Volatility Engine Protocol
ATR volatility ACCUMULATION DCA
Created on:
2025-11-26 18:13:25
Modified on:
2025-11-26 18:13:25
Copy:
0
Number of hits:
54
ianzeng123
This Isn’t Regular DCA, This Is DCA With a Brain
Backtest data directly challenges traditional dollar-cost averaging: 5% drop triggers buy, 3.9% rise triggers sell, but the key is volatility engine dynamically adjusts buy threshold based on ATR. Higher market volatility means higher buy threshold, up to 40% adjustment. This means during high volatility periods, strategy waits for larger drops before entering.
Traditional DCA’s problem is mindless buying, while this protocol’s core logic is only firing during real opportunity windows. Uses ATR(14) to calculate current volatility, then dynamically adjusts longThreshPct parameter. For example, normal 5% drop buy-in, but if current volatility reaches 20%, actual buy threshold rises to 6%.
8 Preset Configurations, Each With Clear Return Expectations
BTC Cycle Accumulation: 5% drop buy-in, 6% position size, \(500 fixed amount, suitable for long-term holders. BTC Short Target Arbitrage: 3.1% drop buy-in, 10% position size, \)6000 fixed amount, 75% profit gate sell. ETH Volatility Harvesting: 4.5% drop buy-in, 15% position size, allows buying below cost basis, 30% profit gate.
Each configuration is backtest-verified, not random parameter guessing. SOL configuration 35% profit gate, XRP configuration 10% profit gate - these differences reflect different assets’ volatility characteristics and liquidity differences.
Cluster Seal Mechanism: Solving DCA Strategy’s Biggest Pain Point
Traditional DCA’s biggest problem is not knowing when to stop buying. This protocol uses “cluster seal” to solve: either price rises 3.9% from average cost, or 10 consecutive periods without qualifying buy opportunities seals current accumulation cluster.
Sealed average cost line becomes sell reference baseline. Only when price breaks sealed cost line + profit gate (30%-75% range) will trigger sell. This avoids endless buying and premature profit-taking.
Quiet bars mechanism is genius: if 10 consecutive periods don’t trigger buy conditions, market has stabilized and should prepare to harvest rather than continue accumulating.
Flywheel Effect: Making Profits Serve Next Purchase
With flywheel mode enabled, each sell’s profit reinvests into cash pool, increasing ammunition for next buy. This isn’t simple compounding, but giving strategy stronger firepower during bull markets.
Example: Initial \(100K, first accumulation round gains 20%, after selling cash pool becomes \)120K. Next buy at 6% position becomes \(7200 instead of \)6000. Over time, this snowball effect significantly amplifies returns.
But flywheel has costs: late bull market may buy too much due to oversized cash pool, requiring strict single-buy limits.
Risk Control: Triple Insurance Mechanism
First layer: Above-cost-line buy control. Can set to only buy below average cost, avoiding chasing highs. Second layer: Minimum amount limits. Each buy/sell has minimum dollar requirements, avoiding meaningless small trades. Third layer: Volatility engine adjustment. Automatically raises buy threshold during high volatility, lowers during low volatility.
But this strategy performs poorly in ranging markets. If market ranges long-term, can’t trigger large drop buys or reach profit gate sells, capital gets locked long-term.
Practical Advice: Choosing Right Market Is Key
This protocol works best in trending markets, especially crypto’s cyclical movements. Start accumulating in late bear market, start harvesting in mid bull market for optimal results.
Don’t use in: 1) High-frequency oscillating stock markets 2) Forex markets lacking clear trends 3) Extremely illiquid altcoins.
Historical backtests show risk-adjusted returns superior to simple DCA, but this doesn’t guarantee future profits. Any quantitative strategy has failure risk, requiring continuous monitoring and adjustment.
Strategy source code
//@version=6
// ============================================================================
// ORACLE PROTOCOL — ARCH PUBLIC clone (Standalone) — CLEAN-PUB STYLE (derived)
// Variant: v1.9v-standalone (publish-ready) 25/11/2025
// Notes:
// - Keeps your v1.9v canonical script intact (this is a separate modified copy).
// - Single exit mode: ProfitGate + Candle (per-candle) — no selector.
// - Live ACB plot toggle only (sealed ACB still operates internally but is not shown).
// - No freeze-point markers plotted.
// - Sizing: flywheel dynamic sizing remains the primary source but fixed-dollar entry
// and min-$ overrides remain available (as in Arch public PDFs/screenshots).
// - Volatility Engine (VE) applies ONLY to entries; exit-side VE removed.
// - Manual equity top-up removed (flywheel auto-updates cash).
// - VE ATR length and max-vol fields are fixed (not exposed in UI).
// ============================================================================
strategy("Oracle Protocol — Arch Public (Clone) • v1.9v-standalone (publish)",
overlay=true,
initial_capital=100000,
commission_type=strategy.commission.percent,
commission_value=0.1,
pyramiding=9999,
calc_on_every_tick=true,
process_orders_on_close=true)
// ============================================================================
// 1) PRESETS (Arch PDFs)
// ============================================================================
grp_oracle = "Oracle — Core"
oraclePreset = input.string(
"BTC • Cycle Accumulation",
"Recipe Preset",
options = [
"BTC • Cycle Accumulation",
"BTC • Cycle Swing Arbitrage",
"BTC • Short Target Accumulation",
"BTC • Short Target Arbitrage",
"ETH • Volatility Harvesting",
"SOL • Volatility Harvesting",
"XRP • Volatility Harvesting",
"SUI • Volatility Harvesting"
],
group = grp_oracle)
var float longThreshPct = 0.0
var float exitThreshPct = 0.0
var bool onlySellAboveCost = true
var bool recipe_buyBelowACB = false
var float sellProfitGatePct = 0.0
var float entryPct = 0.0
var float exitPct = 0.0
var float fixedEntryUsd = 0.0
var float fixedExitUsd = 0.0
if oraclePreset == "BTC • Cycle Accumulation"
longThreshPct := 5.0
exitThreshPct := 3.9
onlySellAboveCost := true
recipe_buyBelowACB := false
sellProfitGatePct := 50.0
entryPct := 6.0
exitPct := 1.0
fixedEntryUsd := 500
fixedExitUsd := 500
else if oraclePreset == "BTC • Cycle Swing Arbitrage"
longThreshPct := 5.9
exitThreshPct := 3.5
onlySellAboveCost := true
recipe_buyBelowACB := false
sellProfitGatePct := 49.0
entryPct := 10.0
exitPct := 50.0
fixedEntryUsd := 10000
fixedExitUsd := 15000
else if oraclePreset == "BTC • Short Target Accumulation"
longThreshPct := 3.1
exitThreshPct := 2.5
onlySellAboveCost := true
recipe_buyBelowACB := false
sellProfitGatePct := 30.0
entryPct := 10.0
exitPct := 10.0
fixedEntryUsd := 6000
fixedExitUsd := 5000
else if oraclePreset == "BTC • Short Target Arbitrage"
longThreshPct := 3.1
exitThreshPct := 2.5
onlySellAboveCost := true
recipe_buyBelowACB := true
sellProfitGatePct := 75.0
entryPct := 10.0
exitPct := 100.0
fixedEntryUsd := 10000
fixedExitUsd := 5000
else if oraclePreset == "ETH • Volatility Harvesting"
longThreshPct := 4.5
exitThreshPct := 5.0
onlySellAboveCost := true
recipe_buyBelowACB := true
sellProfitGatePct := 30.0
entryPct := 15.0
exitPct := 40.0
fixedEntryUsd := 6000
fixedExitUsd := 20000
else if oraclePreset == "SOL • Volatility Harvesting"
longThreshPct := 5.0
exitThreshPct := 5.0
onlySellAboveCost := true
recipe_buyBelowACB := false
sellProfitGatePct := 35.0
entryPct := 7.0
exitPct := 5.0
fixedEntryUsd := 5000
fixedExitUsd := 5000
else if oraclePreset == "XRP • Volatility Harvesting"
longThreshPct := 4.5
exitThreshPct := 10.0
onlySellAboveCost := true
recipe_buyBelowACB := false
sellProfitGatePct := 10.0
entryPct := 17.0
exitPct := 50.0
fixedEntryUsd := 8000
fixedExitUsd := 5000
else if oraclePreset == "SUI • Volatility Harvesting"
longThreshPct := 5.0
exitThreshPct := 5.0
onlySellAboveCost := true
recipe_buyBelowACB := false
sellProfitGatePct := 10.0
entryPct := 5.0
exitPct := 10.0
fixedEntryUsd := 5000
fixedExitUsd := 15000
// ============================================================================
// 2) EXTRAS & VOLATILITY SPLITS (CLEAN PUBLIC VARIANTS)
// - Volatility engine inputs are fixed and not exposed in the UI
// ============================================================================
// UI group for extras (keeps flywheel toggle visible)
grp_extras = "Oracle — Extras"
useFlywheel = input.bool(true, "Reinvest Realized Profits (Flywheel)", group = grp_extras)
// Volatility engine: ENTRY only (VE params fixed, not shown)
useVolEngineEntry = input.bool(true, "Enable Volatility Engine (Entries only)", group = grp_extras)
// Fixed/hidden VE parameters (not exposed in UI per your request)
atrLen_fixed = 14
maxVolAdjPct_fixed = 40.0
// NOTE: manual_equity_topup removed for publish variant — flywheel handles auto top-up
buyBelowMode = input.string(
"Use Recipe Setting",
"Buy Below ACB Mode",
options = ["Use Recipe Setting", "Force Buy Below ACB", "Allow Buys Above ACB"],
group = grp_extras)
// ============================================================================
// 3) QUIET BARS (cluster seal) — unchanged behavior, UI visible
// ============================================================================
grp_qb = "Oracle — Quiet Bars (Cluster Seal)"
useQuietBars = input.bool(true, "Enable Quiet-Bars Seal", group=grp_qb)
quietBars = input.int(10, "Quiet Bars (no eligible buys)", minval=1, group=grp_qb)
// ============================================================================
// 4) SELL MODE — SINGLE ARCH EXIT (ProfitGate + Candle) ONLY
// (no selector; fixed behavior to match Arch public)
// ============================================================================
grp_sell = "Oracle — Sell Behaviour"
// no sellMode selector in this publish variant — fixed logic below
// ============================================================================
// 5) DISPLAY & PLOTS (simplified)
// - only Live ACB toggle remains visible.
// - sealed ACB and freeze points are intentionally not plotted.
// ============================================================================
grp_display = "Oracle — Display"
showLiveACB = input.bool(true, "Show Live ACB", group = grp_display)
acbColor = input.color(color.new(color.yellow, 0), "ACB Line Color", group = grp_display)
showExitGuides = input.bool(false, "Show Exit Guide Lines", group = grp_display)
// ============================================================================
// 6) 3C SIZING & MINIMUMS / OVERRIDES
// - primary sizing source is flywheel (cash ledger).
// - but fixed-entry USD and min-$ overrides remain (per Arch public).
// ============================================================================
grp_3c_sz = "Oracle — Sizing"
use3C = input.bool(true, "Enable 3Commas JSON Alerts", group = grp_3c_sz)
botTag = input.string("ORACLE", "Bot Tag / Pair Hint", group = grp_3c_sz)
// Keep min$/fixed entry & exit overrides visible (Arch style)
useMinEntry = input.bool(true, "Use Min $ on Entry", group = grp_oracle)
useMinExit = input.bool(true, "Use Min $ on Exit", group = grp_oracle)
manualMinEntry = input.float(0.0, "Manual Min $ Entry (0 = use recipe)", group = grp_oracle, step = 10)
manualMinExit = input.float(0.0, "Manual Min $ Exit (0 = use recipe)", group = grp_oracle, step = 10)
grp_override = "Oracle — Amount Override"
entryUsd_override = input.float(0.0, "Entry USD Override (0 = none)", group = grp_override, step = 10)
exitUsd_override = input.float(0.0, "Exit USD Override (0 = none)", group = grp_override, step = 10)
// ============================================================================
// 7) VOLATILITY ENGINE VALUES (ENTRY only)
// - VE uses fixed internal params (atrLen_fixed, maxVolAdjPct_fixed).
// - VE not applied to exits in this publish variant.
// ============================================================================
atrVal = ta.atr(atrLen_fixed)
volPct = atrVal / close * 100.0
volAdj = math.min(volPct, maxVolAdjPct_fixed)
longThreshEff = longThreshPct * (useVolEngineEntry ? (1 + volAdj/100.0) : 1)
// exit threshold is NOT adjusted by VE in this variant:
exitThreshEff = exitThreshPct
// ============================================================================
// 8) POSITION STATE & HELPERS
// ============================================================================
var float q = 0.0 // live coin quantity
var float cost = 0.0 // live position cost ($)
var float live_acb = 0.0 // live average cost (cost / q)
var float realized = 0.0
// Flywheel cash ledger (realised cash available for reinvest) — auto only
var float cash = na
if na(cash)
cash := strategy.initial_capital
// Cluster / gating state (sealed base) — sealed_acb still used internally but not shown
var bool clusterOpen = false
var float sealed_acb = na // frozen when a cluster seals (sealed accumulation base)
var int lastEntryBar = na
var int lastEligibleBuyBar = na // for quiet-bars seal
var int sell_steps_done = 0 // number of incremental exits already taken since gate armed
var float last_sell_ref = na // last sell price used for pullback re-arm (not used here)
var bool mode_single_sold = false // lock for Single per Rally (internal use)
// Helpers (array returns)
f_add_fill(_qty, _px, _q, _cost) =>
// returns newQty, newCost, newACB
_newCost = _cost + _qty * _px
_newQty = _q + _qty
_newACB = _newQty > 0 ? _newCost / _newQty : 0.0
array.from(_newQty, _newCost, _newACB)
f_reduce_fill(_qty, _px, _q, _cost) =>
// returns newQty, newCost, newACB, sellVal, costReduced, proportion
_sellVal = _qty * _px
_prop = _q > 0 ? _qty / _q : 0.0
_costReduced = _cost * _prop
_newCost = _cost - _costReduced
_newQty = _q - _qty
_newACB = _newQty > 0 ? _newCost / _newQty : 0.0
array.from(_newQty, _newCost, _newACB, _sellVal, _costReduced, _prop)
// ============================================================================
// 9) BUY SIGNALS & BUY-BELOW MODE
// ============================================================================
dropFromPrev = close[1] != 0 ? (close - close[1]) / close[1] * 100.0 : 0.0
wantBuy = dropFromPrev <= -longThreshEff
needBuyBelow = recipe_buyBelowACB
if buyBelowMode == "Force Buy Below ACB"
needBuyBelow := true
else if buyBelowMode == "Allow Buys Above ACB"
needBuyBelow := false
canBuyBelow = not needBuyBelow or (needBuyBelow and (live_acb == 0 or close < live_acb))
// Track “eligible” buys (quiet-bars gate references opportunity, not just fills)
if wantBuy and canBuyBelow
lastEligibleBuyBar := bar_index
// ============================================================================
// 10) SIZING (flywheel-driven; keep fixed/min-dollar options for entry & exit)
// ============================================================================
baseAcct = cash // flywheel only in this variant
// entry as percentage of baseAcct (dynamic) with fixed/min-dollar fallback (Arch-style)
entryUsd = baseAcct * (entryPct / 100.0)
// Entry min floor (keep manual/fixed options per Arch)
if useMinEntry
entryFloor = manualMinEntry > 0 ? manualMinEntry : fixedEntryUsd
entryUsd := math.max(entryUsd, entryFloor)
// override priority
entryUsd := entryUsd_override > 0 ? entryUsd_override : entryUsd
// entry qty
eQty = close > 0 ? entryUsd / close : 0.0
// Exit sizing: percentage of HOLDINGS (Arch) with min-$ fallback (unchanged)
exitQty_pct = q * (exitPct / 100.0)
exitFloorQty = close > 0 ? ( (manualMinExit > 0 ? manualMinExit : fixedExitUsd) / close ) : 0.0
xQty_base = math.max(exitQty_pct, exitFloorQty)
xQty = math.min(xQty_base, q)
xQty := exitUsd_override > 0 and close > 0 ? math.min(exitUsd_override / close, q) : xQty
// ============================================================================
// 11) ENTRY — opens/extends accumulation cluster; resets SELL steps
// Cash gate: only execute buy if cash >= entryUsd and on confirmed bar close
// ============================================================================
newEntry = false
entryCost = eQty * close
hasCash = entryCost > 0 and cash >= entryCost
if barstate.isconfirmed and wantBuy and canBuyBelow and eQty > 0 and hasCash
strategy.entry("ORACLE-LONG", strategy.long, qty=eQty, comment="ORACLE-BUY")
_fill = f_add_fill(eQty, close, q, cost)
q := array.get(_fill, 0)
cost := array.get(_fill, 1)
live_acb := array.get(_fill, 2)
cash -= entryCost
lastEntryBar := bar_index
lastEligibleBuyBar := bar_index
if not clusterOpen
clusterOpen := true
sealed_acb := na
sell_steps_done := 0
mode_single_sold := false
last_sell_ref := na
// set sealed_acb initial for cluster if na
if na(sealed_acb)
sealed_acb := live_acb
newEntry := true
// ============================================================================
// 12) CLUSTER SEAL — Exit-Threshold OR Quiet-Bars
// - On sealing, we freeze sealed_acb internally (not plotted).
// ============================================================================
riseFromLiveACB = live_acb > 0 ? (close - live_acb ) / live_acb * 100.0 : 0.0
sealByThresh = riseFromLiveACB >= exitThreshEff
barsSinceElig = na(lastEligibleBuyBar) ? 10000 : (bar_index - lastEligibleBuyBar)
sealByQuiet = useQuietBars and (barsSinceElig >= quietBars)
sealed_changed = false
if clusterOpen and (sealByThresh or sealByQuiet)
clusterOpen := false
// freeze sealed base as the last live_acb at seal time (preserve cycle anchor)
sealed_acb := live_acb
sell_steps_done := 0
mode_single_sold := false
last_sell_ref := na
sealed_changed := true
// ============================================================================
// 13) SELL LOGIC — SINGLE ARCH EXIT: ProfitGate + Candle (Per-Candle)
// - Profit gate base: use sealed refBase if present, otherwise live_acb (no toggle).
// - VE not applied to exits in this variant.
// ============================================================================
refBase = na(sealed_acb) ? live_acb : sealed_acb
riseFromRef = refBase > 0 ? (close - refBase) / refBase * 100.0 : 0.0
sellAboveOK = not onlySellAboveCost or close > live_acb
profitRefBase = refBase // sealed if available, else live_acb (no UI toggle in this variant)
// Basic profit gate price/boolean (uses profitRefBase)
profitGateLevelPrice = profitRefBase * (1 + sellProfitGatePct / 100.0)
profitGateCrossed = profitRefBase > 0 ? (close >= profitGateLevelPrice) : false
// Candle-based rise (percent move relative to previous close)
riseFromPrev = close[1] != 0 ? (close - close[1]) / close[1] * 100.0 : 0.0
candleRiseOK = riseFromPrev >= exitThreshEff
// Final allow-sell boolean for this publish variant (ProfitGate + Candle)
var bool allowSellThisBar = false
allowSellThisBar := false
allowSellThisBar := profitGateCrossed and candleRiseOK and xQty > 0 and q > 0 and sellAboveOK and barstate.isconfirmed
// Perform sell if allowed
actualExitQty = 0.0
if allowSellThisBar
actualExitQty := xQty
if actualExitQty > 0
strategy.close("ORACLE-LONG", qty = actualExitQty, comment = "ORACLE-SELL")
_r = f_reduce_fill(actualExitQty, close, q, cost)
q := array.get(_r, 0)
cost := array.get(_r, 1)
live_acb := array.get(_r, 2)
sellVal = array.get(_r, 3)
cRed = array.get(_r, 4)
tradePnL = sellVal - cRed
realized += tradePnL
cash += sellVal
sell_steps_done += 1
last_sell_ref := close
mode_single_sold := true
if q <= 0
// fully sold - reset sealed base and steps (internal)
sealed_acb := na
sell_steps_done := 0
mode_single_sold := false
last_sell_ref := na
// Re-arm logic (simplified): allow new sells only after retrace below refBase by exitThreshEff or if fully sold
if barstate.isconfirmed
if mode_single_sold
retrace_condition = not na(refBase) ? (close < refBase * (1 - exitThreshEff/100.0)) : false
if retrace_condition or q == 0
mode_single_sold := false
sell_steps_done := 0
last_sell_ref := na
// ============================================================================
// 14) BALANCES & 3C JSON (flywheel-based sizing)
// ============================================================================
cash_on_hand = math.max(cash, 0)
coin_value = q * close
total_equity = cash_on_hand + coin_value
base_for_3c = cash_on_hand // flywheel only in this publish variant
entryUsd_3c = base_for_3c * (entryPct / 100.0)
if useMinEntry
entryUsd_3c := math.max(entryUsd_3c, (manualMinEntry > 0 ? manualMinEntry : fixedEntryUsd))
entryUsd_3c := entryUsd_override > 0 ? entryUsd_override : entryUsd_3c
// ============================================================================
// 15) PLOTS (Data Window + Live ACB only + optional guides)
// - Sealed ACB and freeze markers intentionally NOT plotted in this variant.
// ============================================================================
plot(strategy.initial_capital, title="Initial Capital", color=color.white)
plot(q, title="Oracle Coin Qty", precision = 6)
plot(cost, title="Oracle Position Cost")
plot(coin_value, title="Oracle Coin Value")
plot(cash_on_hand, title="Oracle Cash On Hand")
plot(total_equity, title="Oracle Total Equity")
plot(live_acb > 0 and showLiveACB ? live_acb : na, title="Live ACB", color=color.new(color.orange,0), linewidth=2, style=plot.style_line)
// Exit guide lines reference refBase but are optional (kept for debugging/visual confirmation)
guide_exit_line = showExitGuides and not na(refBase) ? refBase * (1 + exitThreshEff/100.0) : na
guide_gate_line = showExitGuides and not na(refBase) ? refBase * (1 + sellProfitGatePct/100.0) : na
plot(guide_exit_line, title="Exit Threshold Line", display=showExitGuides ? display.all : display.none, linewidth=1, style=plot.style_linebr)
plot(guide_gate_line, title="Profit Gate Line (ref base)", display=showExitGuides ? display.all : display.none, linewidth=1, style=plot.style_linebr)
// Also plot the profit gate price computed from profitRefBase (if guides enabled)
plot(not na(profitRefBase) and showExitGuides ? profitRefBase * (1 + sellProfitGatePct/100.0) : na, title="Profit Gate (ref base)", display=showExitGuides ? display.all : display.none, linewidth=1, style=plot.style_line)