ChaoZhang
Overview
The main idea of this strategy is to profit from Monday’s intraday reversal using trend following.
Principles
The core logic is:
Check if it is Monday, if yes, continue to next steps;
Identify if an uptrend reversal pattern exists - Close[1] < Close[2] and Close[2] < Close[3];
If reversal pattern confirmed, go long at the close of 3rd bar to follow the trend;
Exit if today’s high is breached, or stop loss is hit;
Close position after 6 hours.
The strategy capitalizes on specific Monday reversal, identifies reversal patterns to go long at relative lows for profits. Stop loss in place to control risks.
Advantages
The biggest advantages are:
Profits from Monday reversals during specific periods;
Clear entry signals from reversal candlestick patterns;
Stop loss and take profit to control risks;
Trend following approach maximizes profits;
Simple and easy to understand logic;
Risks
There are some risks:
Losses if Monday reversals not significant;
Price may retrace after entry leading to stop loss;
Sudden market changes may result in large stop loss;
Holding too long may also lead to losses;
The solutions are optimizing stop loss, shortening holding time, and controlling single loss size.
Enhancements
The strategy can be improved by:
Using machine learning to identify reversals more accurately;
Optimizing stop loss strategies like trailing stop or partial stop loss;
Incorporating more factors to judge trend strength;
Dynamically adjusting holding time;
Using algorithms to find optimal parameters;
Adding position switching for two-way trading;
These can increase the win rate and profitability.
Conclusion
In conclusion, the strategy capitalizes on Monday reversals, with clear entry/exit rules, to implement a simple trend following strategy. It can achieve better results than fixed stop loss/take profit. Further optimizations are needed to address market uncertainty. The strategy provides a reference for intraday trading.
/*backtest
start: 2023-10-06 00:00:00
end: 2023-11-05 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("ET Forex TurnaroundMonday", overlay=true)
FirstYear = input(2018, minval=2000, maxval=2023, step=1)
FirstMonth = 1 //input(1, minval=1, maxval=12, step=1)
FirstDay = 1 //input(1, minval=1, maxval=31, step=1)
deltaDay = input(0)
StartHour = input(0)
f_barssince(_cond, _count) => _barssince=bar_index-valuewhen(_cond, bar_index, _count)
HoldTime = input(6, step=1)
MM = input(1)
startHour = input(-7, step=1)
endHour = input(34, step=1)
exitHour = input(30, step=1)
startdateCond = (year > FirstYear or (year == FirstYear and (month > FirstMonth or (month == FirstMonth and dayofmonth >= FirstDay))))
iHour = hour
if iHour > 19
iHour := iHour-20
else
iHour := iHour+4
timeCondition = true //(iHour>=startHour and iHour<=endHour and iHour<=exitHour)
since_flat_condition = strategy.position_size == 0
entryPrice=strategy.position_avg_price
EntryLongCondition = dayofweek == (dayofweek.monday+deltaDay) and close[0] < close[1] and close[1]<close[2] and startdateCond //and timeCondition and iHour > StartHour
ExitTimeCondition = false//(f_barssince(since_flat_condition, 0)>=HoldTime)
ExitLongCondition = strategy.position_size > 0 and (close[0] > high[1])// or close[0]< entryPrice-abs(close[1]-close[2])*0.2)//(ExitTimeCondition) //iHour >= exitHour or
strategy.initial_capital =50000
// MM Block
lots = if MM < 2
strategy.initial_capital
else
strategy.equity
lots := lots/close
entryPrice:=strategy.position_avg_price
strategy.close("ETLong",when=(ExitLongCondition==true))
strategy.entry("ETLong", strategy.long, qty=lots, comment="OpenLong",when=(EntryLongCondition==true))