Bollinger+fractal strategy idea

• 03/25/2024 at 2:24 PM #230417
  Monochrome

  Here is a draft strategy that i have shelved a while ago.

  Its a mean reversion strategy where entries are made after bollinger bounce and fractal cross. On DJI 1 min.

  It has no optimisations which i believe makes it more robust. With no spread and Over 200k and 1million bars shows a steady growth.

  Its an INCOMPLETE strategy but i believe the concept has some potential because its simple.

  I want to share with you all so we can scrutinise and drop this strategy or develop this more to a complete strategy.

  DEFPARAM PRELOADBARS = 2000 DEFPARAM cumulateOrders = false DEFPARAM FlatBefore = 080000 DEFPARAM FlatAfter = 205000 ST1 = Supertrend[1.5, 10] ST2 = Supertrend[2.5, 10] bbup = BollingerUp[20](close) bbdn = BollingerDown[20](close) BearishFractal = ((high[1] > high[2] AND high[1] > high) and close<=close[1] and close<=open[1] and close[1]=>open[2] and low<low[1]) or (high[1]>high and high[1] >high[2] and low[1]>low and low[1]>low[2]) BullishFractal = ((low[1] < low[2] AND low[1] < low) and close=>close[1] and close=>open[1] and close[1]<=open[2] and high>high[1]) or (low[1]<low and low[1]<low[2] and high[1]<high and high[1]<high[2]) IF BearishFractal THEN BearishFractalPoint = high[1] ENDIF IF BullishFractal THEN BullishFractalPoint = low[1] ENDIF //High and Low if high crosses over bbup then selltag = 1 buytag = 0 endif if low crosses under bbdn then selltag = 0 buytag = 1 endif buycond = buytag and close crosses over BearishFractalPoint and not BullishFractalPoint=0 sellcond = selltag and close crosses under BullishFractalPoint and not BearishFractalPoint=0 if buycond THEN BUY 1 CONTRACT AT market set stop loss min(50,max(10,(close-(BullishFractalPoint-5*pipsize)))) endif if sellcond THEN SELLSHORT 1 CONTRACT at market set stop loss min(50,max(10,((BearishFractalPoint+5*pipsize)-close))) ENDIF //Exit strategy if longonmarket and close>tradeprice then if (high > bbup and close > (tradeprice + 10*pipsize)) then sell at (tradeprice + 10) stop endif if (st1 - tradeprice) > 50*pipsize and close crosses under st1 then sell at market elsif (st1 - tradeprice) > 10*pipsize and (st1 - tradeprice) <= 50*pipsize then sell at st1 stop endif endif if shortonmarket and close<tradeprice then if low < bbdn and close < (tradeprice - 10*pipsize) then exitshort at (tradeprice - 10) stop endif if (tradeprice - st1) > 50*pipsize and close crosses over st1 then exitshort at market elsif (tradeprice - st1) > 10*pipsize and (tradeprice - st1) <= 50*pipsize then exitshort at st1 stop endif endif if low > BearishFractalPoint then BearishFractalPoint = 0 endif if high < BullishFractalPoint then BullishFractalPoint = 0 endif

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  DEFPARAM PRELOADBARS = 2000 DEFPARAM cumulateOrders = false DEFPARAM FlatBefore = 080000 DEFPARAM FlatAfter = 205000   ST1 = Supertrend[1.5, 10] ST2 = Supertrend[2.5, 10]     bbup = BollingerUp[20](close) bbdn = BollingerDown[20](close)     BearishFractal = ((high[1] > high[2] AND high[1] > high) and close<=close[1] and close<=open[1] and close[1]=>open[2] and low<low[1]) or (high[1]>high and high[1] >high[2] and low[1]>low and low[1]>low[2]) BullishFractal = ((low[1] < low[2] AND low[1] < low)  and close=>close[1] and close=>open[1] and close[1]<=open[2] and high>high[1]) or (low[1]<low and low[1]<low[2] and high[1]<high and high[1]<high[2])   IF BearishFractal THEN BearishFractalPoint = high[1] ENDIF   IF BullishFractal THEN BullishFractalPoint = low[1] ENDIF     //High and Low if high crosses over bbup then selltag = 1 buytag = 0   endif   if low crosses under bbdn  then selltag = 0 buytag = 1   endif     buycond = buytag and close crosses over BearishFractalPoint and not BullishFractalPoint=0 sellcond = selltag and close crosses under BullishFractalPoint and not BearishFractalPoint=0     if   buycond  THEN BUY 1 CONTRACT AT  market set stop loss min(50,max(10,(close-(BullishFractalPoint-5*pipsize)))) endif     if  sellcond   THEN SELLSHORT 1 CONTRACT at market set stop loss min(50,max(10,((BearishFractalPoint+5*pipsize)-close))) ENDIF       //Exit strategy if longonmarket and close>tradeprice then if (high > bbup and close > (tradeprice + 10*pipsize))  then sell at (tradeprice + 10) stop endif if (st1 - tradeprice) > 50*pipsize and close crosses under st1 then sell at market elsif (st1 - tradeprice) > 10*pipsize and (st1 - tradeprice) <= 50*pipsize then sell at st1 stop endif endif   if shortonmarket and close<tradeprice then if low < bbdn and close < (tradeprice - 10*pipsize)  then exitshort at (tradeprice - 10) stop endif if (tradeprice - st1) > 50*pipsize and close crosses over st1 then exitshort at market elsif (tradeprice - st1) > 10*pipsize and (tradeprice - st1) <= 50*pipsize then exitshort at st1 stop endif endif     if low > BearishFractalPoint then BearishFractalPoint = 0 endif if high < BullishFractalPoint then BullishFractalPoint = 0 endif

   

   

   

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  KumoNoJuzza, robertogozzi

  

  Monochrome

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  03/25/2024 at 2:50 PM #230420
  robertogozzi

  Thanks for sharing it 🙂

   

  

  robertogozzi

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