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Volatility Scalper S1 V01

MAKSIDE · 2020-04-03T12:08:03+00:00

Hi, I tried to make a strategy based on Volatility Scalper Indicator of Nicolas. As a reminder, this indicator detects the high volatility of market places. It’s the reflect when the market is making big move on the same bar. This strategy is based on this indicator. When the value of the upside volume is considered as good, value > treshold and close > long MM, -> buy position is taken. When the value of the downside volume is considered as good, value > treshold and close sell position is taken. Stop according to traling stop time 1530 – 2200, everyday option / reversal position size (possibility to activate or not) option for buy, sell or both all suggestions are open… maybe specify more precise time ranges according to the volatility of DJI, same thing for different days… ? others ? … others.. ? //VOLATILITY SCALPER STRATEGY //@MAKSIDE - 2020 //V0.1 // Définition des paramètres du code DEFPARAM CumulateOrders = False // Cumul des positions désactivé //$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$ Volatility Scalper //@Nicolas/PRT // Variables threshATRPeriod = 40 smoothing = 2 verticalShiftPercent = 0 // -- threshATRPeriod = max(1, threshATRPeriod) smoothing = max(1, smoothing) diff = averagetruerange[1] - averagetruerange[2] if(close-close[1])>0 THEN upsidevol = averagetruerange[1] + diff * 0.5 upsideVol = max(upsideVol, 0) downsidevol = 0 ELSE upsidevol = 0 downsidevol = averagetruerange[1] + diff * 0.5 downsideVol = max(downsideVol, 0) ENDIF t = DEMA[smoothing](AverageTrueRange[threshATRPeriod]) t = t + (t*(verticalShiftPercent/100)) //$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$$ //PARAMETERS OF STRATEGY ************************************** //level of volatility indicator / bull market Cupsidevol = 10 //level of volatility indicator / bear market CdownsideVol = 20 //buy conditions Cdatetimebuy = (CurrentTime > 153000) and currenttime 153000) and currenttime Cupsidevol and upsidevol > t and Cdatetimebuy Csell = downsidevol>CdownsideVol and downsidevol > t and Cdatetimesell // Strategy - 1 : buy, 2 : sell, 3 : both Cchoice = 2 //Reverse martingale 1 : ON, 0 : OFF levier = 1 n = 1 reversemartingale = 0 //$$$$$$$$$$$$$$ REVERSE MARTINGALE // in case of loss, back to initial value 1 // in case of winning, increase by one unit // in case of 4 consecutive wins, back to initial value 1 if reversemartingale = 1 then ONCE n = levier IF Strategyprofit Strategyprofit[1] THEN n = n + levier ENDIF IF n >= 6 * levier THEN // modifier la valeur selon vos préférences n = levier ENDIF endif //STRATEGY ************************************** // if Cchoice = 1 or 3 then if close > Average[4800](close) then IF not longonmarket and Cbuy THEN BUY n CONTRACT AT MARKET ENDIF SET STOP pLOSS 5 endif endif if Cchoice = 2 or 3 then if close < Average[4800](close) then IF not shortonmarket and Csell THEN sellshort n CONTRACT AT MARKET ENDIF SET STOP pLOSS 5 endif endif //TRAILING STOP ************************************** trailingstart = 15 //trailing will start @trailinstart points profit trailingstep = 5 //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

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Volatility Scalper S1 V01

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04/09/2020 at 9:21 PM #125495 quote

deleted2104
Member

New

your strategy is very promising in my logical sense, as soon as you have time to finish your fixes, I could test it on 200,000 candles.
thank you

04/09/2020 at 10:34 PM #125496 quote

MAKSIDE
Participant

Veteran

already tested on 200k

exit position is for the moment a problem on TF 1S.. when it doesn’t reach the tp, pullback until the SL.. it can “hurt”…

same problem with the candlestick strategy… with this timeframe, it’s not easy

04/10/2020 at 7:18 PM #125615 quote

MAKSIDE
Participant

Veteran

Moderator,

Could you close this topic ?

I will merge this topic with candle stick topic

Thx

04/10/2020 at 9:50 PM #125630 quote

robertogozzi
Moderator

Legend

Please keep posting here https://www.prorealcode.com/topic/candlestick-scalper-1s-discussion/

Thank you 🙂
Author

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Volatility Scalper S1 V01

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MAKSIDE @makside Participant

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This topic contains 48 replies,
has 10 voices, and was last updated by robertogozzi
6 years, 5 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	04/03/2020
Status:	closed
Attachments:	16 files

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Volatility Scalper S1 V01

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Volatility Scalper S1 V01 ProOrder: Automated Strategies & Backtesting

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Volatility Scalper S1 V01

ProOrder: Automated Strategies & Backtesting