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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// Stratégie : X bars de Larry Williams + Pente régression linéaire // www.doctrading.fr // Paramètres (à optimiser) : mm = 12 rl = 28 MMhaute = average[mm](high) MMbasse = average[mm](low) PenteRL=LinearRegressionSlope[rl](TotalPrice) // ACHAT IF not longOnMarket AND PenteRL[1] > 0 THEN BUY 1 shares AT MMbasse[1] limit ENDIF If longonmarket and PenteRL[1] < 0 THEN SELL at MMhaute[1] limit ENDIF // VENTE IF not shortonmarket AND PenteRL[1] < 0 THEN SELLSHORT 1 shares AT MMhaute[1] limit ENDIF If shortonmarket and PenteRL[1] > 0 THEN EXITSHORT at MMbasse[1] limit ENDIF |
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Hello Marc
your strat seems very intersting, will take a look
Reb
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.