Low Volume Reversal Strategy
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Hi,
Here is another strategy that uses 2 simple entry criteria and one filter as the core requirements. As volume is better at the start and end of the week it doesn’t trade mid-week or Sundays. It is an adaptation of a strategy from……Kevin Davey (well guessed). Adapted from a Daily time frame to a 15 minute. As you will see in the code, I have added in various snippets of code from and , thank you.
The strategy looks for a low volume bar compared to a look back period of 5 and a new lowest close over a look back period of 4 in order to go long. As it uses volume as an entry criteria I can only back test to June 2016.
Work in progress, but I wanted to share to see if it sparks any interest for new ideas on how to evolve it. Walkforward has proven well so fat. Am working on possible short entry and ways to reduce drawdown.
Thank you, hope you enjoy and welcome any feedback.
nonetheless, murre87, Midlanddave, eckaw and @AlgoHunter1 thanked this postI think this might be the most promising of the KD codes you have posted. This is a fairly quick revision, could be more room for improvement, eg short.
I added MM, replaced the breakeven with a trail, disabled the “detect direction” (which didn’t seem to be helping), added % stop and target, re-opt the averages.
I always use minimum size for testing (0.2), so x50 to compare with your results.
thanks for sharing!
Midlanddave, murre87 and KumoNoJuzza thanked this postCan anyone help me with this error?
This is essentially the version 2 of Nonetheless (rif. 176142) with the max daily loss and split winning position (v.3.1).
[Test 200K: v3.1 on the right side]
//TS KD LowVolume v3.1 – DowJones 15 min – cfd 1 contract
//spread 4 points
DEFPARAM CUMULATEORDERS = false
PositionSize=1
//———————————————SETUP
avgHull11=average[45,7]
avgHull2=average[135,7]
avgHull3=average[145,7]
c1 = avgHull11>avgHull2 and avgHull2>avgHull3
lowVol = round(volume[4])
c2 = volume < lowVol
lowBars = 5
c3 = close>lowest[lowBars](low)
IF c1 and c2 AND c3 and tradeAllowed = 1 THEN
BUY PositionSize CONTRACTS AT MARKET
ENDIF
//———————————————————————
EZT = 1
if EZT then
IF longonmarket and (barindex-tradeindex(1)>= 640 and positionperf>0) or (barindex-tradeindex(1)>= 160 and positionperf<0) then
sell at market
endif
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
//—————————————————————-
maxDailyLoss = 200
realPosition=positionPerf*positionPrice/pointSize*pointValue
once tradeAllowed = 1
if intradayBarIndex=0 then
myProfit=strategyProfit
tradeAllowed=1
endif
if (strategyProfit+realPosition) <= (myProfit-maxDailyLoss) then
tradeAllowed=0
endif
//—————————————————————————————–
SET STOP %LOSS 0.9
SET TARGET %PROFIT 3.5
//—————————————————————————————–
once trailingstop = 1
if trailingstop then
trailingpercentlong = 0.29
once acceleratorlong = 0.035
once steppercentlong = (trailingpercentlong/10)*acceleratorlong
if onmarket then
trailingstartlong = positionprice*(trailingpercentlong/100)
trailingsteplong = positionprice*(steppercentlong/100)
endif
IF NOT ONMARKET THEN
newSL=0
ENDIF
IF LONGONMARKET THEN
IF newSL=0 AND high-tradeprice(1)>=trailingstartlong THEN
newSL = tradeprice(1)+trailingsteplong
ENDIF
IF newSL>0 AND high-newSL>trailingsteplong THEN
newSL = newSL+trailingsteplong
ENDIF
ENDIF
IF newSL>0 THEN
SELL AT newSL STOP
ENDIF
endif
//———————————————————————————————————————–
once partialcloseGain = 1
If partialcloseGain then
ONCE PerCent = 0.5 //close 1/2 size
ONCE PerCentGain = 0.023 //0.005 = 0.5%
ONCE MinLotSize = 0.5
ExitQuantity = abs(CountOfPosition) * PerCent
LeftQty = max(MinLotSize,abs(CountOfPosition) – ExitQuantity)
CloseQuantity = abs(CountOfPosition) – LeftQty
IF Not OnMarket THEN
Flag = 1
ENDIF
IF partialcloseGain AND LongOnMarket and close >= (PositionPrice * (1 + PerCentGain)) AND Flag THEN
SELL CloseQuantity Contracts AT Market
Flag = 0
endif
endif
//——————————————————————–
reb and KumoNoJuzza thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 08/24/2021 |
| Status: | Active |
| Attachments: | 6 files |
