price of the selected sell signal, it's considered a confirmation. This could be the opening or closing price, depending on whether the candle is green (open > close) or red (close < open).
So, when you're looking to sell, a confirmation would occur if the next candlestick's closing price is lower than the opening or closing price of the candlestick that triggered the sell signal. This indicates a potential bearish trend, providing the confirmation to execute the sell order.
Additionally, we've introduced a feature that allows you to move your stop loss to the entry point whenever the first take profit (1TP) is reached, which equates to hitting one custom sell signal.
Step 6:
We've also designed an alternative method for taking profits. With this approach, you can choose to exit your position once a fixed percentage gain from the entry point is reached. For instance, you might decide to exit when a 10% profit is achieved. Similarly to the previous method, this approach allows you to choose up to four exit points and determine the proportion of your position you want to close at each stage.
Conclusion:
Easy Trade Pro provides users with various options for entering and exiting trades. To effectively utilize the indicator, we strongly recommend conducting thorough backtesting and considering the results across your preferred trading pairs. It is advisable to analyze a substantial number of trades, ideally exceeding 100 trades, to obtain reliable insights into the indicator's performance. This approach will help you gain a better understanding of how Easy Trade Pro aligns with your trading strategy and objectives.
❗Keep attention❗
It is important to note that no trading indicator or strategy is foolproof, and there is always a risk of losses in trading. While this indicator may provide useful information for making conclusions, it should not be used as the sole basis for making trading decisions. Traders should always use proper risk management techniques and consider multiple factors when making trading decisions.
It is also important to be aware of the limitations of simulated performance results. Hypothetical or simulated results do not represent actual trading, and since trades have not been executed, results may be over- or under-compensated for market factors such as lack of liquidity. Simulated trading programs are also designed with the benefit of hindsight, and no representation is being made that any account will achieve profits or losses similar to those shown. Therefore, our indicators are for informative purposes only and not intended to be used as financial advice.
We encourage traders to use our indicators as part of a well-rounded trading strategy and to always be aware of the risks involved in trading. Remember that past performance is not indicative of future results and always trade responsibly.
Ta StrategyHello guys
This script follows traditional technical indicators
MACD, ADX, RSI and pivot points
If the price is above the resistance and the MACD has crossover ,and the RSI 14 is above 50
ADX is higher than 20, and DI+ is higher than DI-. This is a buy signal and vice versa for a sell signal
The script moves the stop loss to the entry price after the first target is reached
You can specify the quantity you want to sell when the price reaches the first target
There are also options like if you want the script to entry long or short, or both
you can reverse the strategy if it does not work well
If you want to inquire about any details, please let me know in the comments
Volatility Compression Breakout - LeafAlgo Pro StrategyThe Volatility Compression Breakout strategy is designed to identify periods of low volatility followed by potential breakout opportunities in the market. It aims to capture moments when the price consolidates within a narrow range, indicating a decrease in volatility, and anticipates a subsequent expansion in price movement. This strategy is based on our indicator of the same name (), but differs by offering many more options for the band/channel type and trend filters in addition to implementing the ability to use this strategy with algorithmic plug-ins (see details at the bottom).
This strategy features six types of bands/channels and five types of trend filters, for a total of 30 combinations. The six band/channel types are the Adaptive Gaussian MA channel (based on the Adaptive Gaussian MA that we previously published ()), standard Bollinger Bands, smoothed Bollinger Bands (basis is an EMA of the typical Bollinger Basis), Keltner Channels, a Quadratic Regression Channel (based on the channel that we previously published in the LeafAlgo Pro indicator ()), and Volatility-Based Mean Reversion Bands (). The five trend filters include an EMA, SMA, Weighted MA, McGinley Dynamic, and the Adaptive Gaussian MA itself.
Examples of the different band/channel types (all with EMA as the trend filter):
Adaptive Gaussian MA Channel:
Bollinger Bands:
Smoothed Bollinger Bands:
Keltner Channels:
Quadratic Regression Channel:
Volatility-Based Mean Reversion Bands:
Examples of the different trend filters (all with Keltner Channels):
EMA:
SMA:
WMA:
McGinley Dynamic:
Adaptive Gaussian MA:
How the Long/Short Entry Signals are Calculated:
A breakout signal upwards, accompanied by a long entry, is created when the high is greater than the secondary upper band (the upper band plus a standard deviation or with a multiplier, depending on which band/channel type is selected), the latest close is above the trend filter line, and the previous close was below the trend filter line. A break downwards, accompanied by a short entry, is created when the low is below the secondary lower band, the close is below the trend filter line, and the previous close was above the trend filter line. These conditions, along with a confirmed barstate, make up the strategy entry signals.
Coloration:
When the close price is above both the middle/basis and the trend filter, the bars are colored lime green, indicating a potential bullish market sentiment. When the close price is positioned above the basis but below the trend filter, or below the basis but above the trend filter, the bars are colored yellow, signifying a neutral or indecisive market condition. Conversely, when the close price falls below both the basis and the trend filter, the bars are colored fuchsia, suggesting a potential bearish market sentiment. Additionally, the coloration of the middle/basis line and the trend filter provides further visual cues for assessing the trend. When the close price is above the basis, the line is colored lime green, indicating a bullish trend. Conversely, when the close price is below the basis, the line is colored fuchsia, highlighting a bearish trend. Similarly, the trend line is colored lime green when the close price is above it, representing a bullish trend, and fuchsia when the close price is below it, indicating a bearish trend. The fill between the primary and secondary upper bands is colored lime and the fill between the primary and secondary lower bands is colored fuchsia. These colorations can be toggled on/off in the strategy settings menu.
How Changing Parameters Can Be Beneficial:
Modifying the parameters allows you to adapt the indicator to different market conditions and trading styles. For example, with Keltner Channels, increasing the compression period can help identify broader volatility patterns and major market shifts. On the other hand, decreasing the compression period provides more precise and timely signals for short-term traders. Adjusting the compression multiplier affects the width of the Keltner Channels. Higher multipliers increase the breakout threshold, filtering out smaller price movements and providing more reliable signals during significant market shifts. Lower multipliers make the indicator more sensitive to smaller price ranges, generating more frequent but potentially less reliable signals.
Changing the type of trend filter can drastically change your results. Test out each trend filter type and determine which one will work best for your purposes. Further, the MA periods in the trend filter settings can help you align your trades with the prevailing market direction. Increasing the period smoothes out the trend, filtering out shorter-term fluctuations and focusing on more sustained moves. Decreasing the period allows for quicker responses to changes in trend, capturing shorter-term price swings.
By adjusting the parameters and incorporating additional analysis techniques, you can customize the strategy to suit your trading style and preferences. However, it is crucial to exercise caution, conduct thorough analysis, and practice proper risk management to increase the likelihood of successful trades. Remember that no strategy can guarantee profits, and continuous learning and adaptation are key to long-term trading success.
Take Profit/Stop Loss Settings:
Take profit, stop loss, and trailing percentages are also included, found at the bottom of the Input tab under “TT and TTP” as well as “Stop Loss”. The take profit and stop loss levels will be reflected as green and red lines respectively on the chart as they occur. Make sure to understand the TP/SL ratio that you desire before use, as the desired hit rate/profitability percentage will be affected accordingly. The option for adding in a trailing stop has also been included, with options to choose between an ATR-based trail or a percentage-based trail. This strategy does NOT guarantee future returns. Apply caution in trading regardless of discretionary or algorithmic. Understand the concepts of risk/reward and the intricacies of each strategy choice before utilizing them in your personal trading.
Profitview/Pineconnector Settings:
If you wish to utilize Profitview’s automation system, find the included “Profitview Settings” under the Input tab of the strategy settings menu. If not, skip this section entirely as it can be left blank. Options will be “OPEN LONG TITLE”, “OPEN SHORT TITLE”, “CLOSE LONG TITLE”, and “CLOSE SHORT TITLE”. If you wished to trade SOL, for example, you would put “SOL LONG”, “SOL SHORT”, “SOL CLOSE LONG”, and “SOL CLOSE SHORT” in these areas. Within your Profitview extension, ensure that your Alerts all match these titles. To set an alert for use with Profitview, go to the “Alerts” tab in TradingView, then create an alert. Make sure that your desired asset and timeframe are currently displayed on your screen when creating the alert. Under the “Condition” option of the alert, select the strategy, then select the expiration time. If using TradingView Premium, this can be open-ended. Otherwise, select your desired expiration time and date. This can be updated whenever desired to ensure the strategy does not expire. Under “Alert actions”, nothing necessarily needs to be selected unless so desired. Leave the “Alert name” option empty. For the “Message”, delete the generated message and replace it with {{strategy.order.alert_message}} and nothing else. If using Pineconnector, follow the same directions for setting up an alert, but use the ",buy,,risk=" syntax as noted in the tooltips.
Additional Sample Settings (for ETHUSDT-Binance 45M):
Band/Channel Type - Keltner Channels (Compression Period of 20, Multiplier of 1.8x)
Trend Filter - WMA (50 length, no offset, close as the source)
TP/SL - 3.0% TP / 2.0% SL, 0.005 trailed TP, no trailed SL
The Z-score The Z-score, also known as the standard score, is a statistical measurement that describes a value's relationship to the mean of a group of values. It's measured in terms of standard deviations from the mean. If a Z-score is 0, it indicates that the data point's score is identical to the mean score. Z-scores may be positive or negative, with a positive value indicating the score is above the mean and a negative score indicating it is below the mean.
The concept of Z-score was introduced by statistician Carl Friedrich Gauss as part of his "method of the least squares," which was an important step in the development of the normal distribution and Z-score tables. It's a key concept in statistics and is used in various statistical tests.
In financial analysis, Z-scores are used to determine whether a data point is usual or unusual. You can think of it as a measure of how many standard deviations an element is from the mean. For instance, a Z-score of 1.0 would denote a value that is one standard deviation from the mean. Z-scores are also used to predict probabilities, with Z-scores having a distribution that is expected to be normal.
In trading, a Z-score is used to determine how often a trading system may produce a string of winners or losers. It can help a trader to understand whether the losses or profits they see are something that the system would most likely produce, or if it's a once in a blue moon situation. This helps traders make decisions about when to start or stop a system.
I just wanted to play a bit with the Z-score I guess.
Feel free to share your findings if you discover additional applications for this strategy or identify timeframes where it appears to perform more optimally.
How it works:
This strategy is based on a statistical concept called Z-score, which measures the number of standard deviations a data point is from the mean. In other words, it helps determine how unusual or usual a data point is.
In the context of this strategy, Z-score is applied to a 10-period EMA (Exponential Moving Average) of Heikin-Ashi candlestick close prices. The Z-score is calculated over a look-back period of 25 bars.
The EMA of the Z-score is then calculated over a 20-bar period, and the upper and lower thresholds (bounds for buy and sell signals) are defined using the 90th and 10th percentiles of this EMA score.
Long positions are taken when the Z-score crosses above the lower threshold or crosses above the mid-line (50th percentile). An additional long entry is made when the Z-score crosses above the highest value the EMA has been in the past 100 periods.
Short positions are initiated when the EMA crosses below the upper threshold, lower threshold or the highest value the EMA has been in the past 100 periods.
Positions are closed when opposing entry conditions are met, for example, a long position is closed when the short entry condition is true, and vice versa.
Set your desired start date for the strategy. This can be modified in the timestamp("YYYY MM DD") function at the top of the script.
RSI-CCI Fusion StrategyRSI-CCI Fusion Strategy: Harnessing the Power of RSI and CCI
The "RSI-CCI Fusion Strategy" is a powerful trading approach that combines the strengths of the Relative Strength Index (RSI) and the Commodity Channel Index (CCI) to provide enhanced trading insights. This strategy is based on the popular "RSI & CCI Fusion + Alerts" indicator, which utilizes the RSI and CCI indicators from TradingView .
1. Overview of RSI and CCI:
The Relative Strength Index (RSI) is a widely used momentum oscillator that measures the speed and change of price movements. It helps traders identify overbought and oversold conditions in the market. On the other hand, the Commodity Channel Index (CCI) is a versatile indicator that identifies cyclical trends and provides insights into overbought and oversold levels.
2. The RSI-CCI Fusion Strategy:
The RSI-CCI Fusion Strategy harnesses the combined power of the RSI and CCI indicators to generate robust trading signals. By blending the RSI and CCI, this strategy captures both momentum and cyclical trend dynamics, offering a more comprehensive view of the market.
3. Utilizing the RSI-CCI Fusion Indicator + Alerts:
The "RSI & CCI Fusion + Alerts" indicator serves as the backbone of the RSI-CCI Fusion Strategy. It integrates the RSI and CCI indicators from TradingView, providing traders with a clear and actionable trading signal.
4. How it Works:
- The indicator calculates the RSI and CCI values, standardizes them using z-score, and combines them with a weighted fusion approach.
- The resulting RSI-CCI Fusion indicator is plotted on the chart, accompanied by dynamic upper and lower bands, which help identify potential overbought and oversold conditions.
- Traders can customize alerts based on their preferred thresholds and timeframes, enabling them to receive timely notifications for potential buy and sell signals.
5. Implementing the RSI-CCI Fusion Strategy:
Traders following the RSI-CCI Fusion Strategy can utilize the buy and sell signals generated by the RSI-CCI Fusion indicator. When the indicator crosses below the upper band, it may signal a potential selling opportunity. Conversely, when it crosses above the lower band, it may indicate a potential buying opportunity. Traders can also consider additional factors and technical analysis tools to validate the signals before making trading decisions.
Conclusion: The RSI-CCI Fusion Strategy provides traders with a robust approach to analyze the market and make well-informed trading decisions. By incorporating the RSI and CCI indicators through the "RSI & CCI Fusion + Alerts" indicator, traders can take advantage of the combined strengths of these indicators. However, it is important to remember that no strategy guarantees success, and traders should always practice risk management and conduct thorough analysis before executing trades using this strategy.
Disclaimer: Trading involves risks, and it is important to conduct your own research and consult with a financial advisor before making any investment decisions.
Note: The RSI-CCI Fusion Strategy serves as a general guide, and individual traders may have different preferences and trading styles.
Williams %R Strategy
The Williams %R Strategy is a trading approach that is based on the Williams Percent Range indicator, available on the TradingView platform.
This strategy aims to identify potential overbought and oversold conditions in the market, providing clear buy and sell signals for entry and exit.
The strategy utilizes the Williams %R indicator, which measures the momentum of the market by comparing the current close price with the highest high and lowest low over a specified period. When the Williams %R crosses above the oversold level, a buy signal is generated, indicating a potential upward price movement. Conversely, when the indicator crosses below the overbought level, a sell signal is generated, suggesting a possible downward price movement.
Position management is straightforward with this strategy. Upon receiving a buy signal, a long position is initiated, and the position is closed when a sell signal is generated. This strategy allows traders to capture potential price reversals and take advantage of short-term market movements.
To manage risk, it is recommended to adjust the position size based on the available capital. In this strategy, the position size is set to 10% of the initial capital, ensuring proper risk allocation and capital preservation.
It is important to note that the Williams %R Strategy should be used in conjunction with other technical analysis tools and risk management techniques. Backtesting and paper trading can help evaluate the strategy's performance and fine-tune the parameters before deploying it with real funds.
Remember, trading involves risks, and past performance is not indicative of future results. It is always advised to do thorough research, seek professional advice, and carefully consider your financial goals and risk tolerance before making any investment decisions.
HK Percentile Interpolation One
This script is designed to execute a trading strategy based on Heikin Ashi candlesticks, moving averages, and percentile levels.
Please note that you should keep your original chart in normal candlestick mode and not switch it to Heikin Ashi mode. The script itself calculates Heikin Ashi values from regular candlesticks. If your chart is already in Heikin Ashi mode, the script would be calculating Heikin Ashi values based on Heikin Ashi values, which would produce incorrect results.
The strategy begins trading from a start date that you can specify by modifying the `startDate` parameter. The format of the date is "YYYY MM DD". So, for example, to start the strategy from January 1, 2022, you would set `startDate = timestamp("2022 01 01")`.
The script uses Heikin Ashi candlesticks, which are plotted in the chart. This approach can be useful for spotting trends and reversals more easily than with regular candlestick charts. This is particularly useful when backtesting in TradingView's "Rewind" mode, as you can see how the Heikin Ashi candles behaved at each step of the strategy.
Buy and sell signals are generated based on two factors:
1. The crossing over or under of the Heikin Ashi close price and the 75th percentile price level.
2. The Heikin Ashi close price being above certain moving averages.
You have the flexibility to adjust several parameters in the script, including:
1. The stop loss and trailing stop percentages (`stopLossPercentage` and `trailStopPercentage`). These parameters allow the strategy to exit trades if the price moves against you by a certain percentage.
2. The lookback period (`lookback`) used to calculate percentile levels. This determines the range of past bars used in the percentile calculation.
3. The lengths of the two moving averages (`yellowLine_length` and `purplLine_length`). These determine how sensitive the moving averages are to recent price changes.
4. The minimum holding period (`holdPeriod`). This sets the minimum number of bars that a trade must be kept open before it can be closed.
Please adjust these parameters according to your trading preferences and risk tolerance. Happy trading!
Premium PRISM Algorithm [ByteBoost]The ByteBoost PRISM strategy is designed to operate in various market conditions by leveraging the concept of brownian motion theory, which refers to the unpredictable movement of particles suspended in a fluid. This characteristic of random motion can be effectively utilized for analyzing time series data, such as market candles. Based on this notion, we are making the following assumptions regarding the market.
The stock price exhibits characteristics of Brownian motion.
The stock price is distributed in a log-normal pattern.
Volatility remains constant over time.
Options can only be exercised upon expiration.
Risk-free interest does not fluctuate over time.
There are no random or arbitrary opportunities present in the market.
Development Notes
This Strategy was developed with the PineScript language, version 5. This indicator, and most of the descriptions below, were derived largely from the TradingView reference manual. Feedback and suggestions for improvement are more than welcome, as well as recommended input settings and best practices to assist and guide new users effectively.
Features
The ByteBoost PRISM indicator is capable of analyzing multiple aspects of market behavior simultaneously such as:
Detection of potential trend reversals.
Assessment of trend strength and market sentiment.
Identification of stop loss levels.
Discovery of potential entry and exit points.
Ensuring compatibility and effectiveness with other indicators.
Visualization of strategy using historical data.
Customization options available.
Strategy Description
PRISM is an all in one strategy that allows the visualization of entry and exit points as well as the historical performance for every set of parameters. PRISM is a slow paced indicator recommended for the 1h timeframe, because it operates on the belief that markets move in a Brownian motion, for which it leaves enough space and time for the market to decide a trend and catch it at the right time as well as finding appropriate exits given the trend.
PRISM can exist in either an uptrend or downtrend state, but it does not necessarily imply that it reflects the true trend being observed. Instead, it emphasizes capturing significant movements and capitalizing on them by utilizing oscillator levels and exit points calculated based on oversold or overbought values, along with the volatility associated with these movements.
Usage
To use this strategy it is first needed to select a correct set of inputs that correspond to the market you are using, the extra, win difference and oscillator length are dependent on the current market and the average price it manages, so these inputs need to be modified for every pair of assets used.
The long and short tags signify the opportune moment to initiate a new position in the market, whether it's a long or short position, respectively. The exit tags indicate when these positions should be closed. If no exits occur before a new long or short position emerges, it is essential to conclude the existing position and commence a new one in the opposite direction.
Regarding exits, up to two exits can be executed for each movement. The user has the flexibility to determine how these exits are utilized. In the input section, a specific percentage of equity can be selected to be sold during the first exit. If set to 100%, only a single exit will be presented. Otherwise, the remaining equity will be sold during the second exit or at the next trend reversal depending on which action occurs first.
In case the user requires additional exits beyond the initial two, the alternative exits option can be activated in the inputs. This will provide access to supplementary exits, although they may be less advisable compared to the primary exits.
Inputs / Settings
Capital - If using any leverage multiply the amount of money to invest by the leverage, else input the amount to be invested in every trade.
Start date - The date from which the strategy should begin its analysis. Leave unchanged to start from the earliest available date based on your account's plan.
End date - The date until which the strategy should conduct its analysis. Leave unchanged to continue until the current date.
Extra - The minimum gain required in the market to trigger an exit opportunity. It can be a negative number to allow exits at a loss, potentially minimizing losses.
First exit % - If an exit is decided to be partial, it is very likely that there will be a second exit, this parameter determines the percentage of equity to be sold at the first exit. Note that a second exit may not always be applicable.
Win difference - The minimum difference between the entry point and the first exit to determine whether it should be a full exit or a partial exit, as the exit price approaches the entry price, the probability of a trend reversal increases, a full exit is beneficial.
Limit length - Specifies the number of candles to consider for the overbought and oversold market calculation.
Low limit - Sets the minimum value of the limit to decide a short exit.
High limit - Sets the maximum value of the limit to decide a long exit.
Band length - Determines the number of candles to consider for the volatility analysis.
Band height - Sets the multiplication factor of the band to set the maximum and minimum height.
Increment - Determines the rate at which trend reversals occur. A higher value brings the line closer to the current price faster.
Candles exit - Specifies the minimum number of candles required to pass for an exit to become available after initiating a new position.
Oscillator - Enables or disables the main oscillator, which helps determine entry points. Not all assets may benefit from this parameter.
Oscillator length - Specifies the number of candles considered for the entry points oscillator.
Highlighter - Applies a light color between the trend and average price of each bar.
Trend Labels - Displays labels indicating an uptrend or downtrend.
Signal Labels - View the labels indicating a new long or short position.
Exit Labels - Displays the labels indicating exit points.
Candle color - Color codes the inside of the candles with the current signal.
Cloud - Visualize the average price cloud to determine trend direction.
Oscillator points - Adds visual dots to indicate when the oscillator has changed its trend.
Oscillator line - Displays the values of the oscillator to indicate upcoming trend changes.
Alternative exits - Shows additional exits to the ones we recommend, useful if the user missed an exit or needs to have more than two.
Color uptrend - Determines the color scheme for identifying uptrend movements.
Color downtrend - Determines the color scheme for identifying downtrend movements.
Color long - Sets the color scheme for a new long position.
Color short - Sets the color scheme for a new short position.
Color exit - Decides the color scheme for the exit tag and cross shown.
Color alternative exit - Changes the color scheme for the alternative exit cross.
Color oscillator line - Determines the color scheme used for the oscillator line.
Indicator Visuals
The strategy plots the direction of the trend on the chart and changes its color based on this. It also plots shapes on the chart to denote potential buy (Long) and sell (Short) points, where the signals of short and long will appear as well as exit points which can be found as three different,
Exit 1 - A partial exit which sells the previously selected percentage of equity.
Exit 2 - A second exit that can only happen after an Exit 1 has happened, and sell the remaining amount of equity.
Exit Full - A full exit is executed when the price at the exit point is lower than the entry price plus the win difference value. This condition indicates that it is more advantageous to take a single exit rather than waiting for a second exit.
Strategy Alerts
The strategy does not include built-in alerts. However, alerts can be added using the TradingView interface based on the strategy's buy and sell conditions. This way you will be able to receive notifications on your computer or phone when a new signal goes out.
Details
Repainting: It is important to mention that the strategy can mark false long or short signals, as the oscillator is allowed to repaint on the same candle. So users must make sure the candle has closed on buy/sell conditions.
Excessive capital issue: If you configure the strategy with a big amount of capital (+$1,000,000 for example) it is possible that it will completely stop calculating exit signals, as they will be too big for TradingView’s engine to process.
Conclusion
The ByteBoost PRISM strategy empowers traders by providing comprehensive market analysis, clear entry and exit signals, and the ability to visualize strategy performance using historical data. It is a superior algorithm that maximizes profit potential and minimizes risks, making it the preferred choice for traders seeking a competitive edge in the financial markets.
Disclaimer
This strategy is provided as-is, with no guarantee of profits or responsibility for losses. Trading involves risk, and you should only trade with money you can afford to lose. Always conduct your own research and consider your financial situation before engaging in trading.
Monthly Strategy Performance TableWhat Is This?
This script code adds a Monthly Strategy Performance Table to your Pine Script strategy scripts so you can see a month-by-month and year-by-year breakdown of your P&L as a percentage of your account balance.
The table is based on realized equity rather than open equity, so it only updates the metrics when a trade is closed.
That's why some numbers will not match the Strategy Tester metrics (such as max drawdown), as the Strategy Tester bases metrics like max drawdown on open trade equity and not realized equity (closed trades).
The script is still a work-in-progress, so make sure to read the disclaimer below. But I think it's ready to release the code for others to play around with.
How To Use It
The script code includes one of my strategies as an example strategy. You need to replace my strategy code with your own. To do that just copy the source code below into a blank script, delete lines 11 -> 60 and paste your strategy code in there instead of mine. The script should work with most systems, but make sure to read the disclaimer below.
It works best with a significant amount of historical data, so it may not work very effectively on intraday timeframes as there is a severe limitation of available bars on TradingView. I recommend using it on 4HR timeframes and above, as anything less will produce very little usable data. Having a premium TradingView plan will also help boost the number of available bars.
You can hover your mouse over a table cell to get more information in the form of tooltips (such as the Long and Short win rate if you hover over your total return cell).
Credit
The code in this script is based on open-source code originally written by QuantNomad, I've made significant changes and additions to the original script but all credit for the idea and especially the display table code goes to them - I just built on top of it:
Why Did I Make This?
None of this is trading or investment advice, just my personal opinion based on my experience as a trader and systems developer these past 6+ years:
The TradingView Strategy Tester is severely limited in some important ways. And unless you use complex Excel formulas on exported test data, you can't see a granular perspective of your system's historical performance.
There is much more to creating profitable and tradeable systems than developing a strategy with a good win rate and a good return with a reasonable drawdown.
Some additional questions we need to ask ourselves are:
What did the system's worst drawdown look like?
How long did it last?
How often do drawdowns occur, and how quickly are they typically recovered?
How often do we have a break-even or losing month or year?
What is our expected compounded annual growth rate, and how does that growth rate compare to our max drawdown?
And many more questions that are too long to list and take a lifetime of trading experience to answer.
Without answering these kinds of questions, we run the risk of developing systems that look good on paper, but when it comes to live trading, we are uncomfortable or incapable of enduring the system's granular characteristics.
This Monthly Performance Table script code is intended to help bridge some of that gap with the Strategy Tester's limited default performance data.
Disclaimer
I've done my best to ensure the numbers this code outputs are accurate, and according to my testing with my personal strategy scripts it appears to work fine. But there is always a good chance I've missed something, or that this code will not work with your particular system.
The majority of my TradingView systems are extremely simple single-target systems that operate on a closed-candle basis to minimize many of the data reliability issues with the Strategy Tester, so I was unable to do much testing with multiple targets and pyramiding etc.
I've included a Debug option in the script that will display important data and information on a label each time a trade is closed. I recommend using the Debug option to confirm that the numbers you see in the table are accurate and match what your strategy is actually doing.
Always do your own due diligence, verify all claims as best you can, and never take anyone's word for anything.
Take care, and best of luck with your trading :)
Kind regards,
Matt.
PS. If you're interested in learning how this script works, I have a free hour-long video lesson breaking down the source code - just check out the links below this script or in my profile.
Premium Volatility Breakout Strategy [wbburgin]This the premium version of my Volatility Breakout strategy, which improves significantly on the original strategy (publicly available on my profile). Improvements are below. A note about any of my premium scripts: I will continue updating and improving the original (public) versions.
This strategy is not built for any specific asset or timeframe, and has been backtested on crypto, equities, and forex from 1min - 1day. However, I recommend using it on more volatile assets because it is a breakout strategy.
********** My Background
I am an investor, trader, and entrepreneur with 10 years of cryptocurrency and equity trading experience and founder of two fintech startups. I am a graduate of a prestigious university in the United States and carry broad and inclusive interests in mathematical finance, computer science, machine learning / artificial intelligence, as well as other fields.
**********
Improvements over the original Volatility Breakout strategy include:
Faster Trend Detection → The Premium Volatility Breakout strategy will catch trends faster by using adaptive volatility-weighted bands instead of standard-width volatility-weighted bands. This can improve win size and has performed well in my backtesting.
ADX Filter → False breakouts dampen the overall results of the original script, as well as the % profitable,so an ADX filter has been programmed into the script (toggle on/off in settings). This filter will only enter long and short trades when the ADX is above a certain threshold. This is by default toggled off because in most instances it will not be necessary, but in certain environments may be useful.
MA Configuration → Different types of moving averages and weights are now configurable in the settings. These can change the responsiveness of the strategy.
External Trend Filter → I use this strategy as a filter for some of my low-timeframe algorithms. I have added an external trend filter (a plot only displayed in the data window) that will return “1” when the trend is long and “-1” when the trend is short (displayed on-chart with red and green trend curves).
Customizable Alert Messages In-Strategy → In the settings, there will be text boxes where you can create your own alerts. All you will need to do is create an alert in the alert panel on TradingView and leave the message box blank - if you fill out the alert boxes in the settings, these will automatically populate into your alerts. There are in total four different customizable alerts messages: Entry and Exit alerts for both Long and Short sides. If you disable stop loss and/or take profit, these alerts will also be disabled. Similarly, if you disable shorts, all short alerts will be disabled.
About stop losses: This strategy does not come with a stop loss because the moving average acts as a stop loss / trade exit for both long and short entries.
**********
Display
You can turn off highlighting or barcolor in the settings. Additionally, future updates may include a color scheme for users using a light-themed window.
**********
Configuring Alerts
In TradingView desktop, go to the ‘Alerts’ tab on the right panel. Click the “+” button to create a new alert. Select this strategy for the condition and one of the two options that includes alert() function calls. Name the alert what you wish and clear the default message, because your text in the settings will replace this message.
Now that the alert is configured, you can go to the settings of the strategy and fill in your chosen text for the specific alert condition. You will need to check “Long and Short” in the “Trade Direction” setting in order for any Short Alerts to become active.
**********
Disclaimer
Copyright by wbburgin.
The information contained in my Scripts/Indicators/Algorithms does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
Cyatophilum SmartStrategy MakerThis indicator allows you to use any other indicator from the TradingView library and create complex entry and exit conditions with ease thanks to several external inputs. Add risk management to your strategy and backtest it before creating alerts!
Key Features:
1 — Entry Conditions: Traders can define their entry conditions using up to three sources. They can choose from several options such as "Cross," "Crossover," "Crossunder," "Above," "Below," or "Equal" for comparing the selected sources.
2 — Entry Gates: Users can set logical gates (e.g., "AND," "OR," "XOR," "NAND," "XNOR") to combine multiple entry conditions.
3 — Exit Conditions: Similar to entry conditions, traders can define exit conditions based on two sources and select from various comparison options.
4 — Stop Loss: The indicator allows users to enable or disable a stop-loss feature. The stop-loss value is calculated based on a percentage of the base order price.
5 — Take Profit: Traders can set multiple take-profit levels by specifying the number of take profits, a base percentage, and a step value. Take profits can be defined as a percentage from the total volume or the base order.
6 — Safety Orders (DCA): The indicator supports the use of safety orders (Dollar Cost Averaging) to help manage risks. Users can set the number of safety orders, price deviation, step scale, and volume scale.
7 — Backtest Settings: Traders can define the start and end periods for backtesting their strategy. This feature allows them to analyze the performance of their strategy within specific timeframes.
8 — Alerts: The indicator provides the option to create alerts for entry, exit, stop loss, take profit, and safety orders. Users can customize the alert messages using placeholders for dynamic values like price, symbol, and order size.
Hobbiecode - RSI + Close previous dayThis is a simple strategy that is working well on SPY but also well performing on Mini Futures SP500. The strategy is composed by the followin rules:
1. If RSI(2) is less than 15, then enter at the close.
2. Exit on close if today’s close is higher than yesterday’s high.
If you backtest it on Mini Futures SP500 you will be able to track data from 1993. It is important to select D1 as timeframe.
Please share any comment or idea below.
Have a good trading,
Ramón.
Hobbiecode - Five Day Low RSI StrategyThis is a simple strategy that is working well on SPY but also well performing on Mini Futures SP500. The strategy is composed by the followin rules:
1. If today’s close is below yesterday’s five-day low, go long at the close.
2. Sell at the close when the two-day RSI closes above 50.
3. There is a time stop of five days if the sell criterium is not triggered.
If you backtest it on Mini Futures SP500 you will be able to track data from 1993. It is important to select D1 as timeframe.
Please share any comment or idea below.
Have a good trading,
Ramón.
Hobbiecode - SP500 IBS + HigherThis is a simple strategy that is working well on SPY but also well performing on Mini Futures SP500. The strategy is composed by the followin rules:
1. Today is Monday.
2. The close must be lower than the close on Friday.
3. The IBS must be below 0.5.
4. If 1-3 are true, then enter at the close.
5. Sell 5 trading days later (at the close).
If you backtest it on Mini Futures SP500 you will be able to track data from 1993. It is important to select D1 as timeframe.
Please share any comment or idea below.
Have a good trading,
Ramón.
VWAP Trendfollow Strategy [wbburgin]This is an experimental strategy that enters long when the instrument crosses over the upper standard deviation band of a VWAP and enters short when the instrument crosses below the bottom standard deviation band of the VWAP. I have added a trend filter as well, which stops entries that are opposite to the current trend of the VWAP. The trend filter will reduce total false breakouts, thus improving the % profitable while maintaining the overall returns of the strategy. Because this is a trend-following breakout strategy, the % profitable will typically be low but the average % return will be higher. As a rule, be sure to look at the average winning trade % compared to the average losing trade %, and compare that to the % profitable to judge the effectiveness of a strategy. Factor in fees and slippage as well.
This strategy appears to work better with the lower timeframes, and I was impressed with its results. It also appears to work on a wide range of asset classes. There isn't a stop loss or take profit built-in (other than the reversal signals, which close the current trade), so I would encourage you to expand on the strategy based on your own trading parameters.
You can toggle off the bar colors and the trend filter if you so desire.
Future updates to this script (or ideas of improving on it) might include a take profit level set at one standard deviation past the current level and a stop loss level set at one standard deviation closer to the vwap from the current level - or applying a multiple to the two based off of your reward/risk ratio.
About the strategy results below: this is with commissions of 0.5 % per trade.
Volatility Breakout Strategy [Angel Algo]As traders, we're always looking for opportunities to profit from sudden price breakouts, and the Volatility Breakout Strategy aims to do just that.
This script is the perfect starting point for traders who want to experiment with capturing price movements resulting from increased volatility. The script plots the Average True Range (ATR) on the chart, which is a measure of the asset's volatility over a specified period. By setting the "Length" parameter, you can customize the period over which the volatility is measured.
Using the ATR, the strategy calculates upper and lower breakout levels and plots them on the chart. The signals for long and short positions are generated when the price crosses above the upper breakout level or below the lower breakout level, respectively. They are confirmed by checking the current bar state.
The strategy also fills the space between the upper and lower breakout levels with a color that indicates the latest signal direction. This feature helps traders quickly identify the prevailing trend.
The strategy uses the generated signals to enter trades. When a long or short signal is confirmed, and there is no open position in the direction of the signal, the strategy enters a long or short trade, respectively.
Choice of parameters.
Choosing the right value for the Length input parameter is crucial for tailoring the Volatility Breakout Strategy to suit your trading preferences. In general, a higher Length value implies a focus on capturing longer price moves. For instance, in this script, we have set the Length value to 20, resulting in trades that span approximately 100 candles. These trades encompass price trends consisting of multiple swings.
However, if your goal is to trade individual swings rather than longer trends, it's advisable to experiment with smaller values for the Length parameter. By reducing the Length, you can target shorter-term price movements and potentially increase the frequency of trades.
It's important to note that while a higher Length value tends to lead to longer trades, there is no strict correlation between the Length parameter and the average length of trades. This can vary across different markets. Therefore, it's essential to conduct thorough experimentation with various Length values and closely observe the length of trades they generate. Comparing these trade lengths with the average trend or swing length in the specific market can provide valuable insights.
Ideally, you should aim to select a Length value that aligns with the average trend or swing length observed in the market you are trading. This way, you can optimize the strategy to capture price movements that closely match the prevailing market conditions.
Remember, finding the optimal Length value is a process of trial and error, combined with careful observation of trade lengths and their correlation with market trends. So, don't be afraid to experiment and refine the Length parameter to maximize the effectiveness of the Volatility Breakout Strategy in your chosen market.
Disclaimer: This trading strategy is provided for educational and informational purposes only.Trading involves risk, and past performance is not indicative of future results.
Premium MTF Layered RSI - Bitcoin Bot [wbburgin]This the premium version of my MTF Layered RSI strategy, which improves significantly on the original strategy (publicly available on my profile). Improvements are below. This strategy will also appear as an overlay on your chart. It is completely non-repainting.
The MTF Layered RSI strategy uses the current timeframe and two configurable higher timeframes to enter a long position when Bitcoin is oversold on all three timeframes, and exit the long position when Bitcoin is overbought on the current timeframe. This hedges against situations where the RSI on higher timeframes never reaches the overbought level and we are left "holding the bag" so to speak with the classic "enter long at oversold and enter short at overbought" strategy.
IMPORTANT: This strategy does not work on ranges. It will work on all timeframes and assets, but does not work on ranges (Renko blocks and some other advanced types of charts).
********** My Background
I am an investor, trader, and entrepreneur with 10 years of cryptocurrency and equity trading experience and founder of two fintech startups. I am a graduate of a prestigious university in the United States and carry broad and inclusive interests in mathematical finance, computer science, machine learning / artificial intelligence, as well as other fields.
**********
Improvements over the original MTF RSI strategy include:
Filters for Uptrends and Downtrends → The Premium RSI strategy will adjust its buy and sell thresholds depending on whether the instrument is trending. This means that, in uptrends, the Premium strategy will buy more frequently, bringing in potentially greater profit, and in downtrends, the strategy will stop buying altogether. These filters and dynamic buy/sell thresholds have made this strategy more profitable in my backtesting across random timeframes, but I cannot guarantee that the strategy will be profitable for you on the default settings. To that end, I have enabled a number of different configurations that you can change in the settings of the strategy.
Stop Loss / Take Profit Calculation Per Tick → Stop loss and take profit are now both enabled in the script and each has their own alerts. You can specify what type of stop loss or take profit you want: percentage or ATR. If you have alerts configured, you will be alerted mid-bar, instead of at close. This helps prevent loss from abrupt falls in price between closing price and next bar open.
Customizable Alert Messages In-Strategy → In the settings, there will be text boxes where you can create your own alerts. All you will need to do is create an alert in the alert panel on Tradingview and leave the message box blank - if you fill out the alert boxes in the settings, these will automatically populate into your alerts. There are in total eight different customizable alerts messages: Entry, Exit, Stop loss, and Take profit alerts for both Long and Short sides. If you disable stop loss and/or take profit, these alerts will also be disabled. Similarly, if you disable shorts, all short alerts will be disabled.
**********
Display
Configuring Stop Loss or Take Profit will make their corresponding displays appear.
Separately from the trading boxes, background colors (green, red) signify extended uptrends and downtrends, respectively.
Configuring Alerts
In TradingView desktop, go to the ‘Alerts’ tab on the right panel. Click the “+” button to create a new alert. Select this strategy for the condition and one of the two options that includes alert() function calls. Name the alert what you wish and clear the default message, because your text in the settings will replace this message.
Now that the alert is configured, you can go to the settings of the strategy and fill in your chosen text for the specific alert condition. You will need to check “Long and Short” in the “Trade Direction” setting in order for any Short Alerts to become active. Similarly, you will need to check “Enable Stop Loss” for stop loss alerts to become active and “Enable Take Profit” for take profit alerts to become active.
**********
Disclaimer
Copyright by wbburgin.
The information contained in my Scripts/Indicators/Algorithms does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
**********
Notes on the Strategy Performance below: This is 3% of equity per trade, with a pyramiding number of 3. I did not include fees because Binance US on Bitcoin/USD does not charge fees on the instrument; however, I heavily encourage you to include fees in your backtesting if you use a different brokerage. To mitigate fees, this strategy is designed with a high average %/trade. If your current fees are greater than the strategy's average %/trade, I encourage you to choose a higher RSI period, such as 14 or 28, which will result in less trades but potentially a higher %/trade.
Pure Morning 2.0 - Candlestick Pattern Doji StrategyThe new "Pure Morning 2.0 - Candlestick Pattern Doji Strategy" is a trend-following, intraday cryptocurrency trading system authored by devil_machine.
The system identifies Doji and Morning Doji Star candlestick formations above the EMA60 as entry points for long trades.
For best results we recommend to use on 15-minute, 30-minute, or 1-hour timeframes, and are ideal for high-volatility markets.
The strategy also utilizes a profit target or trailing stop for exits, with stop loss set at the lowest low of the last 100 candles. The strategy's configuration details, such as Doji tolerance, and exit configurations are adjustable.
In this new version 2.0, we've incorporated a new selectable filter. Since the stop loss is set at the lowest low, this filter ensures that this value isn't too far from the entry price, thereby optimizing the Risk-Reward ratio.
In the specific case of ALPINE, a 9% Take-Profit and and Stop-Loss at Lowest Low of the last 100 candles were set, with an activated trailing-stop percentage, Max Loss Filter is not active.
Name : Pure Morning 2.0 - Candlestick Pattern Doji Strategy
Author : @devil_machine
Category : Trend Follower based on candlestick patterns.
Operating mode : Spot or Futures (only long).
Trades duration : Intraday
Timeframe : 15m, 30m, 1H
Market : Crypto
Suggested usage : Short-term trading, when the market is in trend and it is showing high volatility .
Entry : When a Doji or Morning Doji Star formation occurs above the EMA60.
Exit : Profit target or Trailing stop, Stop loss on the lowest low of the last 100 candles.
Configuration :
- Doji Settings (tolerances) for Entry Condition
- Max Loss Filter (Lowest Low filter)
- Exit Long configuration
- Trailing stop
Backtesting :
⁃ Exchange: BINANCE
⁃ Pair: ALPINEUSDT
⁃ Timeframe: 30m
⁃ Fee: 0.075%
⁃ Slippage: 1
- Initial Capital: 10000 USDT
- Position sizing: 10% of Equity
- Start: 2022-02-28 (Out Of Sample from 2022-12-23)
- Bar magnifier: on
Disclaimer : Risk Management is crucial, so adjust stop loss to your comfort level. A tight stop loss can help minimise potential losses. Use at your own risk.
How you or we can improve? Source code is open so share your ideas!
Leave a comment and smash the boost button!
Thanks for your attention, happy to support the TradingView community.
Advanced Trend Detection StrategyThe Advanced Trend Detection Strategy is a sophisticated trading algorithm based on the indicator "Percent Levels From Previous Close".
This strategy is based on calculating the Pearson's correlation coefficient of logarithmic-scale linear regression channels across a range of lengths from 50 to 1000. It then selects the highest value to determine the length for the channel used in the strategy, as well as for the computation of the Simple Moving Average (SMA) that is incorporated into the strategy.
In this methodology, a script is applied to an equity in which multiple length inputs are taken into consideration. For each of these lengths, the slope, average, and intercept are calculated using logarithmic values. Deviation, the Pearson's correlation coefficient, and upper and lower deviations are also computed for each length.
The strategy then selects the length with the highest Pearson's correlation coefficient. This selected length is used in the channel of the strategy and also for the calculation of the SMA. The chosen length is ultimately the one that best fits the logarithmic regression line, as indicated by the highest Pearson's correlation coefficient.
In short, this strategy leverages the power of Pearson's correlation coefficient in a logarithmic scale linear regression framework to identify optimal trend channels across a broad range of lengths, assisting traders in making more informed decisions.
Wunder Breakout botWunder Breakout bot
1. Wunder Breakout bot is based on the breakout of the trend line. Breakout is a technical trading strategy that is used to determine the moment of a trend line breakout on the price chart. It is based on the assumption that when price crosses a trend line, it signals a change in trend direction and the possible start of a new price movement.
2. The entry points for the trendline breakout strategy are based on the principle of breaking through a set trendline. This means that we look for the moment when the price of the asset crosses the trend line that we have established in order to enter a sell or buy position.
3. We use fixed take-profit and stop-loss, but you can use other risk management systems, based on the suggested settings.
4. Wunder Breakout bot script has added a function to calculate the risk per portfolio (your deposit). When this option is enabled, you get the calculation of the entry amount in dollars relative to your Stop Loss. You can chooseselect the percentage of risk per your portfolio in the settings. the percentage of risk per your portfolio in the settings. The loss will be calculated from the amount that will be displayed on the chart.
For example, if your deposit is $1000 and you set your risk at 1%, with a Stop Loss of 5%, your entry volume would be $200. The SL loss would be $10. $10 is your 1% risk or 1% of your deposit.
*Important! ** The risk per trade must be less than the Stop Loss value. If the risk is more than SL, you should use leverage.
The amount of funds included in the deal is calculated in dollars. This option was created if you want to send a dollar amount from Tradingview to the exchange. However, by specifying the volume in dollars, you will get the net profit and drawdown displayed incorrectly in the backtest results because TradingView calculates the backtest volume in contracts.
To display the correct net profit and drawdown values in Tradingview backtest results, use the "Volume in Contracts" option.
Grid Spot Trading Algorithm V2 - The Quant ScienceGrid Spot Trading Algorithm V2 is the last grid trading algorithm made by our developer team.
Grid Spot Trading Algorithm V2 is a fixed 10-level grid trading algorithm. The grid is divided into an accumulation area (red) and a selling area (green).
In the accumulation area, the algorithm will place new buy orders, selling the long positions on the top of the grid.
BUYING AND SELLING LOGIC
The algorithm places up to 5 limit orders on the accumulation section of the grid, each time the price cross through the middle grid. Each single order uses 20% of the equity.
Positions are closed at the top of the grid by default, with the algorithm closing all orders at the first sell level. The exit level can be adjusted using the user interface, from the first level up to the fifth level above.
CONFIGURING THE ALGORITHM
1) Add it to the chart: Add the script to the current chart that you want to analyze.
2) Select the top of the grid: Confirm a price level with the mouse on which to fix the top of the grid.
3) Select the bottom of the grid: Confirm a price level with the mouse on which to fix the bottom of the grid.
4) Wait for the automatic creation of the grid.
USING THE ALGORITHM
Once the grid configuration process is completed, the algorithm will generate automatic backtesting.
You can add a stop loss that destroys the grid by setting the destruction price and activating the feature from the user interface. When the stop loss is activated, you can view it on the chart.
GKD-BT Solo Confirmation Complex Backtest [Loxx]Giga Kaleidoscope GKD-BT Solo Confirmation Complex Backtest is a Backtesting module included in Loxx's "Giga Kaleidoscope Modularized Trading System".
█ GKD-BT Solo Confirmation Complex Backtest
The Solo Confirmation Complex Backtest module enables users to perform backtesting on Standard Long and Short signals from GKD-C confirmation indicators, filtered by GKD-B Baseline and GKD-V Volatility/Volume indicators. This module represents a complex form of the Solo Confirmation Backtest in the GKD trading system. It includes two types of backtests: Trading and Full. The Trading backtest allows users to test individual trades, both Long and Short, one at a time. On the other hand, the Full backtest allows users to test either Longs or Shorts by toggling between them in the settings to view the results for each signal type. The Trading backtest simulates real trading, while the Full backtest tests all signals, whether Long or Short.
Additionally, this backtest module provides the option to test the GKD-C Confirmation indicator with 1 to 3 take profits and 1 stop loss. The Trading backtest allows for the use of 1 to 3 take profits, while the Full backtest is limited to 1 take profit. The Trading backtest also offers the capability to apply a trailing take profit.
In terms of the percentage of trade removed at each take profit, this backtest module has the following hardcoded values:
Take profit 1: 50% of the trade is removed.
Take profit 2: 25% of the trade is removed.
Take profit 3: 25% of the trade is removed.
Stop loss: 100% of the trade is removed.
After each take profit is achieved, the stop loss level is adjusted. When take profit 1 is reached, the stop loss is moved to the entry point. Similarly, when take profit 2 is reached, the stop loss is shifted to take profit 1. The trailing take profit feature comes into play after take profit 2 or take profit 3, depending on the number of take profits selected in the settings. The trailing take profit is always activated on the final take profit when 2 or more take profits are chosen.
The backtest module also offers the capability to restrict by a specific date range, allowing for simulated forward testing based on past data. Additionally, users have the option to display or hide a trading panel that provides relevant information about the backtest, statistics, and the current trade. It is also possible to activate alerts and toggle sections of the trading panel on or off. On the chart, historical take profit and stop loss levels are represented by horizontal lines overlaid for reference.
The GKD system utilizes volatility-based take profits and stop losses. Each take profit and stop loss is calculated as a multiple of volatility. Users can also adjust the multiplier values in the settings.
To utilize this strategy, follow these steps:
1. GKD-B Baseline Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-B Baseline module into the GKD-BT Solo Confirmation Complex Backtest module setting named "Import GKD-B Baseline indicator."
Adjust the "Confirmation Type" in the GKD-C Confirmation Indicator to "GKD New."
2. GKD-C Confirmation Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-C Confirmation module into the GKD-BT Solo Confirmation Complex Backtest module setting named "Import GKD-C Confirmation indicator."
3. GKD-V Volatility/Volume Import: Import the value "Input into NEW GKD-BT Backtest" from the GKD-V Volatility/Volume module into the GKD-BT Solo Confirmation Complex Backtest module setting named "Import GKD-V Volatility/Volume indicator."
4. The Solo Confirmation Complex Backtest module exclusively supports Standard Entries, both Long and Short. However, please note that this module uses a modified version of the Standard Entry. In this modified version, long and short signals are directly imported from the Confirmation indicator, and then baseline and volatility filtering is applied.
The GKD-B Baseline filter ensures that only trades aligning with the GKD-B Baseline's current trend are accepted. This filter takes into consideration the Goldie Locks Zone, which allows trades where the closing price of the last candle has moved within a minimum XX volatility and a maximum YY volatility range. The GKD-V Volatility/Volume filter allows only trades that meet a minimum threshold of ZZ GKD-V Volatility/Volume, which varies based on the specific GKD-V Volatility/Volume indicator used.
The Solo Confirmation Complex Backtest execution engine determines whether signals from the GKD-C Confirmation indicator are accepted or rejected based on two criteria:
1. The GKD-C Confirmation signal must be qualified by the direction of the GKD-B Baseline trend and the GKD-B Baseline's sweet-spot Goldie Locks Zone.
2. Sufficient Volatility/Volume, as indicated by the GKD-V Volatility/Volume indicator, must be present to execute a trade.
The purpose of the Solo Confirmation Complex Backtest is to test a GKD-C Confirmation indicator in the presence of macro trend and volatility/volume filtering.
Volatility Types Included
17 types of volatility are included in this indicator
Close-to-Close
Parkinson
Garman-Klass
Rogers-Satchell
Yang-Zhang
Garman-Klass-Yang-Zhang
Exponential Weighted Moving Average
Standard Deviation of Log Returns
Pseudo GARCH(2,2)
Average True Range
True Range Double
Standard Deviation
Adaptive Deviation
Median Absolute Deviation
Efficiency-Ratio Adaptive ATR
Mean Absolute Deviation
Static Percent
Close-to-Close
Close-to-Close volatility is a classic and widely used volatility measure, sometimes referred to as historical volatility.
Volatility is an indicator of the speed of a stock price change. A stock with high volatility is one where the price changes rapidly and with a larger amplitude. The more volatile a stock is, the riskier it is.
Close-to-close historical volatility is calculated using only a stock's closing prices. It is the simplest volatility estimator. However, in many cases, it is not precise enough. Stock prices could jump significantly during a trading session and return to the opening value at the end. That means that a considerable amount of price information is not taken into account by close-to-close volatility.
Despite its drawbacks, Close-to-Close volatility is still useful in cases where the instrument doesn't have intraday prices. For example, mutual funds calculate their net asset values daily or weekly, and thus their prices are not suitable for more sophisticated volatility estimators.
Parkinson
Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day.
The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price. This is useful as close-to-close prices could show little difference while large price movements could have occurred during the day. Thus, Parkinson's volatility is considered more precise and requires less data for calculation than close-to-close volatility.
One drawback of this estimator is that it doesn't take into account price movements after the market closes. Hence, it systematically undervalues volatility. This drawback is addressed in the Garman-Klass volatility estimator.
Garman-Klass
Garman-Klass is a volatility estimator that incorporates open, low, high, and close prices of a security.
Garman-Klass volatility extends Parkinson's volatility by taking into account the opening and closing prices. As markets are most active during the opening and closing of a trading session, it makes volatility estimation more accurate.
Garman and Klass also assumed that the process of price change follows a continuous diffusion process (Geometric Brownian motion). However, this assumption has several drawbacks. The method is not robust for opening jumps in price and trend movements.
Despite its drawbacks, the Garman-Klass estimator is still more effective than the basic formula since it takes into account not only the price at the beginning and end of the time interval but also intraday price extremes.
Researchers Rogers and Satchell have proposed a more efficient method for assessing historical volatility that takes into account price trends. See Rogers-Satchell Volatility for more detail.
Rogers-Satchell
Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero.
Unlike Parkinson and Garman-Klass estimators, Rogers-Satchell incorporates a drift term (mean return not equal to zero). As a result, it provides better volatility estimation when the underlying is trending.
The main disadvantage of this method is that it does not take into account price movements between trading sessions. This leads to an underestimation of volatility since price jumps periodically occur in the market precisely at the moments between sessions.
A more comprehensive estimator that also considers the gaps between sessions was developed based on the Rogers-Satchel formula in the 2000s by Yang-Zhang. See Yang Zhang Volatility for more detail.
Yang-Zhang
Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error.
Yang-Zhang volatility can be thought of as a combination of the overnight (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the day’s open-to-close volatility. It is considered to be 14 times more efficient than the close-to-close estimator.
Garman-Klass-Yang-Zhang
Garman-Klass-Yang-Zhang (GKYZ) volatility estimator incorporates the returns of open, high, low, and closing prices in its calculation.
GKYZ volatility estimator takes into account overnight jumps but not the trend, i.e., it assumes that the underlying asset follows a Geometric Brownian Motion (GBM) process with zero drift. Therefore, the GKYZ volatility estimator tends to overestimate the volatility when the drift is different from zero. However, for a GBM process, this estimator is eight times more efficient than the close-to-close volatility estimator.
Exponential Weighted Moving Average
The Exponentially Weighted Moving Average (EWMA) is a quantitative or statistical measure used to model or describe a time series. The EWMA is widely used in finance, with the main applications being technical analysis and volatility modeling.
The moving average is designed such that older observations are given lower weights. The weights decrease exponentially as the data point gets older – hence the name exponentially weighted.
The only decision a user of the EWMA must make is the parameter lambda. The parameter decides how important the current observation is in the calculation of the EWMA. The higher the value of lambda, the more closely the EWMA tracks the original time series.
Standard Deviation of Log Returns
This is the simplest calculation of volatility. It's the standard deviation of ln(close/close(1)).
Pseudo GARCH(2,2)
This is calculated using a short- and long-run mean of variance multiplied by ?.
?avg(var;M) + (1 ? ?) avg(var;N) = 2?var/(M+1-(M-1)L) + 2(1-?)var/(M+1-(M-1)L)
Solving for ? can be done by minimizing the mean squared error of estimation; that is, regressing L^-1var - avg(var; N) against avg(var; M) - avg(var; N) and using the resulting beta estimate as ?.
Average True Range
The average true range (ATR) is a technical analysis indicator, introduced by market technician J. Welles Wilder Jr. in his book New Concepts in Technical Trading Systems, that measures market volatility by decomposing the entire range of an asset price for that period.
The true range indicator is taken as the greatest of the following: current high less the current low; the absolute value of the current high less the previous close; and the absolute value of the current low less the previous close. The ATR is then a moving average, generally using 14 days, of the true ranges.
True Range Double
A special case of ATR that attempts to correct for volatility skew.
Standard Deviation
Standard deviation is a statistic that measures the dispersion of a dataset relative to its mean and is calculated as the square root of the variance. The standard deviation is calculated as the square root of variance by determining each data point's deviation relative to the mean. If the data points are further from the mean, there is a higher deviation within the data set; thus, the more spread out the data, the higher the standard deviation.
Adaptive Deviation
By definition, the Standard Deviation (STD, also represented by the Greek letter sigma ? or the Latin letter s) is a measure that is used to quantify the amount of variation or dispersion of a set of data values. In technical analysis, we usually use it to measure the level of current volatility.
Standard Deviation is based on Simple Moving Average calculation for mean value. This version of standard deviation uses the properties of EMA to calculate what can be called a new type of deviation, and since it is based on EMA, we can call it EMA deviation. Additionally, Perry Kaufman's efficiency ratio is used to make it adaptive (since all EMA type calculations are nearly perfect for adapting).
The difference when compared to the standard is significant--not just because of EMA usage, but the efficiency ratio makes it a "bit more logical" in very volatile market conditions.
Median Absolute Deviation
The median absolute deviation is a measure of statistical dispersion. Moreover, the MAD is a robust statistic, being more resilient to outliers in a data set than the standard deviation. In the standard deviation, the distances from the mean are squared, so large deviations are weighted more heavily, and thus outliers can heavily influence it. In the MAD, the deviations of a small number of outliers are irrelevant.
Because the MAD is a more robust estimator of scale than the sample variance or standard deviation, it works better with distributions without a mean or variance, such as the Cauchy distribution.
Efficiency-Ratio Adaptive ATR
Average True Range (ATR) is a widely used indicator for many occasions in technical analysis. It is calculated as the RMA of the true range. This version adds a "twist": it uses Perry Kaufman's Efficiency Ratio to calculate adaptive true range.
Mean Absolute Deviation
The mean absolute deviation (MAD) is a measure of variability that indicates the average distance between observations and their mean. MAD uses the original units of the data, which simplifies interpretation. Larger values signify that the data points spread out further from the average. Conversely, lower values correspond to data points bunching closer to it. The mean absolute deviation is also known as the mean deviation and average absolute deviation.
This definition of the mean absolute deviation sounds similar to the standard deviation (SD). While both measure variability, they have different calculations. In recent years, some proponents of MAD have suggested that it replace the SD as the primary measure because it is a simpler concept that better fits real life.
Static Percent
Static Percent allows the user to insert their own constant percent that will then be used to create take profits and stoploss
█ Giga Kaleidoscope Modularized Trading System
Core components of an NNFX algorithmic trading strategy
The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm:
1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc.
2. Baseline - a moving average to identify price trend
3. Confirmation 1 - a technical indicator used to identify trends
4. Confirmation 2 - a technical indicator used to identify trends
5. Continuation - a technical indicator used to identify trends
6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown
7. Exit - a technical indicator used to determine when a trend is exhausted
What is Volatility in the NNFX trading system?
In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period.
True range is calculated as the maximum of the following values:
-Current high minus the current low
-Absolute value of the current high minus the previous close
-Absolute value of the current low minus the previous close
ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses.
Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass
What is a Baseline indicator?
The baseline is essentially a moving average, and is used to determine the overall direction of the market.
The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR).
Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail.
By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend.
What is a Confirmation indicator?
Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI).
The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend.
Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the MACD Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators.
In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades.
What is a Continuation indicator?
In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy.
What is a Volatility/Volume indicator?
Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa.
By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements.
What is an Exit indicator?
The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy.
The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit.
The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses.
In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor.
Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time.
How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above?
Loxx's GKD v2.0 system has five types of modules (indicators/strategies). These modules are:
1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm)
2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm)
3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm)
4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm)
5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm)
(additional module types will added in future releases)
Each module interacts with every module by passing data to A backtest module wherein the various components of the GKD system are combined to create a trading signal.
That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy.
This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm.
What does the application of the GKD trading system look like?
Example trading system:
Backtest: Solo Confirmation Complex Backtest as shown on the chart above
Baseline: Hull Moving Average as shown on the chart above
Volatility/Volume: Hurst Exponent as shown on the chart above
Confirmation 1: Fisher Trasnform as shown on the chart above
Confirmation 2: Williams Percent Range
Continuation: Volatility-Adaptive Rapid RSI T3
Exit: Rex Oscillator
Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD system.
Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm)
Standard Entry
1. GKD-C Confirmation 1 Signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
6. GKD-C Confirmation 1 signal was less than 7 candles prior
Volatility/Volume Entry
1. GKD-V Volatility/Volume signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-B Baseline agrees
6. GKD-C Confirmation 1 signal was less than 7 candles prior
Continuation Entry
1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously
2. GKD-B Baseline hasn't crossed since entry signal trigger
3. GKD-C Confirmation Continuation Indicator signals
4. GKD-C Confirmation 1 agrees
5. GKD-B Baseline agrees
6. GKD-C Confirmation 2 agrees
1-Candle Rule Standard Entry
1. GKD-C Confirmation 1 signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
Next Candle:
1. Price retraced (Long: close < close or Short: close > close )
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
1-Candle Rule Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 1 signal was less than 7 candles prior
Next Candle:
1. Price retraced (Long: close < close or Short: close > close )
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees
1-Candle Rule Volatility/Volume Entry
1. GKD-V Volatility/Volume signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 1 signal was less than 7 candles prior
Next Candle:
1. Price retraced (Long: close < close or Short: close > close)
2. GKD-B Volatility/Volume agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-B Baseline agrees
PullBack Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is beyond 1.0x Volatility of Baseline
Next Candle:
1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
2. GKD-C Confirmation 1 agrees
3. GKD-C Confirmation 2 agrees
4. GKD-V Volatility/Volume Agrees
