Hi,

Attached is a strategy from Kevin Davey, Momentum and Big Range.  Very simple  entry code which I really like.  With help from JC_bywan, thank you.  What I notice is the significant  uptick in performance from 2017 onward.  Therefore, there must be a filter to say when this market condition will change or end?  Any ideas would be greatly appreciated.  Have yet to try to adapt to other indices or CCY pairs.

(Also – PRT seems to think it is in the market for an infinite period of time!  Not sure what’s happening there.)

Thank you very much,

S

//================================================
//   Code:    TEST KD1 MomtRange v1
//   Source:  https://www.youtube.com/watch?v=D_P_XqB5nHs
//            Entry Strategy #1 Momentum and Big Range
//   Author:  Kevin Davey
//   Version  1
//   Index:   NASDAQ
//   TF:      15 min
//   Notes:   v1.1 Square root calc
//   Notes:   v1.2 Swaped Square for Sandard Deviation  - thanks to JC_bywan
//   Notes:   v1.3 Tried timeframes 1m, 3m, 5m, 10m and 30m - poor performance
//   Notes:   v1.4 Tested different day of week combos - poorreduced overfall performance
//   Notes:   v1.5 Added Break Even Trailing Stop from KISS strategy
//================================================

//Risk Management
PositionSize=1

//Range Parameters
Nbars=5
Pbars=10
rrange=high-low
stdrange=2*std[Nbars](range)  //square
avgrange=rrange[Nbars]

// Conditions to enter long positions
If rrange>stdrange+avgrange and close>close[Pbars] then  
Buy PositionSize CONTRACTS AT MARKET
ENDIF

// Conditions to enter short positions
//IF rrange>2*stdrange+avgrange and close<close[10] THEN
//SELLSHORT PositionSize CONTRACTS AT MARKET
//ENDIF

// Stops and targets
SET STOP LOSS 100      //50
SET TARGET PROFIT 175  //50

//FOR STOPLOSS MANNGEMENT
// Conditions to enter long positions
startBreakeven = 30  
PointsToKeep = 12  

IF NOT ONMARKET THEN
breakevenLevel=0
ENDIF

// --- BUY SIDE ---
//test if the price have moved favourably of "startBreakeven" points already
IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN
//calculate the breakevenLevel
breakevenLevel = tradeprice(1)+PointsToKeep*pipsize
ENDIF
 
//place the new stop orders on market at breakevenLevel
IF breakevenLevel>0 THEN
SELL AT breakevenLevel STOP
ENDIF

//************************************************************************
IF longonmarket and barindex-tradeindex>1600 and close<positionprice then
sell at market
endif
IF shortonmarket and barindex-tradeindex>1800 and close>positionprice then
exitshort at market
endif

//===================================
myrsiM5=rsi[14](close)
//
if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then
sell at market
endif
if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then
exitshort at market
endif
//===================================

once openStrongLong = 0
once openStrongShort = 0
if (time <= 090000 or time >= 210000) then
openStrongLong = 0
openStrongShort = 0
endif

//detect strong direction for market open
once rangeOK = 30
once tradeMin = 2500
IF (time >= 090500) AND (time <= 090500 + tradeMin) AND ABS(close - open) > rangeOK THEN
IF close > open and close > open[1] THEN
openStrongLong = 1
openStrongShort = 0
ENDIF
IF close < open and close < open[1] THEN
openStrongLong = 0
openStrongShort = 1
ENDIF
ENDIF

once bollperiod = 20
once bollMAType = 1
once s = 2

bollMA = average[bollperiod, bollMAType](close)
STDDEV = STD[bollperiod]
bollUP = bollMA + s * STDDEV
bollDOWN = bollMA - s * STDDEV
IF bollUP = bollDOWN THEN
bollPercent = 50
ELSE
bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN)
ENDIF

once trendPeriod = 80
once trendPeriodResume = 10
once trendGap = 4
once trendResumeGap = 4
if not onmarket then
fullySupported = 0
fullyResisteded = 0
endif
//Market supported in the wrong direction
IF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THEN
fullySupported = 1
ENDIF

//Market pull back but continue to be supported
IF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THEN
exitshort at market
ENDIF

//Market resisted in wrong direction
IF longonmarket AND fullyResisteded = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THEN
fullyResisteded = 1
ENDIF

//Market pull back but continue to be resisted
IF longonmarket AND fullyResisteded = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THEN
sell at market
ENDIF

//Started real wrong direction
once strongTrend = 60
once strongPeriod = 4
once strongTrendGap = 2
IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap then
exitshort at market
ENDIF

IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap then
sell at market
ENDIF

//SET STOP $LOSS stoploss

KD-MomtRange.png TEST-KD-MomtRange-v1.5.itf