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Uhl MA System - Strategy AnalysisThe Uhl MA crossover system was specifically designed to provide an adaptive MA crossover system that didn't committed the same errors of more classical MA systems. This crossover system is based on a fast and a slow moving average, with the slow moving average being the corrected moving average (CMA) originally proposed by Andreas Uhl, and the fast moving average being the corrected trend step (CTS) which is also based on the corrected moving average design. For more information see : In this post, the performances of this system are analyzed on various markets. Setup And Rules The analysis is solely based on the indicator signals, therefore no spread is applied. Constant position sizing is used. The strategy will be backtested on the 15 minute time-frame. The mult setting is discarded, the default setting used for length is 100. Here are the rules of our strategy : long: CTS crossover CMA short: CTS crossunder CMA Results And Data EURUSD: Net Profit: $ 0.08 Total number of trades: 99 Profitability: 35.35 % Profit Factor: 1.834 Max Drawdown: $ 0.01 EURUSD behaved pretty well, and was most of time showing long term trends without exhibiting particularly tricky structures, the moving averages still did cross during ranging phases, since march 9 we can see a downtrend with more pronounced cyclical variations (retracements) that could potentially lead to loosing trades. BTCUSD: Net Profit: $ 4371.57 Total number of trades: 94 Profitability: 32.98 % Profit Factor: 1.749 Max Drawdown: $ 1409.96 The strategy didn't started well, producing its largest drawdown after only a few trades, the strategy still managed to recover. BTCUSD exhibited a strong downtrend, the strategy profited from that to recover, signals still occurred on ranging phases, and where mostly caused by a short term volatile move, unfortunately the CMA can converge toward ranging/flat price zones where false signals might occur at higher frequency. AMD: Net Profit: $ 16.09 Total number of trades: 95 Profitability: 29.47 % Profit Factor: 1.288 Max Drawdown: $ 20.11 On AMD the strategy started relatively well with a raising balance, then the balance quickly fallen, this downtrend in the balance lasted quite some time (almost 48 trades), the strategy finally recovered in Nov 2019 and the balance made a new highest high at the end of February. AMD had numerous trends during the backtesting period, yet results are poor. AAPL: Net Profit: $ -28.17 Total number of trades: 89 Profitability: 28.09 % Profit Factor: 0.894 Max Drawdown: $ 63.21 AAPL show the poorest results so far, with a stationary balance around the initial capital (in short the evolution of the balance is not showing any particular trend and oscillate around the initial capital value). AAPL had some significant retracements in its up-trend, which triggered some trades (of course), and the ranging period from Jan 24 to Feb 13 heavily damaged the strategy performance, generating 6 significant loosing trades. AAPL show the worst results so far, mostly due by ranging phases. Conclusions The Uhl MA crossover system strategy has been tested and based on the results don't show particularly interesting performances, and might even be outperformed by simpler MA systems that prove to be more robust against ranging markets. The total number of executed trades are on average 94, and the profitability is on average 31%. The strategy might prove more interesting if we can correct the behavior of the CMA, who sometimes converged toward ranging/flat markets.
Pine Script™ stratejisi
alexgrover tarafından
7
Combo Strategy 123 Reversal & DSS Bressert This is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy Double Smoothed Stochastics (DSS) is designed by William Blaw. It attempts to combine moving average methods with oscillator principles. WARNING: - For purpose educate only - This script to change bars colors.
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HPotter tarafından
FRAMA - Supertrend strategyFRAMA Strategy I found this strategy on internet, in a well-known forex forum. I have translated the two indicators mentioned in that strategy (originally in mq4) in pine script. Thanks to Fractured and Shizaru for the FRAMA snippets, to mejialucas for Supertrend snippet, to JayRogers for trade management snippet and to Trost for backtesting snippet. I also added some code to have FRAME with a deiiferent timeframe Indicators set-up: FRAMA period 24 (it was originally 25 but it's better to use an even number) FRAMA timefarme lower then chart timeframe (e.g. daily chart and weekly FRAMA) Supertrend indicator as it is. Of course, it is better to adapt above setting to traded instrument. Long/Buy rules: 1 - Enter at crossover between FRAMA and its signal 2 - Option to filter entries based on supertrend signal 3 - Exit when Supertrend change direction; 4 - Exit long when short signal occurs; Short/Sell rules: 1 - Enter at crossunder between FRAMA and its signal 2 - Option to filter entries based on supertrend signal 3 - Exit when Supertrend change direction; 4 - Exit short when long signal occurs; VERY IMPORTANT NOTE: this is a trend following strategy, so the target is to stay in the trade as much as possible (drawdown my be high). If your trading style is more focused on scalping and/or pullbaks, this strategy is not for you. Credits to who developed this startegy (google it). Thanks to all pinescripters mentined in the code for their snippets. I have also a study with alerts. Please use comment section for any feedback or contact me if you need support.
Pine Script™ stratejisi
03.freeman tarafından
11
Combo Strategy 123 Reversal & Donchian Channel WidthThis is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy The Donchian Channel was developed by Richard Donchian and it could be compared to the Bollinger Bands. When it comes to volatility analysis, the Donchian Channel Width was created in the same way as the Bollinger Bandwidth technical indicator was. As was mentioned above the Donchian Channel Width is used in technical analysis to measure volatility. Volatility is one of the most important parameters in technical analysis. A price trend is not just about a price change. It is also about volume traded during this price change and volatility of a this price change. When a technical analyst focuses his/her attention solely on price analysis by ignoring volume and volatility, he/she only sees a part of a complete picture only. This could lead to a situation when a trader may miss something and lose money. Lets take a look at a simple example how volatility may help a trader: Most of the price based technical indicators are lagging indicators. When price moves on low volatility, it takes time for a price trend to change its direction and it could be ok to have some lag in an indicator. When price moves on high volatility, a price trend changes its direction faster and stronger. An indicator's lag acceptable under low volatility could be financially suicidal now - Buy/Sell signals could be generated when it is already too late. Another use of volatility - very popular one - it is to adapt a stop loss strategy to it: Smaller stop-loss recommended in low volatility periods. If it is not done, a stop-loss could be generated when it is too late. Bigger stop-loss recommended in high volatility periods. If it is not done, a stop-loss could be triggered too often and you may miss good trades. WARNING: - For purpose educate only - This script to change bars colors.
Pine Script™ indikatörü
HPotter tarafından
2
BEST ABCD Pattern StrategyHello traders This is the strategy version of this script I - Concept I present to you, ladies and gentlemen, the first screener for harmonic patterns. Starting with an ACBD pattern screener this time!! I used the calculations from Ricardo Santo's script In short, he's using fractals (regular or Bill Williams ) for the pattern calculations. A masterpiece !!! II - Definitions The ABCD pattern ( AB=CD ) is one of the classic chart patterns which is repeated over and over again. The ABCD pattern shows perfect harmony between price and time. The Williams Fractal is an indicator, developed by Bill Williams, that aims to detect reversal points (highs and lows) and marks them with arrows. Up fractals and down fractals have specific shapes. The Williams Fractal indicator helps users determine in which direction price will develop 💎Strategy filters💎 I included some cool backtest filters: - flexible take profit in USD value (plotted in blue) - flexible stop loss in USD value (plotted in red) The take profit and stop loss should work with Forex/FX pairs as well All the BEST Dave
Pine Script™ stratejisi
Daveatt tarafından
19
Combo Strategy 123 Reversal & CMOaDisparity Index This is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy The related CMO Disparity Index article is copyrighted material from Stocks & Commodities Dec 2009 My strategy modification. WARNING: - For purpose educate only - This script to change bars colors.
Pine Script™ indikatörü
HPotter tarafından
1
Combo Strategy 123 Reversal & DiNapoli Detrended Oscillator This is combo strategies for get a cumulative signal. First strategy This System was created from the Book "How I Tripled My Money In The Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. The strategy buys at market, if close price is higher than the previous close during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. The strategy sells at market, if close price is lower than the previous close price during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. Second strategy DiNapoli Detrended Oscillator Strategy WARNING: - For purpose educate only - This script to change bars colors.
Pine Script™ indikatörü
HPotter tarafından
2
BEST Engulfing + Breakout StrategyHello traders This is a simple algorithm for a Tradingview strategy tracking a convergence of 2 unrelated indicators. Convergence is the solution to my trading problems. It's a puzzle with infinite possibilities and only a few working combinations. Here's one that I like - Engulfing pattern - Price vs Moving average for detecting a breakout Definition Take out the notebooks :) and some coffee (good for focus). I'm bullish in coffee The engulfing pattern is a two-candle reversal pattern. The second candle completely ‘engulfs’ the real body of the first one, without regard to the length of the tail shadows. The bullish Engulfing pattern appears in a downtrend and is a combination of one red candle followed by a larger green candle The bearish Engulfing pattern appears in a downtrend and is a combination of one green candle followed by a larger red candle Example: imgur.com We're bored sir... what's the point of all this? In summary, an engulfing is a pattern to track reversals. (the whole TradingView audience stands up now giving a standing ovation) Adding the Price vs Moving average filters allows to track reversals with momentums (half of the audience collapsed because this is too awesome) Ok sir... you picked up my interest I included some cool backtest filters: - date range filtering - flexible take profit in USD value (plotted in blue) - flexible stop loss in USD value (plotted in red) All the best Dave
Pine Script™ stratejisi
Daveatt tarafından
21
Best Supertrend CCI StrategyHello traders Someone requested the strategy version of the Supertrend CCI indicator It's a Supertrend not based on candle close but based on a CCI ( Commodity Channel Index ) How does it work? Bull event: CCI crossing over the 0 line Bear event: CCI crossing below the 0 line When the event is triggered, the script will plot the Supertrend as follow UP Trend = High + ATR * Factor DOWN Trend = Low - ATR * Factor This is an alternative of the classical Supertrend based on candle close being above/beyond the previous Supertrend level. Hope you'll enjoy it and it will improve your trading making you a better trader Dave
Pine Script™ stratejisi
Daveatt tarafından
13
Best Volatility Calculator (Multi Instruments)Hello traders A bit of context Definition: Volatility is defined as the close of current candle - close of the previous N candle This is an alternative version of my Best Volatility Calculator The other version is displayed on a panel below. This one overlays on the chart using the "overlay=true" setting This indicator shows the average volatility, of last N Periods, for the selected time frames and for 2 selected instruments. You can select up to 2 timeframes with this version Presented as Currency, Pip, percentage labels in a panel below. Will calculate in real-time only for the current instrument on the chart. The indicator is coded to not be repainting Example In the indicator screenshot, I used a lookback period of 1. That compares the current candle close versus the previous one for the daily and weekly timeframe Showing how the results look like using FOREX instruments (where using the PIPS labels make more sense than with cryptocurrency assets) Best regards Dave
Pine Script™ indikatörü
Daveatt tarafından
Best Volatility CalculatorHello traders, This indicator shows the average volatility, of last N Periods, for the selected time frames. You can select up to 2 timeframes with this version Volatility is defined as the close of current candle - close of the previous N candle Presented as Currency, Pip, percentage labels in a panel below. Will calculate in real-time only for the current instrument on the chart. The indicator is coded to not be repainting Example In the indicator screenshot, I used a lookback period of 1. That compares the current candle close versus the previous one for the daily and weekly timeframe Showing how the results are calculated for the weekly calculations Enjoy :) Best regards Dave
Pine Script™ indikatörü
Daveatt tarafından
HatiKO EnvelopesPublished source code is subject to the terms of the GNU Affero General Public License v3.0 This script describes and provides backtesting functionality to internal strategy of algorithmic crypto trading software "HatiKO bot". Suitable for backtesting any Cryptocurrency Pair on any Exchange/Platform, any Timeframe. Core Mechanics of this strategy are based on theory of price always returning to Moving Average + Envelopes indicator (Moving_average_envelope from Wiki) Developement of this script and trading software is inspired by: "Essential Technical Analysis: Tools and Techniques to Spot Market Trends" by Leigh Stevens (published on 12th of April 2002) "Moving Average Envelopes" by ChartSchool, StockCharts platform (published on 13th of April 2015 or earlier) "Коля Колеснік" from Crypto Times channel ("Метод сетка", published on 19th of August 2018) "3 ways to use Moving Average Envelopes" by Rich Fitton, published on Trader's Nest (published on 28st of November 2018 or earlier) noro's "Robot WhiteBox ShiftMA" strategy v1 script, published on TradingView platform (published on 29th of August 2018) "Moving Average Envelopes: A Popular Trading Tool" Investopedia article (published 25th of June 2019) and KROOL1980's blogpost on Argolabs ("Гридерство или Сетка как источник прибыли на форекс", published on 27th of February 2015) Core Features: 1) Up to 4 Envelopes in each direction (Long/Short) 2) Use any of 6 different basis MAs, optionally use different MAs for Opening and Closure 3) Use different Timeframes for MA calculation, without any repainting and lookahead bias. 4) Fixed order size, not Martingale strategy 5) Close open position earlier by using Deviation parameter 6) PineScript v4 code Options description: Lot - % from your initial balance to use for order size calculation Timeframe Short - Timeframe to use for Short Opening MA calculation, can be chosen from dropdown list, default is Current Graph Timeframe MA Type Short - Type of MA to use for Short Opening MA calculation, can be chosen from dropdown list, default is SMA Data Short - Source of Price for Short Opening MA calculation, can be chosen from dropdown list, default is OHLC4 MA Length Short - Period used for Short Opening MA calculation, should be >=1, default is 3 MA offset Short - Offset for MA value used for Short Envelopes calculation, should be >= 0, default is 0 Timeframe Long - Timeframe to use for Long Opening MA calculation, can be chosen from dropdown list, default is Current Graph Timeframe MA Type Long - Type of MA to use for Long Opening MA calculation, can be chosen from dropdown list, default is SMA Data Long - Source of Price for Long Opening MA calculation, can be chosen from dropdown list, default is OHLC4 MA Length Long - Period used for Long Opening MA calculation, should be >=1, default is 3 MA offset Long - Offset for MA value used for Long Envelopes calculation, should be >= 0, default is 0 Mode close MA Short - Enable different MA for Short position Closure, default is "false". If false, Closure MA = Opening MA Timeframe Short Close - Timeframe to use for Short Position Closure MA calculation, can be chosen from dropdown list, default is Current Graph Timeframe MA Type Close Short - Type of MA to use for Short Position Closure MA calculation, can be chosen from dropdown list, default is SMA Data Short Close - Source of Price for Short Closure MA calculation, can be chosen from dropdown list, default is OHLC4 MA Length Short Close - Period used for Short Opening MA calculation, should be >=1, default is 3 Short Deviation - % to move from MA value, used to close position above or beyond MA, can be negative, default is 0 MA offset Short Close - Offset for MA value used for Short Position Closure calculation, should be >= 0, default is 0 Mode close MA Long - Enable different MA for Long position Closure, default is "false". If false, Closure MA = Opening MA Timeframe Long Close - Timeframe to use for Long Position Closure MA calculation, can be chosen from dropdown list, default is Current Graph Timeframe MA Type Close Long - Type of MA to use for Long Position Closure MA calculation, can be chosen from dropdown list, default is SMA Data Long Close - Source of Price for Long Closure MA calculation, can be chosen from dropdown list, default is OHLC4 MA Length Long Close - Period used for Long Opening MA calculation, should be >=1, default is 3 Long Deviation - % to move from MA value, used to close position above or beyond MA, can be negative, default is 0 MA offset Long Close - Offset for MA value used for Long Position Closure calculation, should be >= 0, default is 0 Short Shift 1..4 - % from MA value to put Envelopes at, for Shorts numbers should be positive, the higher is number, the higher should be Shift position, example: "Shift 1 = 1, shift 2 = 2, etc." Long Shift 1..4 - % from MA value to put Envelopes at, for Longs numbers should be negative, the lower is number, the lower should be Shift position, example: "Shift 1 = -1, shift 2 = -2, etc." From Year 20XX - Backtesting Starting Year number, only 20xx supported as script is cryptocurrency-oriented. To Year 20XX - Backtesting Final Year number, only 20xx supported as script is cryptocurrency-oriented. From Month - Years starting Month, optional tweaking, changing not recommended To Month - Years ending Month, optional tweaking, changing not recommended From day - Months starting day, optional tweaking, changing not recommended To day - Months ending day, optional tweaking, changing not recommended Graph notes: Green lines - Long Envelopes. Red lines - Short Envelopes. Orange line - MA for closing of Short positions. Lime line - MA for closing of Long positions. ************************************************************************************************************************************************************************************************************** Опубликованный исходный код регулируется Условиями Стандартной Общественной Лицензии GNU Affero v3.0 Этот скрипт описывает и предоставляет функции бектеста для внутренней стратегии алгоритмического программного обеспечения "HatiKO bot". Подходит для тестирования любой криптовалютной пары на любой бирже/платформе, на любом таймфрейме. Кор-механика этой стратегии основана на теории всегда возвращающейся к значению МА цены с использованием индикатора Envelopes (Moving_average_envelope from Wiki) Разработка этого скрипта и программного обеспечения для торговли вдохновлена следующими источниками: Книга "Essential Technical Analysis: Tools and Techniques to Spot Market Trends" Ли Стивенса (опубликовано 12 апреля 2002 года) «Moving Average Envelopes» от ChartSchool, платформа StockCharts (опубликовано 13 апреля 2015 года или раньше) «Коля Колеснік» с канала Crypto Times («Метод сетка», опубликовано 19 августа 2018 года) «3 ways to use Moving Average Envelopes» Рича Фиттона, опубликованные в «Trader's Nest» (опубликовано 28 ноября 2018 года или раньше) Скрипт стратегии noro "Robot WhiteBox ShiftMA" v1, опубликованный на платформе TradingView(опубликовано 29 августа 2018 года) «Moving Average Envelopes: A Popular Trading Tool», статья Investopedia (опубликовано 25 июня 2019 года) Блог KROOL1980 из Argolabs («Гридерство или Сетка как источник прибыли на форекс», опубликовано 27 февраля 2015 года) Основные особенности: 1) До 4-х Ордеров в каждом из направлении (Лонг / Шорт) 2) Выбор из 6-ти разных базовых МА, опционально используйте разные МА для открытия и закрытия. 3) Используйте разные таймфреймы для расчета MA, без перерисовки и "эффекта стеклянного шара". 4) Фиксированный размер ордера, а не стратегия Мартингейла 5) Возможность закрытия открытой позиции заблаговременно, используя параметр Deviation 6) Код реализован на PineScript v4 Описание параметров: Lot - % от вашего первоначального баланса, используется при расчете размера Ордера Timeframe Short - таймфрейм, используемый для расчета МА Открытия Шорт позиций, может быть выбран из списка, по умолчанию - таймфрейм текущего графика MA Type Short - тип MA, используемый для расчета МА Открытия Шорт позиций, может быть выбран из списка, по умолчанию SMA Data Short - источник цены для расчета МА Открытия Шорт позиций, может быть выбран из списка, по умолчанию OHLC4 MA Length Short - период, используемый для расчета МА Открытия Шорт позиций, должен быть >= 1, по умолчанию 3 MA Offset Short - смещение значения MA, используемого для расчета Шорт Ордеров, должно быть >= 0, по умолчанию 0 Timeframe Long - таймфрейм, используемый для расчета МА Открытия Лонг позиций, может быть выбран из списка, по умолчанию - таймфрейм текущего графика MA Type Long - тип MA, используемый для расчета МА Открытия Лонг позиций, может быть выбран из списка, по умолчанию SMA Data Long - источник цены для расчета МА Открытия Лонг позиций, может быть выбран из списка, по умолчанию OHLC4 MA Length Long - период, используемый для расчета МА Открытия Лонг позиций, должен быть >= 1, по умолчанию 3 MA Offset Long - смещение значения MA, используемого для расчета Лонг Ордеров, должно быть >= 0, по умолчанию 0 Mode close MA Short - Включает отдельное MA для закрытия Шорт позиции, по умолчанию «false». Если false, MA Закрытия = MA Открытия Timeframe Short Close - таймфрейм, используемый для расчета МА Закрытия Шорт позиций, может быть выбран из списка, по умолчанию - таймфрейм текущего графика MA Type Close Short - тип MA, используемый при расчете МА Закрытия Шорт позиции. Mожно выбрать из списка, по умолчанию SMA Data Short Close - источник цены для расчета МА Закрытия Шорт позиций, может быть выбран из списка, по умолчанию OHLC4 MA Length Short Close - период, используемый для расчета МА Закрытия Шорт позиции, должен быть >= 1, по умолчанию 3 Short Deviation - % отклонения от значения MA, используется для закрытия позиции выше или ниже рассчитанного значения MA, может быть отрицательным, по умолчанию 0 MA Offset Short Close - смещение значения MA, используемого для расчета закрытия Шорт позиции, должно быть >= 0, по умолчанию 0 Mode close MA Long - Включает разные MA для закрытия Лонг позиции, по умолчанию «false». Если false, MA Закрытия = MA Открытия Timeframe Long Close - таймфрейм, используемый для расчета МА Закрытия Лонг позиций, может быть выбран из списка, по умолчанию - таймфрейм текущего графика MA Type Close Long - тип MA, используемый при расчете МА Закрытия Лонг позиции. Mожно выбрать из списка, по умолчанию SMA Data Long Close - источник цены для расчета МА Закрытия Лонг позиций, может быть выбран из списка, по умолчанию OHLC4 MA Length Long Close - период, используемый для расчета МА Закрытия Лонг позиции, должен быть >= 1, по умолчанию 3 Long Deviation -% для перехода от значения MA, используется для закрытия позиции выше или ниже рассчитанного значения MA, может быть отрицательным, по умолчанию 0 MA Offset Long Close - смещение значения MA, используемого для расчета закрытия Лонг позиции, должно быть >= 0, по умолчанию 0 Short Shift 1..4 - % от значения MA для размещения Ордеров, для Шорт Ордеров должен быть положительным, чем выше номер, тем выше должна располагаться позиция Shift, например: «Shift 1 = 1, Shift 2 = 2 и т.д. " Long Shift 1..4 - % от значения MA для размещения Ордеров, для Лонг Ордеров должно быть отрицательным, чем ниже число, тем ниже должна располагаться позиция Shift, например: «Shift 1 = -1, Shift 2 = -2, и т.д." From Year 20XX - Год начала тестирования, из-за ориентированности на криптовалюты поддерживаются только значения формата 20хх. To Year 20XX - Год окончания тестирования, из-за ориентированности на криптовалюты поддерживаются только значения формата 20хх. From Month - Начальный месяц, опционально, менять не рекомендуется To Month - Конечный месяц, опционально, менять не рекомендуется From day - Начальный день месяца, опционально, менять не рекомендуется To day - Конечный день месяца, опционально, менять не рекомендуется Пояснения к графику: Зеленые линии - Лонг Ордера. Красные линии - Шорт Ордера. Оранжевая линия - MA Закрытия Шорт позиций. Лаймовая линия - MA Закрытия Лонг позиций.
Pine Script™ stratejisi
CraZy_HuT tarafından
9
Grover Llorens Activator Strategy AnalysisThe Grover Llorens Activator is a trailing stop indicator deeply inspired by the parabolic SAR indicator, and aim to provide early exit points and reversal detection. The indicator was posted not so long ago, you can find it here : Today a strategy using the indicator is proposed, and its profitability is analyzed on 3 different markets with the main time frame being 1 hour, remember that lower time frames involve lower absolute price changes, therefore we are way more affected by the spread, and we can require a larger position sizing depending on our investment target, trading higher time-frames is always a good practice and this is why 1 hour is selected. Based on the result we might make various conclusions regarding the indicator accuracy and might have ideas on future improvements of the indicator. I'am not great when it comes to strategy design, i still hope to share correct and useful information in this post, let me know your thoughts on the post format and if i should make more of these. Setup And Rules The analysis is solely based on the indicator signals, money management isn't taken into account, this allow us to have an idea on the indicator robustness and resilience, particularly on extremely volatile markets and ones exhibiting a chaotic structure, altho it is normally good practice to close any position before a market closure in order to avoid any potential major gaps. The settings used are 480 for length and 14 for mult, this create relatively mid term signals that are suited for a trend indicator such as the Grover Llorens Activator, unfortunately we can't infer the indicator optimal settings, thats how it is with any technical indicator anyway. Here are the rules of our strategy : long : closing price cross over the indicator short : closing price cross under the indicator We use constant position sizing, once a signal is triggered all the previous positions are closed. Description Of The Statistics Used Various statistics are presented in this post, here is a brief description of the main ones : Percent Profitability (higher = better): Percentage of winning trades, that is : winning trades/total number of trades × 100 Maximum Drawdown (lower = better) : The highest difference between a peak and a valley in the balance, that is : peak - valley , in percentage : (peak - valley)/peak × 100 Profit Factor (higher = better) : Gross profit divided by gross loss, values under 1 represent gross losses superior to the gross profits Remember that more volatility = more risk, since higher absolute price changes can logically cause larger losses. EURUSD The first market analyzed is the Forex market with the EURUSD major pair with a position sizing of 1000 units (1 micro lot). Since October EURUSD is not showing any particular strong trend but posses a discrete rising motion, fortunately cycles can be observed. The equity was rising until two trades appeared causing a decline in the equity. Before October a bearish market could be observed. We can see that the equity is rising, the trend still posses various retracements that affect our indicator, however we can see that the indicator totally nail the end of the trend, thats the power of converging toward the price. In short : $ 86.63 net profit 340 closed trades 37.65 % profitable (thats a lot of loosing trades) 1.19 profit factor $ 76.67 max drawdown Applying a spread would create negative results (in general the average spread is used), not a great start... BTCUSD The cryptocurrency market is relatively more volatile than others, which also mean potentially higher returns, we test the indicator using certainly the most traded cryptocurrency, BTCUSD. We will use a position sizing of 1 unit. In the case of BTCUSD the strategy balance is relatively stationary around the initial capital, with of course high dispersion. from september to december the market is bearish with various ranging periods, no apparent cycles can be observed, except maybe in the ranging period of october, this ranging period is followed by a non linear trend (relatively parabolic) that the indicator failed to capture in its integrity (this is a recurrent problem and it is starting to piss me off xD). In short : $ 2010.64 net profit (aka how i bet the crypto market) 395 closed trades 38.23 % profitable 1.036 profit factor $ 5738.01 max drawdown (aka how i lost to the crypto market) AMD AMD stand for Advanced Micro Devices and is a company focused on the development of computer technology, i love the microprocessor market and i really like AMD who start this year in a pretty great way with a net bullish trend. The performance of the indicator on AMD is decent (at last !) with the equity producing many new higher highs. The indicator performance still drop in the middle end of 2019 with a large equity drawdown of 17$ caused by the gap of august 8. Unfortunately AMD, like lot of well behaving stocks can only tells us that the indicator has good performances on heavily trending markets with no excess of noise or chaotic structures. In short : $ 17.86 net profit (Enough for a consistent lunch) 295 closed trades 36.27 % profitable 1.414 profit factor $ 10.37 max drawdown. Conclusion A strategy using the recently proposed Grover Llorens activator has been presented. We can easily conclude that the indicator can't possibly generate long term returns under chaotic and volatile markets, and could even produce unnecessary trades in trending markets without much parasitic fluctuations such as noise and retracements (think about a simple linear trend) since the indicator converge toward the price and would therefore automatically cross over/under the trend, thus guaranteeing a false signal. However we have seen its ability to provide accurate early reversal detection shine from time to time, thus over performing lagging indicators in this aspect, however the duration of price fluctuations isn't fixed at a certain period, the rate of convergence should be way faster during volatile fluctuations, of moderate speed during more cyclic fluctuations, and really slow with apparent long term trends, this could be achieved by making the indicator adaptive, but it won't really make it necessarily perform better. That said i still believe that converging trend indicators are really interesting and aim to capture the non lasting behavior of price fluctuations, they shouldn't receive so much hate (think about the poor p-sar). Thanks for reading !
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