A very simple, almost naive strategy, in which you buy on the lowest of the two previous candles and sell at the highest of the two previous candles. You can configure these highest and lowest lenght, in some assets two is too small of a number to make profit. You can also configure to exit the position after X, and I found that 7 (which is a week of working days) is a good number for that.
This is strategy is intended to be used as a swing trade. Your capital needs to be high enough so that it can pay the operaitonal costs, and reach it's target with a reasonable profit.
Since this is a volatility based strategy, assets that are more liquid won't work properly.
เอกสารเผยแพร่
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Added an option to set the initial backtesting date. Also added an option to increase or decrease the entry and exit points based on the ATR.
เอกสารเผยแพร่
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Made use of the new time input function, and now you can configure the ATR period
เอกสารเผยแพร่
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I made use of the new inline and group features on the input functions, so now they should be clearer and better organized.
เอกสารเผยแพร่
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I made some changes to the code so that it loads faster.
Obtive bons resultados com as seguintes configurações:
XRPUSDTPERP- 1H
Entry length- 3 Exit length- 2 Close after candles- 2 ATR entry- 1.5 ATR exit- 0.6 ATR period- 2
Ichilinha
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Entrada MA 2. Deslocada 1 (Min). Saída MA 2 Deslocada 1 (Max).
cajole
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Beauty in simplicity. It looks like most profits were made during low-volatility uptrends. If I find time I would modify this to add a filter for a high slope in 200d MA, and low BB width.
operadordeverdade
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Parabéns, Eduardo! Muito bom!
Sabe como fazer um backtest em período específico com essa estratégia?
EduardoMattje
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@operadordeverdade, Infelizmente o TV ainda não implementou um jeito fácil de limitar a região do backteting. Eu posso programar uma data inicial, aí você coloca o ano e o mês para que o backtesting comece. Nessas estratégias de alta frequência seria até bom eu colocar porque o limite de 3000 ordens é fácil de ser atingido.
operadordeverdade
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@EduardoMattje, e a estratégia pode perder eficácia em determinado papel ao longo do tempo
XRPUSDTPERP- 1H
Entry length- 3
Exit length- 2
Close after candles- 2
ATR entry- 1.5
ATR exit- 0.6
ATR period- 2