Weekend Range Trading Strategy
This strategy specifically trades the weekend price swings by determining long/short direction based on pre-set percentage bands. It is a typical range trading system.
Strategy Logic:
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Set percentage bands based on previous Friday close, e.g. 4.5% up/down.
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Enter short if price exceeds upside band, enter long if below downside band.
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Add positions when reaching new bands in existing direction.
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Take profit when accumulated gains reach threshold, such as 10%.
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Allow maximum two simultaneous positions, one in each direction. Close all before Monday open.
Advantages:
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Fixed percentage bands allow mechanical trading.
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Multi-tier entries achieve better cost basis.
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Periodicity is stable, unaffected by fundamentals.
Risks:
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Unable to limit single trade loss size, risks large losing trades.
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Fixed parameters fail to adapt changing volatility across periods.
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Periodicity may change over time, invalidating the model.
In summary, this strategy frequently trades the weekend cycle but faces challenges locking in profits consistently. Exercise caution on parameter failure and outsized losses when applying.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-12 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
//Copyright Boris Kozak
// strategy("XBT Weekend Trade Strategy", overlay=true, default_qty_type=strategy.percent_of_equity,)
strategy.initial_capital=50000- 1