Larry Williams’ X bars & Linear Regression Slope

Larry Williams’ X bars & Linear Regression Slope

Hello everyone,

Do you remember Larry Williams’ 3 bars strategy?

Well, I tried to automate this strategy.

Without much success at the beginning, I admit, with the basic parameters.

I wanted to optimize it by adding a trend indicator, and changing the value of the moving averages.

Among many trend indicators (MACD, long period stochastics, Ichimoku, moving averages, etc.), I finally chose to keep a simple one : the slope of linear regression.

Moreover, this new approach remains in position as long as the linear regression slope is well oriented : the trade is not closed only by the price crossing above / below a moving average.

So I show you a simple code, which trades the bounces in trend, at the level of the bottom or the top of a channel of moving averages.

For the backtest to be efficient, it must be optimized according to the action / index / currency pair concerned.

Here is an example on the DAX, in graphs Daily, with 1 point of spread, over the last 20 years round.

Moving averages period : 12

Slope of linear regression : 28

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  1. reb • 05/15/2017 #

    Hello Marc
    your strat seems very intersting, will take a look
    Reb

  2. 897148 • 05/15/2017 #

    What exactly is meant by Total price?
    Is r1 =28 in your example the no of days for “Total Price” and the best line thru these points gives the slope?
    Looks very good but  I wish to clarify my understanding.

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