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Zero-lag Volatility-Breakout EMA Trend Strategy

This is a simple volatility-breakout strategy which uses the difference in two different zero-lag* EMAs (explained below on what exactly I mean by this) to track the upwards or downwards strength of an instrument. When the difference breaks above a Bollinger Band of a configurable standard deviation multiple, the strategy enters based off the direction of the base EMA used (i.e. if the difference breaks above and the current EMA is rising, a long entry is produced. If the difference breaks above and the current EMA is falling, a short entry is produced).
The two EMA-type metrics used to calculate the volatility difference are calculated by the following formula:
Pine Script®
This produces a difference which responds immediately to large price movements, instead of lagging if it used strictly the EMA itself.
SETTINGS
Source: The source of the strategy - close, hlc3, another indicator plot, etc.
EMA Difference Length: The length of both the EMA difference statistics and the base EMA used to calculate the entry side.
Standard Deviation Multiple: The Bollinger Bands multiple used when the difference is breaking out.
Use Binary Strategy: The strategy has two configurations: Binary and Rapid-Exit. 'Binary' means that it will not close a long position until a short position is generated, and vice-versa. 'Rapid-Exit' will close a long or short position once the difference reaches the middle Bollinger Band MA. This means that turning on 'Binary' will expose you to more market risk, but potentially greater market return. Turning off 'Binary' will exit quickly and reduce drawdown.
The strategy results below use 10% equity and 0.1% fees per trade.
The two EMA-type metrics used to calculate the volatility difference are calculated by the following formula:
top_ema = math.max(src, ta.ema(src, length))
bottom_ema = math.min(src, ta.ema(src, length))
ema_difference = (top_ema - bottom_ema) - 1
This produces a difference which responds immediately to large price movements, instead of lagging if it used strictly the EMA itself.
SETTINGS
Source: The source of the strategy - close, hlc3, another indicator plot, etc.
EMA Difference Length: The length of both the EMA difference statistics and the base EMA used to calculate the entry side.
Standard Deviation Multiple: The Bollinger Bands multiple used when the difference is breaking out.
Use Binary Strategy: The strategy has two configurations: Binary and Rapid-Exit. 'Binary' means that it will not close a long position until a short position is generated, and vice-versa. 'Rapid-Exit' will close a long or short position once the difference reaches the middle Bollinger Band MA. This means that turning on 'Binary' will expose you to more market risk, but potentially greater market return. Turning off 'Binary' will exit quickly and reduce drawdown.
The strategy results below use 10% equity and 0.1% fees per trade.
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開源腳本
本著TradingView的真正精神,此腳本的創建者將其開源,以便交易者可以查看和驗證其功能。向作者致敬!雖然您可以免費使用它,但請記住,重新發佈程式碼必須遵守我們的網站規則。
FAQ: I am gradually phasing out my Patreon because of the time it takes to maintain.
BTC: 35PdMMMXFCvPjXKwn8wsRFNwMEPgStaKUJ
Test my strategies on CryptoRobotics: cryptorobotics.co/?trade=f23b09
BTC: 35PdMMMXFCvPjXKwn8wsRFNwMEPgStaKUJ
Test my strategies on CryptoRobotics: cryptorobotics.co/?trade=f23b09
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。