This strategy combines two quantitative trading strategies to generate more accurate and reliable trading signals. The first strategy is based on price reversal and the second is based on volume analysis. The combined signals can effectively improve profitability.
The strategy consists of two parts:
Uses STO indicator for reversal signals. Goes long when close rises for 2 days and STO slow line is below 50. Goes short when close drops for 2 days and STO fast line is above 50.
Analyzes the price-volume relationship over a period to determine direction, with moving average smoothing.
It goes long when both strategies signal long, and goes short when both signal short.
The combo improves signal quality by greatly reducing false signals from either strategy.
Risks can be reduced by:
The strategy can be improved by:
Optimizing STO parameters
Fine-tune K, D values for best combinations
Secondary confirmation of volume breaks
With indicators like MACD, BOLL etc.
Optimizing moving average periods
Testing different periods for more stable signals
Adding chart patterns
Entering on patterns in addition to combo signals
Product-specific parameter testing
Parameters may vary across different products
This strategy combines reversal and volume strategies for improved signal quality and accuracy. But parameter optimization, additional technical indicators etc. can further refine performance. We can continually adjust based on backtest results, validate in live trading, to obtain a truly robust combo strategy. This requires immense time and effort, but the rewards will be significant too.
/*backtest start: 2023-09-13 00:00:00 end: 2023-09-20 00:00:00 period: 15m basePeriod: 5m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 //////////////////////////////////////////////////////////// // Copyright by HPotter v1.0 21/10/2020 // This is combo strategies for get a cumulative signal. // // First strategy // This System was created from the Book "How I Tripled My Money In The // Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies. // The strategy buys at market, if close price is higher than the previous close // during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. // The strategy sells at market, if close price is lower than the previous close price // during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50. // // Second strategy // This is another version of FVE indicator that we have posted earlier // in this forum. // This version has an important enhancement to the previous one that`s // especially useful with intraday minute charts. // Due to the volatility had not been taken into account to avoid the extra // complication in the formula, the previous formula has some drawbacks: // The main drawback is that the constant cutoff coefficient will overestimate // price changes in minute charts and underestimate corresponding changes in // weekly or monthly charts. // And now the indicator uses adaptive cutoff coefficient which will adjust to // all time frames automatically. // // WARNING: // - For purpose educate only // - This script to change bars colors. //////////////////////////////////////////////////////////// Reversal123(Length, KSmoothing, DLength, Level) => vFast = sma(stoch(close, high, low, Length), KSmoothing) vSlow = sma(vFast, DLength) pos = 0.0 pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1, iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) pos FVI(Samples,Perma,Cintra,Cinter) => pos = 0 xhl2 = hl2 xhlc3 = hlc3 xClose = close xIntra = log(high) - log(low) xInter = log(xhlc3) - log(xhlc3[1]) xStDevIntra = stdev(sma(xIntra, Samples) , Samples) xStDevInter = stdev(sma(xInter, Samples) , Samples) xVolume = volume TP = xhlc3 TP1 = xhlc3[1] Intra = xIntra Vintra = xStDevIntra Inter = xInter Vinter = xStDevInter CutOff = Cintra * Vintra + Cinter * Vinter MF = xClose - xhl2 + TP - TP1 FveFactor = iff(MF > CutOff * xClose, 1, iff(MF < -1 * CutOff * xClose, -1, 0)) xVolumePlusMinus = xVolume * FveFactor Fvesum = sum(xVolumePlusMinus, Samples) VolSum = sum(xVolume, Samples) xFVE = (Fvesum / VolSum) * 100 xEMAFVE = ema(xFVE, Perma) pos :=iff(xFVE > xEMAFVE, 1, iff(xFVE < xEMAFVE, -1, nz(pos[1], 0))) pos strategy(title="Combo Backtest 123 Reversal & Volatility Finite Volume Elements", shorttitle="Combo", overlay = true) Length = input(14, minval=1) KSmoothing = input(1, minval=1) DLength = input(3, minval=1) Level = input(50, minval=1) //------------------------- Samples = input(22, minval=1) Perma = input(40, minval=1) Cintra = input(0.1) Cinter = input(0.1) reverse = input(false, title="Trade reverse") posReversal123 = Reversal123(Length, KSmoothing, DLength, Level) posFVI = FVI(Samples,Perma,Cintra,Cinter) pos = iff(posReversal123 == 1 and posFVI == 1 , 1, iff(posReversal123 == -1 and posFVI == -1, -1, 0)) possig = iff(reverse and pos == 1, -1, iff(reverse and pos == -1 , 1, pos)) if (possig == 1) strategy.entry("Long", strategy.long) if (possig == -1) strategy.entry("Short", strategy.short) if (possig == 0) strategy.close_all() barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6