Cycles StrategyThis is back-testable strategy is a modified version of the Stochastic strategy. It is meant to accompany the modified Stochastic indicator: "Cycles".
Modifications to the Stochastic strategy include;
1. Programmable settings for the Stochastic Periods (%K, %D and Smooth %K).
2. Programmable settings for the MACD Periods (Fast, Slow, Smoothing)
3. Programmable thresholds for %K, to qualify a potential entry strategy.
4. Programmable thresholds for %D, to qualify a potential exit strategy.
5. Buttons to choose which components to use in the trading algorithm.
6. Choose the month and year to back test.
The trading algorithm:
1. When %K exceeds the upper/lower threshold and then hooks down/up, in the direction of the Moving Average (MA). This is the minimum entry qualification.
2. When %D exceeds the lower/upper threshold and angled in the direction of the trade, is the exit qualification.
3. Additional entry filters include the direction of MACD, Signal and %D. Also, the "cliff", being a long entry is a higher high or a short entry is a lower low.
4. Strategy can only go "Long" or "Short" depending on the selected setting.
5. By matching the settings in the "Cycles" indicator, you can (almost) see what the strategy is doing.
6. Be sure to select the "Recalculate" buttons, to recalculate on every new Tick, for best results.
Please click the Like button and leave a comment if you appreciate this script. Improvements will be implemented as time goes on.
I am not a licensed trade advisor. This strategy is for entertainment only. Use at your own risk!
週期
Stochastic Pop and Drop by Jake Bernstein v1 [Bitduke]I found a simple strategy by Jake Bernstein, modified it a little and created a strategy with Risk Management System (SL+TP); After that I test it on the different cryptocurrency pairs.
About the Indicator
Basically it's the strategy of 2 indicators: Stochastic Oscillator to define the bias and Average Directional Index to confirm it.
One again, It uses Stochastic Oscillator to define the trading bias. In particular, the trading bias was deemed bullish when the weekly 14-period Stochastic Oscillator was above some default value (in him paper - 50) and rising and vice versa.
Once the trading bias is established, Steckler used the Average Directional Index (ADX) to define a slowdown in the trend. ADX measures the strength of the trend and a move below 20 signals a weak trend.
Modifications
I didn't implement Average Directional Index (ADX) and test just different sources for data, oscillator periods and different levels in relation to the crypto market.
So, it shows good results with two tight thresholds at 55 and 45 level.
The bar chart below the defining the bullish and bearish periods (green and red) and gives a signal to enter the trade (purple bars).
Backtesting
Backtested on XBTUSD , BTCPERP (FTX) pairs. You may notice it shows good results on 3h timeframe.
Relatively low drawdown
~ 10% (from 2019 to date) FTX
~ 22% (4 years from 2016) Bitmex
I backtested on the different altcoin pairs as well, but the results were just not good.
Relatively good results were shown by some index pairs from the FTX exchange ( FTX:SHITPERP ), but I think there is a few data for backtesting to be asure in them.
Bitmex 3h (2017 - 2020) :
i.imgur.com
FTX 3h (2019 - 2020):
i.imgur.com
Possible Improvements
- Regarding trading algorithm it would be good to check with strategy with ADX somehow. Maybe for the better entries
- As for Risk Management system, it can be improved by adding trailing stop to the strategy.
Link: school.stockcharts.com
Combo Backtest 123 Reversal & D_DSP (Detrended Synthetic Price) 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
Detrended Synthetic Price is a function that is in phase with the
dominant cycle of real price data. This DSP is computed by subtracting
a half-cycle exponential moving average (EMA) from the quarter cycle
exponential moving average.
See "MESA and Trading Market Cycles" by John Ehlers pages 64 - 70.
WARNING:
- For purpose educate only
- This script to change bars colors.
Crowd Tracker (work in progress)This indicator/strategy should be used similarly to how you would analyse sentiment data, when the crowd is bullish look to be short, when the crowd is bearish look to be long. It is also is inspired by Elliott wave, as it is looking for ending waves. The crowd tracker uses volume and price data to estimate how many people went long or short in a candle, then adds the candles over a 500 candle period together. A spike in bullishness on the indicator indicates that a bull trend may be over because ending Elliott waves, for example 5s and Cs, are when the crowd are most on board with the trend. The blue lines are a standard deviation (Bollinger Band), between these lines is where a healthy trend would be found. When the Crowd Tracker leaves and re-enters the blue lines this is a sign of a change in trader psychology, as they have reached their maximum confidence in a trend then reversed.
This is still work in progress because I want to find a better way to find the tops and bottoms of the Crowd Tracker, so it is set to invite only, after I have completed it I will probably release it in protected so follow me if you want to use it later on :) It is good at spotting entries for cryptos and stock indexes however the exits still need work.
