Open DriveOpen Drive is a market profile concept introduced by Jim Dalton. It occurs when the price moves directionally and persistently for the first 30 minutes from the cash market open.
It is necessary to use 30-minute bars as there needs to be enough time to measure an extreme move of the cash open. This means there will be fewer trades than other strategies using faster time periodicities.
The script finds open drives from these time points 0700/ 0800 and 1300/1430.
The entry signal also has a breakout threshold using the 5-bar high and 5-bar low to only take trades moving away from the prior 5-bar range. This weeds out most mid-range trades and small range expansion bars.
If the price has had a strong move from the open and has broken either below the prior 5-bar low or above the prior 5-bar high by an amount equal to the prior 5-bar range a trade is entered in the direction of the move.
The Exit criteria; exit after 3 bars which is 90mins when using a 30min periodicity.
Note, this script is shared to show that momentum generated on or around the cash open tends to persist. The entry and exits of this strategy are quite naive but there are plenty of ways to take more aggressive entries on faster time frames when an open drive occurs. The times chosen for this strategy will suit stock index futures mainly. The user can experiment with other futures products and their corresponding pit/ cash open hours.
Google "open drive market profile" for more information on open drives and market profile concepts.
Happy trading!
Breakout!
[-_-] Level Breakout, Auto Backtesting StrategyDescription:
A Long only strategy based on breakout from a certain level formed by High price. It has auto-backtesting capabilities (you set ranges for the three main parameters: Lookback, TP and SL; the strategy then goes through different combinations of those parameters and displays a table with results that you can sort by Percentage of profitable trades AND/OR Net profit AND/OR Number of trades). So you can, for example, sort only by Net profit to find combination of parameters that gives highest net profit, or sort by Net profit and Percentage profitable to find a combination of parameters that gives the best balance between profitability and profit. The auto-backtesting also takes into account the commission which is set in % in the inputs (make sure to set the same value in properties of the strategy so that auto-backtesting and real backtesting results match).
NOTE: auto-backtesting only find the best combinations and displays them in a table, you will then need to manually set the Lookback, TP and SL inputs for real backtesting to match.
Parameters:
- Lookback -> # of bars for filtering signals; recommended range from 2 to 5
- TP (%) -> take profit; recommended range from 5 to 10
- SL (%) -> stop loss; recommended range from 1 to 5
- Commission (%) -> commission per trade
- Min/Max Lookback -> lookback range for auto-backtesting
- Min/Max TP -> take profit range for auto-backtesting
- Min/Max SL -> stop loss range for auto-backtesting
- Percentage profitable -> sort by percentage of profitable trades
- Net profit -> sort by net profit
- Number of trades -> sort by number of trades
SUPPORT RESISTANCE STRATEGY [5MIN TF]A SUPPORT RESISTANCE BREAKOUT STRATEGY for 5 minute Time-Frame , that has the time condition for Indian Markets
The Timing can be changed to fit other markets, scroll down to "TIME CONDITION" to know more.
The commission is also included in the strategy .
The basic idea is when ,
1) Price crosses above Resistance Level ,indicated by Red Line, is a Long condition.
2) Price crosses below Support Level ,indicated by Green Line , is a Short condition.
3) Candle high crosses above ema1, is a part of the Long condition .
4) Candle low crosses below ema1, is a part of the Short condition .
5) Volume Threshold is an added confirmation for long/short positions.
6) Maximum Risk per trade for the intraday trade can be changed .
7) Default qty size is set to 50 contracts , which can be changed under settings → properties → order size.
8) ATR is used for trailing after entry, as mentioned in the inputs below.
// ═════════════════════════//
// ————————> INPUTS <————————— //
// ═════════════════════════//
→ L_Bars ———————————> Length of Resistance / Support Levels.
→ R_Bars ———————————> Length of Resistance / Support Levels.
→ Volume Break ———————> Volume Breakout from range to confirm Long/Short position.
→ Price Cross Ema —————> Added condition as explained above (3) and (4).
→ ATR LONG —————————> ATR stoploss trail for Long positions.
→ ATR SHORT ————————> ATR stoploss trail for Short positions.
→ RISK ————————————> Maximum Risk per trade intraday.
The strategy was back-tested on TCS ,the input values and the results are mentioned under "BACKTEST RESULTS" below.
// ═════════════════════════ //
// ————————> PROPERTIES<——————— //
// ═════════════════════════ //
Default_qty_size ————> 50 contracts , which can be changed under
Settings
↓
Properties
↓
Order size
// ═══════════════════════════════//
// ————————> TIME CONDITION <————————— //
// ═══════════════════════════════//
The time can be changed in the script , Add it → click on ' { } ' → Pine editor→ making it a copy [right top corner} → Edit the line 27.
The Indian Markets open at 9:15am and closes at 3:30pm.
The 'time_cond' specifies the time at which Entries should happen .
"Close All" function closes all the trades at 3pm , at the open of the next candle.
To change the time to close all trades , Go to Pine Editor → Edit the line 92 .
All open trades get closed at 3pm , because some brokers don't allow you to place fresh intraday orders after 3pm .
// ═══════════════════════════════════════════════ //
// ————————> BACKTEST RESULTS ( 100 CLOSED TRADES )<————————— //
// ═══════════════════════════════════════════════ //
INPUTS can be changed for better Back-Test results.
The strategy applied to NSE:TCS ( 5 min Time-Frame and contract size 50) gives us 60% profitability , as shown below
It was tested for a period a 6 months with a Profit Factor of 1.8 ,net Profit of 30,000 Rs profit .
Sharpe Ratio : 0.49
Sortino Ratio : 1.4
The graph has a Linear Curve with Consistent Profits.
The INPUTS are as follows,
1) L_Bars —————————> 4
2) R_Bars —————————> 4
3) Volume Break ————> 5
4) Price Cross Ema ——> 100
5) ATR LONG ——————> 2.4
6) ATR SHORT —————> 2.6
7) RISK —————————> 2000
8) Default qty size ——> 50
NSE:TCS
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PIVOT STRATEGY [INDIAN MARKET TIMING]
A Back-tested Profitable Strategy for Free!!
A PIVOT INTRADAY STRATEGY for 5 minute Time-Frame , that also explains the time condition for Indian Markets
The Timing can be changed to fit other markets, scroll down to "TIME CONDITION" to know more.
The commission is also included in the strategy .
The basic idea is when ,
1) Price crosses above ema1 ,indicated by pivot highest line in green color .
2) Price crosses below ema1 ,indicated by pivot lowest line in red color .
3) Candle high crosses above pivot highest , is the Long condition .
4) Candle low crosses below pivot lowest , is the Short condition .
5) Maximum Risk per trade for the intraday trade can be changed .
6) Default_qty_size is set to 60 contracts , which can be changed under settings → properties → order size .
7) ATR is used for trailing after entry, as mentioned in the inputs below.
// ═════════════════════════//
// ————————> INPUTS <————————— //
// ═════════════════════════//
Leftbars —————> Length of pivot highs and lows
Rightbars —————> Length of pivot highs and lows
Price Cross Ema —————> Added condition
ATR LONG —————> ATR stoploss trail for Long positions
ATR SHORT —————> ATR stoploss trail for Short positions
RISK —————> Maximum Risk per trade for the day
The strategy was back-tested on RELIANCE ,the input values and the results are mentioned under "BACKTEST RESULTS" below .
// ═════════════════════════ //
// ————————> PROPERTIES<——————— //
// ═════════════════════════ //
Default_qty_size ————> 60 contracts , which can be changed under settings
↓
properties
↓
order size
// ═══════════════════════════════//
// ————————> TIME CONDITION <————————— //
// ═══════════════════════════════//
The time can be changed in the script , Add it → click on ' { } ' → Pine editor→ making it a copy [right top corner} → Edit the line 25 .
The Indian Markets open at 9:15am and closes at 3:30pm .
The 'time_cond' specifies the time at which Entries should happen .
"Close All" function closes all the trades at 3pm, at the open of the next candle.
To change the time to close all trades , Go to Pine Editor → Edit the line 103 .
All open trades get closed at 3pm , because some brokers don't allow you to place fresh intraday orders after 3pm .
NSE:RELIANCE
// ═══════════════════════════════════════════════ //
// ————————> BACKTEST RESULTS ( 128 CLOSED TRADES )<————————— //
// ═══════════════════════════════════════════════ //
INPUTS can be changed for better back-test results.
The strategy applied to NIFTY ( 5 min Time-Frame and contract size 60 ) gives us 60% profitability y , as shown below
It was tested for a period a 6 months with a Profit Factor of 1.45 ,net Profit of 21,500Rs profit .
Sharpe Ratio : 0.311
Sortino Ratio : 0.727
The graph has a Linear Curve with consistent profits .
The INPUTS are as follows,
1) Leftbars ————————> 3
2) Rightbars ————————> 5
3) Price Cross Ema ——————> 150
4) ATR LONG ————————> 2.7
5) ATR SHORT ———————> 2.9
6) RISK —————————> 2500
7) Default qty size ——————> 60
NSE:RELIANCE
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TTP Kent Strat PROKent Strat PRO trades breakouts using Bollinger Bands together with SuperTrend.
PRO features:
- 3commas bot alerts for long/short bots
- Custom JSON bots alerts
Features:
- Risk/reward ratio parameter
- Longs, shorts and combined positions.
- Breakout settings
- Trailing SL, trailing TP
- Use of latest candles to place the SL using a lookback parameter (how many candles to look back for a low/high price)
- Select your SL between the ATR trendline and the latest candle: the closest or furthest away value
- Show the trendline
- Backtest mode for accurate backtests
- Signal mode for live price accurate signals
- Date range backtesting
Filters:
- EMA 200 filter and timeframe selector. This filter can be used to trade with the trend: open longs on an uptrend and shorts on a downtrend.
- ADX filter using threshold. This filter can be used to filter entries where the trend is not very strong.
- ADX pointing up. ADX values pointing up and above certain threshold can improve entries.
- Relative volume filter based on the volume being X% above the MA of the Volume. Trading with volume can help filtering out bad trades.
Example setup:
1) pick BINANCE:ETHUSDT chart, 15 min chart
2) trade longs + shorts
3) pick ratio 3
4) trailing SL checked
5) trailing TP unchecked
7) stop loss "furthest"
8) candle loopback 30
9) BB period 21, dev 1, ATR filter on, atr period 5
10) EMA filter on, 15 min
11) ADX off
12) Volume filter on set to 60%
Consolidation Breakout [Indian Market Timing]OK let's get started ,
A Day Trading (Intraday) Consolidation Breakout Indication Strategy that explains time condition for Indian Markets .
The commission is also included in the strategy .
The basic idea is ,
1) Price crosses above upper band , indicated by a color change (green) is the Long condition .
2) Price crosses below lower band , indicated by a color change (red) is the Short condition .
3) ATR is used for trailing after entry
// ═══════════════════════════════//
// ————————> TIME CONDITION <————————— //
// ═══════════════════════════════//
The Indian Markets open at 9:15am and closes at 3:30pm.
The time_condition specifies the time at which Entries should happen .
"Close All" function closes all the trades at 2:57pm.
All open trades get closed at 2:57pm , because some brokers dont allow you to place fresh intraday orders after 3pm.
NSE:NIFTY1!
// ═══════════════════════════════════════════════ //
// ————————> BACKTEST RESULTS ( 114 CLOSED TRADES )<————————— //
// ═══════════════════════════════════════════════ //
LENGTH , MULT (factor) and ATR can be changed for better backtest results.
The strategy applied to NIFTY (3 min Time-Frame and contract size 5) gives us 60% profitability , as shown below
It was tested for a period a 8 months with a Profit Factor of 2.2 , avg Trade of 6000Rs profit and Sharpe Ratio : 0.67
The graph has a Linear Curve with consistent profits.
NSE:NIFTY1!
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Squeeze Momentum Strategy [LazyBear] Buy Sell TP SL Alerts-Modified version of Squeeze Momentum Indicator by @LazyBear.
-Converted to version 5,
-Taken inspiration from @KivancOzbilgic for its buy sell calculations,
-Used @Bunghole strategy template with Take Profit, Stop Loss and Enable/Disable Toggles
-Added Custom Date Backtesting Module
------------------------------------------------------------------------------------------------------------------------
All credit goes to above
Problem with original version:
The original Squeeze Momentum Strategy did not have buy sell signals and there was alot of confusion as to when to enter and exit.
There was no proper strategy that would allow backtesting on which further analysis could be carried out.
There are 3 aspects this strategy:
1 ) Strategy Logic (easily toggleable from the dropdown menu from strategy settings)
- LazyBear (I have made this simple by using Kivanc technique of Momentums Moving Average Crossover, BUY when MA cross above signal line, SELL when crossdown signal line)
- Zero Crossover Line (BUY signal when crossover zero line, and SELL crossdown zero line)
2) Long Short TP and SL
- In strategies there is usually only 1 SL and 1 TP, and it is assumed that if a 2% SL giving a good profit %, then it would be best for both long and short. However this is not the case for many. Many markets/pairs, go down with much more speed then they go up with. Hence once we have a profitable backtesting setting, then we should start optimizing Long and Short SL's seperately. Once that is done, we should start optimizing for Long and Short TP's separately, starting with Longs first in both cases.
3) Enable and Disable Toggles of Long and Short Trades
- Many markets dont allow short trades, or are not suitable for short trades. In this case it would be much more feasible to disable "Short" Trading and see results of Long Only as a built in graphic view of backtestor provides a more easy to understand data feed as compared to the performance summary in which you have to review long and short profitability separately.
4) Custom Data Backtesting
- One of most crucial aspects while optimizing for backtesting is to check a strategies performance on uptrends, downtrend and sideways markets seperately as to understand the weak points of strategy.
- Once you enable custom date backtesting, you will see lines on the chart which can be dragged left right based on where you want to start and end the backtesting from and to.
Note:
- Not a financial advise
- Open to feedback, questions, improvements, errors etc.
- More info on how the squeeze momentum works visit LazyBear indicator link:
Happy Trading!
Cheers
M Tahreem Alam @mtahreemalam
[Pt] Premarket Breakout StrategyThis is a 1 trade per day strategy for trading SPY or QQQ index. By default, this is designed for 1 min time frame. This was an experimental script that seems to be profitable at the time of publication.
How it works:
Pre-market high and low is defined per trading day between 9:00 to 9:30 EST.
Then we looking for the first breakout on either PM high or PM low.
- Breakout high = long trade
- Breakout low = short trade
If long trade, we wait until Stochastic RSI D signal line to hit a lower threshold (18 by default). Then we enter long when K crosses above D line.
If short trade, we wait until Stochastic RSI D signal line to hit an upper threshold (82 by default). Then we enter short when K crosses below D line.
Stop loss for long
- set to PM low if entry is above PM high + %ATR buffer
- or set to PM range + %ATR buffer
Stop loss for short
- set to PM high if entry is below PM low + %ATR buffer
- or set to PM range + %ATR buffer
Profit target is set to 2x the risk by default.
*Note: Different Stochastic RSI lengths should be used if trading 5 min time frame. See tooltip.
Happy trading~~!
TheBigBangTraders BreakoutName: TheBigBangTraders Breakout
Category: Trend Follower
Operating mode: Spot
Trades duration: Intraday
Timeframe: 1H
Suggested usage: the purpose of this strategy is to help to investigate if the asset is sensitive to breakout approach.
Entry: Trigger point can be choose by the user between:
High of the N days ago
High of the N weeks ago
Exit: End of Day
Usage:
⁃ It can be useful to use this script to test the behaviour of a definite asset
⁃ This is a raw system that can be considered a base to realize a complete breakout strategy
Configuration:
- N/A
Backtesting
⁃ Exchange: BINANCE
⁃ Pair: ETHUSDT
⁃ Timeframe: !H
⁃ Fee 0.075%
⁃ Slippage 0
- Start : 2020-01-03
How you or we can improve? Source code is open so share your ideas!
Price action: Trendline Break StrategyThis strategy use trendline to entry. Trendline be drawed from Pivots High/Low.
Entry Long: When price break up trendline.
Entry Short: When price break down trendline.
Risk:Reward setup is 1:1.
You can backtest with whichever pair and whichever timeframe.
I backtested:
- If scalping: should use timeframe 5m, set up SL, TP is 2%.
- If swing trade: should use timeframe 1H, set up SL 2%, TP is 3%.
Should use with other indicator to increase winrate.
Inside Breakout PerQuantumCoin Premium Indicator (strategy)HOW IT WORKS:
- The Inside Breakout gives signals on the chart on the breakout of inside bar chart pattern;
- It allows to trade trend or counter-trend signals;
- Computes intrinsic values to access the strength of the Buy/Sell signal;
- Allows users to adjust their own settings, adapting the signals produced;
- These signals can be also set up as Alerts;
- The indicator has a few custom features that allows users to filter out signals using multi-timeframe trend indicator and to keep tracking positions so that one can only get new signals when they reserve position;
This Strategy version is meant to be a companion to the main indicator in order to backtest your SLT/TP settings with different instruments and adapt results.
Please NOTE:
Results may vary depending on TP/SL settings. Also, previous performance is not a indicator for future results.
Volatility Breakout StrategyThis is a strategy used by Larry R. Williams called Volatility Breakout.
By identifying a strong uptrend that exceeds 'a certain level' on a daily basis as a breakout signal, enter long position, take advantage of long at the the next day's open.
'a certain level (Entry Price)' is calculated by { close + 'k' * high -low }, and applied logarithmic calculation.
Stop loss level is calculated by half of the previous day's Low and Entry Price.
Strategy exit always at UTC+0.
And expressed day session with the background color.
Thanks and hope this helps you.
(kor)
이건 Larry R. Williams가 사용하는 변동성 돌파 전략입니다.
특정 수준을 넘는 강한 상승세를 돌파 신호로 파악하여 매수하고, 장시간이 종료될때에 빠르게 수익을 실현하는 전략입니다.
"특정 레벨(진입가)"은 close + 'k' * high -low 로 계산되며 로그 계산을 적용했습니다.
손절 레벨은 전일 저가 및 진입 가격의 절반으로 계산됩니다.
전략은 항상 UTC+0에서 종료합니다. ( 한국 기준 오전 9시 )
그리고 배경색으로 일일세션을 표현했습니다.
트뷰에 오픈소스의 래리윌리엄스 변동성전략이 없는것 같아 간단하게나마 만들어 보았습니다. 도움이 되었으면 좋겟워요..
Donchian Channel Strategy IdeaThis strategy idea is a variation of the "Donchian Channel" trading strategy. It is built with a highest-high band, a lowest-low band, and a baseline which is average the highest-high and the lowest-low bands. This strategy is very useful in trending instruments on 1W and 1D timeframes. This is the implementation used in the QuantCT app.
You can set the operation mode to be Long/Short or long-only.
You also can set a fixed stop-loss or ignore it so that the strategy acts solely based on entry and exit signals.
Trade Idea
When the close price breaks up the previous highest-high, it is a long signal, the market is considered rising (bullish), and the plotted indicator becomes green. Long positions are held until the close price crosses under the baseline.
When the close price breaks down the previous lowest-low, it is a short signal, the market is considered falling (bearish), and the plotted indicator becomes red. Short positions are held until the close price crosses above the baseline.
Otherwise, if we have no position in the market, the market is considered ranging, and the plotted indicator becomes orange.
Entry/Exit rules
Enter LONG if the close price breaks up the previous highest-high (i.e. when the plotted indicator becomes green).
Exit LONG if the close price crosses under the baseline (i.e. when the plotted indicator becomes orange).
Enter SHORT if the close price breaks down the previous lowest-low (i.e. when the plotted indicator becomes red).
Exit SHORT if the close price crosses above the baseline (i.e. when the plotted indicator becomes orange).
CAUTION
It's just a bare trading idea - a profitable one. However, you can enhance this idea and turn it into a full trading strategy with enhanced risk/money management and optimizing it, and you ABSOLUTELY should do this!
DON'T insist on using Long/Short mode on all instruments! This strategy performs much better in Long-Only mode on many (NOT All) trending instruments (Like BTC, ETH, etc.).
Pivot Point BreakoutThis is a strategy taken from Perry Kaufman's book, Trading Systems and Methods.
Just like the title says, it's a breakout strategy. It works by buying when the current high is higher than the last pivot high, and selling when the low is lower than the last pivot low.
It does not have a good success probability, and relies on the good reward to risk ratio. Definitely not recommended for someone with weak hands.
Super Breakout day trading This is an intraday indicator which uses Bollinger band and volume flow and MA to alert buy and sell signal.
A user can use this indicator to help make entry and exits. This indicator wont show entry and exist of larger time frames like Day week month.
This indicator uses Bollinger bands but try to minimize it shortcoming where it will buy and keep holding and eventually sell at a loss.
By adding addition parameters around volume it check if the price has reached its peak
Classic Long Term Trend Following SystemThis is a classic long term trend following system.
The breakout period is 50 days instead of 20 and the moving average crossover are 40 and 120.
The moving averages are also exponential instead of simple.
The stoploss is 4 ATRs away from the price.
Recommendations:
Donchian Channels settings > 50 days
Moving Averages > 40 and 120, 80 and 140
Important to note:
My first strategy, DC Breakout System | This is simplicity at its finest, is best used on the crypto market and this one for stocks, commodities, currencies, etc. Those markets tend to trend a lot longer than crypto do.
Trend Following with Donchian Channels and MACDThis is a trend following system based on the Donchian Channels. Instead of using a simple moving average crossover, this system uses the MACD as the trendfilter:
Long positions:
* Price makes a new 50 day high,
* The MACD-line crosses above or is above the Signal-line.
* Both the MACD and the Signal-lines are above the zero-line.
Short positions:
* Price makes a new 50 day low,
* The MACD-line crosses below or is below the Signal-line.
* Both the MACD and the Signal-lines are below the zero-line.
Stoploss:
The initial and the trailing stoploss are 4 ATRs away from the price.
[WinWay] Pivot Breakout Strategy (backtest)This is the Winway's Pivot breaktout,
Using the Pivot point , we made a new volatility breakout strategy.
It's the strategy for ETH / BTC.
Please choose 1H time frame.
No repaint.
"As a long-only day trend strategy, we pursue profits in the downward / transverse / rising market."
- It will be exited based on the closing price of the day as a strategy to take only the day trend.
- It's a long-only strategy without short trade.
- It has high market adaptability in response to market volatility .
"The efficiency has been increased by delicate control of entry volume ."
- Control losses by managing funds in line with market changes.
- Calculate the leverage on the real time automatically.
- It goes in more when it's advantageous and less when it's disadvantageous
- It's a welfare strategy that works against assets
"We further lowered the risk by cutting off in installments."
- If you judge that the trend has declined on the day, you will break off and respond to a sharp drop by using the real time trailing stop.
========================================================================================
윈웨이의 피봇돌파입니다.
피봇 포인트를 이용한 새로운 변동성 돌파 전략입니다.
이더리움과 비트코인을 위한 전략이며
1H 타임프레임으로 선택해주세요
리페인트는 발생하지 않습니다.
롱 온리 당일 추세 전략으로 하락/횡보/상승 장에서 수익을 추구합니다.
- 당일 추세만 취하는 전략으로 일봉 종가 기준 청산됩니다.
- 숏은 없는 롱 온리 전략입니다.
- 시장 변동성에 따라 대응하여 시장 적응력이 높습니다.섬세한 진입 물량 제어로 효율을 높였습니다.
- 시장 변화에 맞춰 자금관리를 하여 손실을 제어합니다.
- 당일 레버리지를 실시간으로 자동 계산합니다.
- 유리할때 더 들어가고, 불리할때 적게 들어갑니다.
- 자산대비로 작동하는 복리 전략입니다.
손절로 리스크를 더욱 낮췄습니다.
- 당일 추세가 꺾였다고 판단하면 손절하여, 실시간 트레일링 스탑을 이용하여 급락에 대응합니다.
Fractal Breakout Strategy [KL]Fractal Breakout Strategy
This strategy will enter into a Long position when (a) bullish fractal is formed, combined with (b) ATR is relatively low. Trailing stop loss is set based on ATR.
Bullish fractal pattern :
A bullish fractal pattern looks like this:
It is formed when lower-low has reached a local minimum followed by higher-lows.
By default, this script plots the pivot point (the local minimum) using green crosses. This line will extend to the right until the next bullish fractal is formed. The local minimum pivot point is considered as key level of support. For long position entry, entry price must be higher or equal to it.
On the other hand, a bearish fractal pattern looks like the exact opposite. Reversing the logic, it is a local maximum indicated by higher-highs followed by lower-highs. This is shown by red crosses.
Why use ATR to confirm entry :
Two reasons to enter when ATR is low:
1) Since trailing stop loss is based on ATR, entering the market when ATR is low means risking less for potentially high reward.
2) Low ATR often signals price consolidation. There are two favorable scenarios, either: (i) period of accumulation, or (ii) bull flag, ideally followed by breakout.
Determining whether ATR is low :
Relative lows are quantified out by using the method in my other script: Modified ATR Indicator
The method involves applying two-tailed hypothesis testing to assess whether ATR (ie. by default lookback period of 5) has greatly deviated from a larger sample size (ie. lookback period of 50). Assuming ATR is normally distributed and variance is known, then test statistic (z) can be used to determine whether ATR5 is within the critical area under Null Hypothesis: ATR5 == ATR50. If z falls below/above the left/right critical values (ie. 1.645 for a 90% confidence interval), then ATR is determined to the relatively low/high respectively. For the purpose of assessing whether ATR is low, the left-tail is the main focus.
Profit taking :
Profits by default are taken over 3 levels based on risk to reward ratio (ie. 1R, 2R, 3R). When a target is met at each level, strategy will close out one third of current position size. Remainders (ie. already taken once at 1R, but not yet reaching 2R or 3R) will eventually be closed at the trailing stop loss price.
DC Breakout Strategy | This is simplicity at its finest.As the title already describes: this is a Donchian breakout strategy. This strategy, as of now, only goes long. It goes long when the price close makes a new high and the 8 day moving average is above the 32 day moving average. The strategy exits the trade if the price breaks the atr trailing stop of * 3 or the 8 day moving average crosses below the 32 day moving average.
This is simplicity at its finest.
Kaufman's Efficiency Ratio Strategy [KL]I recently published an indicator called "Kaufman's Efficiency Ratio Indicator". In the description of that script, I hypothesized about how the Efficiency Ratio could be applied to identify bullish moves in instances where price had already gone up steeply, but rests for a while, allowing for entry in expectation that price will continually rise. I decided to test out this idea with Pinescript.
About Kaufman's Efficiency Ratio ("ER")
ER was developed by a systematic trader by the name of Perry J. Kaufman.
Formula
The formula is:
= A divided by B,
where:
A = Current closing price minus the closing price at the start of the lookback period
B = Sum of differences between closing prices (in absolute terms) of consecutive bars over the lookback period
How this strategy enters a trade (Long):
- code: entry_signal_long = ER > 0 and ER_is_mid
- meaning: when ER is positive, strategy assumes price has risen. Usually ER value begins high (red), and unless it is a false move, then it should stay positive. This strategy will patiently wait until ER drops to medium (yellow), and then place a trade.
- how low/medium/high is dynamically determined: Refer to the description of my other script("Kaufman's Efficiency Ratio Indicator") for details. Trying to keep this as short as possible.
How this strategy exits a trade (Long):
- when price hits stop limit; stop limit is based on low of bars, trails upward based on ATR
- included a feature called "tightening TSL", which tries to reduce the stop-buffer during periods of high volatility implied by ER (very experimental, opening the floor for suggestions on how this can be improved)
[KL] Double Bollinger Bands Strategy (for Crypto/FOREX)This strategy uses a setup consisting of two Bollinger Bands based on the 20 period 20-SMA +/-
(a) upper/lower bands of two standard deviations apart, and
(b) upper/lower bands of one standard deviation apart.
We consider price at +/- one standard deviation apart from 20-SMA as the "Neutral Zone".
If price closes above Neutral Zone after a period of consolidation, then it's an opportunity for entry. Strategy will long, anticipating for breakout.
The illustration below shows price closing above the Neutral Zone after a period of consolidation.
a.c-dn.net
Position is exited when prices closes at Neutral Zone (being lower than prior bars)
Qullamaggie BreakoutThe intent of this strategy is to buy breakouts with a tight stop on smaller timeframes in the direction of the longer term trend. Default longer term trend is the daily, but the user can choose any timeframe to use for the SMAs (which act as filters and trailing stops).
Exit the trade using a trailing stop of a close below either the 10 MA or 20 MA (user choice) on that larger timeframe as the position moves in your favor (i.e. whenever position price rises above the MA). This is one area where this script could use a little work or some human intervention - when the trade is entered right in the vicinity of the moving averages, you get some whipsaw. Not sure how to avoid that at this point though if you want to look at those longer term moving averages as your exit criteria.
Option of using daily ATR as a measure of finding contracting ranges and ensuring a decent risk/reward. (If the difference between the breakout point and your stop level is below a certain % of ATR, it could possibly find those consolidating periods.)
