Jalambi Paul modelKey Components
Inputs:
Window Length (window): The number of periods for calculating the rolling statistics. Default is set to 50.
Risk Percentage (risk_percentage): The percentage of capital risked per trade. Default is 1.0%.
Stop Loss and Take Profit Levels:
Stop Loss: Default is 2% of the entry price.
Take Profit: Default is 4% of the entry price.
Logarithmic Returns:
Calculates the logarithmic return of the price series using:
log_return
=
log
(
close
close
)
log_return=log(
close
close
)
This helps in normalizing price changes.
Rolling Statistics:
Mean (rolling_mean): Calculated over the rolling window using the Simple Moving Average (SMA).
Standard Deviation (rolling_std): Measured over the rolling window to understand volatility.
Shiryaev-Zhou Index (SZI):
The SZI is a standardized z-score:
SZI
=
log_return
−
rolling_mean
rolling_std
SZI=
rolling_std
log_return−rolling_mean
This metric is used to detect overbought or oversold conditions.
Signal Generation:
Buy Signal (long_signal): Triggered when SZI is below a fixed threshold (-2.0).
Sell Signal (short_signal): Triggered when SZI is above a fixed threshold (2.0).
Visuals on the Chart:
Buy signals are plotted below the price bars with green upward-pointing labels.
Sell signals are plotted above the price bars with red downward-pointing labels.
Trade Execution:
Entry Conditions:
Long positions are opened when long_signal is true.
Short positions are opened when short_signal is true.
Exit Conditions:
Stop Loss and Take Profit levels are calculated based on the entry price and the respective percentage inputs.
Positions are closed automatically when these levels are hit.
Visualization:
Plots the stop-loss (red line) and take-profit (green line) levels on the chart for easier tracking.
