Simple Momentum Strategy

• 09/29/2021 at 10:59 AM #178699
  deletedaccount051022

  Go With The Momentum

  Hi,

  Here’s a nice simply strategy which uses price action as the entry criteria, and two filters to keep it out of major downturns as it is currently a long only strategy.  Short side to be worked on next.

  Works well on both 5 and 15 mins on the NASDAQ.  My preference is higher timeframes, so will look to develop that side further.

  Feedback and any suggested enhancements around the trailing stop most welcome.  The Sunday trading is something I am investigating further to see why it is negative.  Anyway, work in progress, I hope you enjoy.

  Thanks,

  S

  //========================================================================================================== // Code: TEST Go with the Momentum // Version 1 // Index: NASDAQ // TF: 5 min // TZ: EU // Spread: 3 // Notes: v1.1 Core strategy, Long only // v1.2 Tested Trailing stops // v1.3 Added $ Loss limit // v1.4 Tested a 4th Close High criteria - poor performance // v1.5 Added Momentum (optimised) Long Entry Filter // v1.6 Added Moving Averages (optimised) Long Entry Filter // v1.7 Day of week code to reduce drawdown // // Testing on both 5 mins and 15 mins for NADSDAQ //========================================================================================================== PxMomentum = Momentum>21 PositionSize = 1 slp = 140// * PositionSize //=== Entry Filter === //Filter 1 Timeframe (60 minutes) indicator11=average[100,8] indicator21=average[110,8] F1 = indicator11>indicator21 Timeframe (Default) UpTrend = Close > Close[1] AND Close[1] > Close[2] AND Close[2] > Close[3] // Conditions to enter positions IF NOT LongOnMarket AND UpTrend AND PxMomentum AND opendayofweek <> 2 AND F1 THEN BUY PositionSize CONTRACTS AT MARKET ENDIF //graph UpTrend //===== Exit Methodology ===== 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 //=================================== DSD = 0 if DSD then once openStrongLong = 0 once openStrongShort = 0 if (time <= 080000 or time >= 210000) then openStrongLong = 0 openStrongShort = 0 endif //detect strong direction for market open once rangeOK = 30 once tradeMin = 2500 IF (time >= 080500) AND (time <= 080500 + 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 endif //==== Stop Loss ==== Set Stop $Loss slp

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  //========================================================================================================== //   Code:    TEST Go with the Momentum //   Version  1 //   Index:   NASDAQ //   TF:      5 min //   TZ:      EU //   Spread:  3 //   Notes:   v1.1 Core strategy, Long only //            v1.2 Tested Trailing stops //            v1.3 Added $ Loss limit //            v1.4 Tested a 4th Close High criteria - poor performance //            v1.5 Added Momentum (optimised) Long Entry Filter //            v1.6 Added Moving Averages (optimised) Long Entry Filter //            v1.7 Day of week code to reduce drawdown // //   Testing on both 5 mins and 15 mins for NADSDAQ //==========================================================================================================   PxMomentum = Momentum>21 PositionSize = 1 slp = 140// * PositionSize   //=== Entry Filter === //Filter 1 Timeframe (60 minutes) indicator11=average[100,8]   indicator21=average[110,8]     F1 = indicator11>indicator21   Timeframe (Default) UpTrend = Close > Close[1] AND Close[1] > Close[2] AND Close[2] > Close[3]     // Conditions to enter positions IF NOT LongOnMarket AND UpTrend AND PxMomentum AND opendayofweek <> 2 AND F1 THEN   BUY PositionSize CONTRACTS AT MARKET ENDIF   //graph UpTrend   //=====  Exit Methodology =====   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 //=================================== DSD = 0 if DSD then once openStrongLong = 0 once openStrongShort = 0 if (time <= 080000 or time >= 210000) then openStrongLong = 0 openStrongShort = 0 endif   //detect strong direction for market open once rangeOK = 30 once tradeMin = 2500 IF (time >= 080500) AND (time <= 080500 + 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 endif   //====  Stop Loss  ==== Set Stop $Loss slp

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  Midlanddave, Nicolas, ichimoku18, eckaw, phoentzs

  

  deletedaccount051022

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  09/29/2021 at 1:03 PM #178710
  deletedaccount051022

  With Dashboard

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  ichimoku18

  

  deletedaccount051022

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  09/29/2021 at 1:13 PM #178712
  deletedaccount051022

  Quick updated to line 33 in the code;

   

   

  UpTrend = Close > Close[1] AND Close[1] > Close[2] AND Close[2] > Close[3] AND Close [4] > Close [5]

  1	UpTrend = Close > Close[1] AND Close[1] > Close[2] AND Close[2] > Close[3] AND Close [4] > Close [5]

  

  deletedaccount051022

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  09/29/2021 at 1:14 PM #178713
  deletedaccount051022

  With file

  

  deletedaccount051022

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  09/29/2021 at 10:27 PM #178751
  JS

  Simple? 🙂

  

  JS

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