High volatility candlestick trading strategy

Principle of the trading system “Higher volatility”:

The system looks at the last X candles and determines the candle having the biggest difference between its highest and its lowest (range), the difference Z is then kept as a variable. This is the gap between the highest and lowest of the candle having had the highest volatility on the last X candles. At the candle X + 1, the system waits (in all cases) the fence. At the closing of the candlestick X + 1: If the range between the highest and lowest candlestick X + 1 is greater than the Z range, the system opens (at the opening of the candlestick X + 2 ) a position in the direction of the candlestick X + 1. If the deviation between the highest and lowest of the candelstick X + 1 is not greater than the deviation Z, the deviation Z is then re-calculated as a function of the X newest candlestick.

Parameters and system options “Higher volatility”:

1 / Size of the position: in number of contracys.

2/ Stop loss: to determine how many pips / points of the entry price will be positioned the stop loss of an open position.

3 / Take Profit: To determine how many pips / points of the entry price will be positioned the take profit of an open position.

4 / Quantity of lookback periods: to determine the number of candlesticks to be consulted in order to determine which was the most volatile and to calculate Z.

Example: 1/10 2/60 3/30 4/10 That the system consults the last 10 candlesticks and determines the deviation Z of the most volatile candlestick. At the opening of the 11th candle, the system does nothing. It waits for the closure of this 11th candle to know what to do … If the range of this 11th candle is greater than Z, the system opens a position at the opening of the 12th candle in the direction of this 11th candle. If the deviation the higher-lower deviation of this 11th candle is less than Z, the system re-calculates Z.

NB in ​​case of opening of position at the opening of the 12th candle: Open a position at the 12th candle (is that the 11th candle was more volatile than the previous 10 candles …), the system must be able to open a position at the 13th candle in the sense of the 12th candle , If (at the close of the 12th candle) the 12th candle was more volatile than the 11th candle …

//PRC_Higher Volatility TS | strategy
//10.03.2017
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

defparam cumulateorders = true

// --- parameters
Size = 1 //position size
StopLoss = 60 //stoploss in points
TakeProfit = 30 //takeprofit in points
LookbackPeriod = 10 //lookback period to find the bigger candlestick range
// ------------

biggestrange = 0
for i = 1 to LookbackPeriod do
 biggestrange = max(biggestrange,range[i])
next

if range>biggestrange and NOT ONMARKET then
 //case buy
 if close>open then
  BUY Size CONTRACTS AT MARKET
 endif
 //case SELL
 if close<open then
  SELLSHORT Size CONTRACTS AT MARKET
 endif
endif

SET STOP PLOSS StopLoss
SET TARGET PPROFIT TakeProfit

This trading strategy has been coded by a request on the French forum. Please consider that there is no typical settings and it is not dedicated to any instrument or timeframe at all. This strategy is almost like a “sandbox” for studying purpose and to define suitable parameters for your preferred instruments.