Looking for Momentum

• 08/20/2021 at 4:16 PM #175806
  deletedaccount051022

  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

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  //================================================ //   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

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  deletedaccount051022

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  08/20/2021 at 4:44 PM #175812
  JC_Bywan

  At line 24, your “avgrange” variable is made equal to rrange Nbars ago, if that’s you wanted then ok… but just in case, with the name suggesting it might be an average, if what you wanted is the average of rrange over Nbars, then it would be:

  avgrange=average[Nbars](rrange)

  1	avgrange=average[Nbars](rrange)

   

   

  

  JC_Bywan

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  08/20/2021 at 4:50 PM #175815
  nonetheless

  is that backtest for long only? short entry is //

  

  nonetheless

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  08/20/2021 at 5:09 PM #175816
  deletedaccount051022

  JC_bywan wrote:

  At line 24, your “avgrange” variable is made equal to rrange Nbars ago, if that’s you wanted then ok… but just in case, with the name suggesting it might be an average, if what you wanted is the average of rrange over Nbars, then it would be:

  avgrange=average[Nbars](rrange)

  1	avgrange=average[Nbars](rrange)

  Thank you, my error.  I also see I hadn’t copied over the “DEFPARAM CUMULATEORDERS = FALSE” at the start.

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  08/20/2021 at 5:11 PM #175817
  deletedaccount051022

  nonetheless wrote:

  is that backtest for long only? short entry is //

  Hello – This is a long only strategy for now.  I have left the short side in but commented out for now, as I plan to add it in for the next version.

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  08/20/2021 at 5:12 PM #175818
  nonetheless

  samsampop wrote:

  I also see I hadn’t copied over the “DEFPARAM CUMULATEORDERS = FALSE”

  I was about to say that. makes a rather large difference, but i guess you’ve seen that now.

  

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