QuarryLake - An ATR base strategy

24 ส.ค. 2019

This strategy consists of 3 indicators that I found works quite well together.

Keltner Channel, Waddah Attah Explosion, and Volatility Stop.

You can find WAE here

KC Period = 200
KCATR = 5
Vstop Period = 3
Vstop Mult = 1.5

Long when close > KC, close > Vstop, WAE trendUp
Short when close < KC, close < Vstop, WAE trendDown

Works well on BTCUSD XBTUSD, as well as other major liquid Pair.

This strategy utilized a modified Kelly position sizing for BTCUSD Bitstamp, feel free to modify it to your needs.
More information can be found here dqydj.com/optimal-asset-allocation-kelly-criterion/

Feel free to follow me on Twitter @Lancelot_Auger for more free Alpha.