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Keltner Channel Based Grid Strategy # KC Grid Strategy - Keltner Channel Based Grid Trading System ## Strategy Overview KC Grid Strategy is an innovative grid trading system that combines the power of Keltner Channels with dynamic position sizing to create a mean-reversion trading approach. This strategy automatically adjusts position sizes based on price deviation from the Keltner Channel center line, implementing a systematic grid-based approach that capitalizes on market volatility and price oscillations. ## Core Principles ### Keltner Channel Foundation The strategy builds upon the Keltner Channel indicator, which consists of: - **Center Line**: Moving average (EMA or SMA) of the price - **Upper Band**: Center line + (ATR/TR/Range × Multiplier) - **Lower Band**: Center line - (ATR/TR/Range × Multiplier) ### Grid Trading Logic The strategy implements a sophisticated grid system where: 1. **Position Direction**: Inversely correlated to price position within the channel - When price is above center line → Short positions - When price is below center line → Long positions 2. **Position Size**: Proportional to distance from center line - Greater deviation = Larger position size 3. **Grid Activation**: Positions are adjusted only when the difference exceeds a predefined grid threshold ### Mathematical Foundation The core calculation uses the KC Rate formula: ``` kcRate = (close - ma) / bandWidth targetPosition = kcRate × maxAmount × (-1) ``` This creates a mean-reversion system where positions increase as price moves further from the mean, expecting eventual return to equilibrium. ## Parameter Guide ### Time Range Settings - **Start Date**: Beginning of strategy execution period - **End Date**: End of strategy execution period ### Core Parameters 1. **Number of Grids (NumGrid)**: Default 12 - Controls grid sensitivity and position adjustment frequency - Higher values = More frequent but smaller adjustments - Lower values = Less frequent but larger adjustments 2. **Length**: Default 10 - Period for moving average and volatility calculations - Shorter periods = More responsive to recent price action - Longer periods = Smoother, less noisy signals 3. **Grid Coefficient (kcRateMult)**: Default 1.33 - Multiplier for channel width calculation - Higher values = Wider channels, less frequent trades - Lower values = Narrower channels, more frequent trades 4. **Source**: Default Close - Price source for calculations (Close, Open, High, Low, etc.) - Close price typically provides most reliable signals 5. **Use Exponential MA**: Default True - True = Uses EMA (more responsive to recent prices) - False = Uses SMA (equal weight to all periods) 6. **Bands Style**: Default "Average True Range" - **Average True Range**: Smoothed volatility measure (recommended) - **True Range**: Current bar's volatility only - **Range**: Simple high-low difference ## How to Use ### Setup Instructions 1. **Apply to Chart**: Add the strategy to your desired timeframe and instrument 2. **Configure Parameters**: Adjust settings based on market characteristics: - Volatile markets: Increase Grid Coefficient, reduce Number of Grids - Stable markets: Decrease Grid Coefficient, increase Number of Grids 3. **Set Time Range**: Define your backtesting or live trading period 4. **Monitor Performance**: Watch strategy performance metrics and adjust as needed ### Optimal Market Conditions - **Range-bound markets**: Strategy performs best in sideways trending markets - **High volatility**: Benefits from frequent price oscillations around the mean - **Liquid instruments**: Ensures efficient order execution and minimal slippage ### Position Management The strategy automatically: - Calculates optimal position sizes based on account equity - Adjusts positions incrementally as price moves through grid levels - Maintains risk control through maximum position limits - Executes trades only during specified time periods ## Risk Warnings ### ⚠️ Important Risk Considerations 1. **Trending Market Risk**: - Strategy may underperform or generate losses in strong trending markets - Mean-reversion assumption may fail during sustained directional moves - Consider market regime analysis before deployment 2. **Leverage and Position Size Risk**: - Strategy uses pyramiding (up to 20 positions) - Large positions may accumulate during extended moves - Monitor account equity and margin requirements closely 3. **Volatility Risk**: - Sudden volatility spikes may trigger multiple rapid position adjustments - Consider volatility filters during high-impact news events - Backtest across different volatility regimes 4. **Execution Risk**: - Strategy calculates on every tick (calc_on_every_tick = true) - May generate frequent orders in volatile conditions - Ensure adequate execution infrastructure and consider transaction costs 5. **Parameter Sensitivity**: - Performance highly dependent on parameter optimization - Over-optimization may lead to curve-fitting - Regular parameter review and adjustment may be necessary ## Suitable Scenarios ### Ideal Market Conditions - **Sideways/Range-bound markets**: Primary use case - **Mean-reverting instruments**: Forex pairs, some commodities - **Stable volatility environments**: Consistent ATR patterns - **Liquid markets**: Major currency pairs, popular stocks/indices ## Important Notes ### Strategy Limitations 1. **No Stop Loss**: Strategy relies on mean reversion without traditional stop losses 2. **Capital Requirements**: Requires sufficient capital for grid-based position sizing 3. **Market Regime Dependency**: Performance varies significantly across different market conditions ## Disclaimer This strategy is provided for educational and research purposes only. Past performance does not guarantee future results. Trading involves substantial risk of loss and is not suitable for all investors. Users should thoroughly test the strategy and understand its mechanics before risking real capital. The author assumes no responsibility for trading losses incurred through the use of this strategy. --- # KC网格策略 - 基于肯特纳通道的网格交易系统 ## 策略概述 KC网格策略是一个创新的网格交易系统，它将肯特纳通道的力量与动态仓位调整相结合，创建了一个均值回归交易方法。该策略根据价格偏离肯特纳通道中心线的程度自动调整仓位大小，实施系统化的网格方法，利用市场波动和价格振荡获利。 ## 核心原理 ### 肯特纳通道基础 该策略建立在肯特纳通道指标之上，包含： - **中心线**: 价格的移动平均线（EMA或SMA） - **上轨**: 中心线 + (ATR/TR/Range × 乘数) - **下轨**: 中心线 - (ATR/TR/Range × 乘数) ### 网格交易逻辑 该策略实施复杂的网格系统： 1. **仓位方向**: 与价格在通道中的位置呈反向关系 - 当价格高于中心线时 → 空头仓位 - 当价格低于中心线时 → 多头仓位 2. **仓位大小**: 与距离中心线的距离成正比 - 偏离越大 = 仓位越大 3. **网格激活**: 只有当差异超过预定义的网格阈值时才调整仓位 ### 数学基础 核心计算使用KC比率公式： ``` kcRate = (close - ma) / bandWidth targetPosition = kcRate × maxAmount × (-1) ``` 这创建了一个均值回归系统，当价格偏离均值越远时仓位越大，期望最终回归均衡。 ## 参数说明 ### 时间范围设置 - **开始日期**: 策略执行期间的开始时间 - **结束日期**: 策略执行期间的结束时间 ### 核心参数 1. **网格数量 (NumGrid)**: 默认12 - 控制网格敏感度和仓位调整频率 - 较高值 = 更频繁但较小的调整 - 较低值 = 较少频繁但较大的调整 2. **长度**: 默认10 - 移动平均线和波动率计算的周期 - 较短周期 = 对近期价格行为更敏感 - 较长周期 = 更平滑，噪音更少的信号 3. **网格系数 (kcRateMult)**: 默认1.33 - 通道宽度计算的乘数 - 较高值 = 更宽的通道，较少频繁的交易 - 较低值 = 更窄的通道，更频繁的交易 4. **数据源**: 默认收盘价 - 计算的价格来源（收盘价、开盘价、最高价、最低价等） - 收盘价通常提供最可靠的信号 5. **使用指数移动平均**: 默认True - True = 使用EMA（对近期价格更敏感） - False = 使用SMA（对所有周期等权重） 6. **通道样式**: 默认"平均真实范围" - **平均真实范围**: 平滑的波动率测量（推荐） - **真实范围**: 仅当前K线的波动率 - **范围**: 简单的高低价差 ## 使用方法 ### 设置说明 1. **应用到图表**: 将策略添加到您所需的时间框架和交易品种 2. **配置参数**: 根据市场特征调整设置： - 波动市场：增加网格系数，减少网格数量 - 稳定市场：减少网格系数，增加网格数量 3. **设置时间范围**: 定义您的回测或实盘交易期间 4. **监控表现**: 观察策略表现指标并根据需要调整 ### 最佳市场条件 - **区间震荡市场**: 策略在横盘趋势市场中表现最佳 - **高波动性**: 受益于围绕均值的频繁价格振荡 - **流动性强的品种**: 确保高效的订单执行和最小滑点 ### 仓位管理 策略自动： - 根据账户权益计算最优仓位大小 - 随着价格在网格水平移动逐步调整仓位 - 通过最大仓位限制维持风险控制 - 仅在指定时间段内执行交易 ## 风险警示 ### ⚠️ 重要风险考虑 1. **趋势市场风险**: - 策略在强趋势市场中可能表现不佳或产生损失 - 在持续方向性移动期间均值回归假设可能失效 - 部署前考虑市场制度分析 2. **杠杆和仓位大小风险**: - 策略使用金字塔加仓（最多20个仓位） - 在延长移动期间可能积累大仓位 - 密切监控账户权益和保证金要求 3. **波动性风险**: - 突然的波动性激增可能触发多次快速仓位调整 - 在高影响新闻事件期间考虑波动性过滤器 - 在不同波动性制度下进行回测 4. **执行风险**: - 策略在每个tick上计算（calc_on_every_tick = true） - 在波动条件下可能产生频繁订单 - 确保充足的执行基础设施并考虑交易成本 5. **参数敏感性**: - 表现高度依赖于参数优化 - 过度优化可能导致曲线拟合 - 可能需要定期参数审查和调整 ## 适用场景 ### 理想市场条件 - **横盘/区间震荡市场**: 主要用例 - **均值回归品种**: 外汇对，某些商品 - **稳定波动性环境**: 一致的ATR模式 - **流动性市场**: 主要货币对，热门股票/指数 ## 注意事项 ### 策略限制 1. **无止损**: 策略依赖均值回归而无传统止损 2. **资金要求**: 需要充足资金进行基于网格的仓位调整 3. **市场制度依赖性**: 在不同市场条件下表现差异显著 ## 免责声明 该策略仅供教育和研究目的。过往表现不保证未来结果。交易涉及重大损失风险，并非适合所有投资者。用户应在投入真实资金前彻底测试策略并理解其机制。作者对使用此策略产生的交易损失不承担任何责任。 --- **Strategy Version**: Pine Script v6 **Author**: Signal2Trade **Last Updated**: 2025-8-9 **License**: Open Source (Mozilla Public License 2.0)
Pine Script® Strategie
von signal2trade
Vegas Tunnel StrategyVegas Tunnel Strategy is a trend-following breakout system based on exponential moving averages (EMAs). It uses a "tunnel" formed by the 144 EMA and 169 EMA to identify the market's long-term trend direction. Entry signals are generated when a shorter-term EMA (12 EMA) breaks above or below this tunnel, confirming momentum alignment. Long Setup: Price and EMA12 are above the tunnel (EMA144 < EMA169); entry on pullback near the tunnel. Short Setup: Price and EMA12 are below the tunnel (EMA144 > EMA169); entry on rebound near the tunnel. Exit Rules: Fixed stop loss below/above the tunnel or based on ATR; take profit at 1.5–2× the risk. This strategy works best on 4H or daily charts and is suitable for trending assets like FX pairs, gold, oil, or indices.
Pine Script® Strategie
von xandrea710
[Stratégia] VWAP Mean Magnet v9 (Simple Alert)This strategy is specifically designed for a ranging (sideways-moving) Bitcoin market. A trade is only opened and signaled on the chart if all three of the following conditions are met simultaneously at the close of a candle: Zone Entry The price must cross into the signal zone: the red band for a Short (sell) position, or the green band for a Long (buy) position. RSI Confirmation The RSI indicator must also confirm the signal. For a Short, it must go above 65 (overbought condition). For a Long, it must fall below 25 (oversold condition). Volume Filter The volume on the entry candle cannot be excessively high. This safety filter is designed to prevent trades during risky, high-momentum breakouts.
Pine Script® Strategie
von GaborNemeth
Bollinger Bands SMA 20_2 StrategyMean reversion strategy using Bollinger Bands (20-period SMA with 2.0 standard deviation bands). Trade Triggers: 🟢 BUY SIGNAL: When: Price crosses above the lower Bollinger Band Logic: Price has hit oversold territory and is bouncing back Action: Places a long position with stop at the lower band 🔴 SELL SIGNAL: When: Price crosses below the upper Bollinger Band Logic: Price has hit overbought territory and is pulling back Action: Places a short position with stop at the upper band
Pine Script® Strategie
von meowBTC
1
Linear Mean Reversion Strategy📘 Strategy Introduction: Linear Mean Reversion with Fixed Stop This strategy implements a simple yet powerful mean reversion model that assumes price tends to oscillate around a dynamic average over time. It identifies statistically significant deviations from the moving average using a z-score, and enters trades expecting a return to the mean. 🧠 Core Logic: A z-score is calculated by comparing the current price to its moving average, normalized by standard deviation, over a user-defined half-life window. Trades are entered when the z-score crosses a threshold (e.g., ±1), signaling overbought or oversold conditions. The strategy exits positions either when price reverts back near the mean (z-score close to 0), or if a fixed stop loss of 100 points is hit, whichever comes first. ⚙️ Key Features: Dynamic mean and volatility estimation using moving average and standard deviation Configurable z-score thresholds for entry and exit Position size scaling based on z-score magnitude Fixed stop loss to control risk and avoid prolonged drawdowns 🧪 Use Case: Ideal for range-bound markets or assets that exhibit stationary behavior around a mean, this strategy is especially useful on assets with mean-reverting characteristics like currency pairs, ETFs, or large-cap stocks. It is best suited for traders looking for short-term reversions rather than long-term trends.
Pine Script® Strategie
von XiaoboFu
BTC 1m Chop Top/Bottom Reversal (Stable Entries)Strategy Description: BTC 5m Chop Top/Bottom Reversal (Stable Entries) This strategy is engineered to capture precise reversal points during Bitcoin’s choppy or sideways price action on the 5-minute timeframe. It identifies short-term tops and bottoms using a confluence of volatility bands, momentum indicators, and price structure, optimized for high-probability scalping and intraday reversals. Core Logic: Volatility Filter: Uses an EMA with ATR bands to define overextended price zones. Momentum Divergence: Confirms reversals using RSI and MACD histogram shifts. Price Action Filter: Requires candle confirmation in the direction of the trade. Locked Signal Logic: Prevents repaints and disappearing trades by confirming signals only once per bar. Trade Parameters: Short Entry: Above upper band + overbought RSI + weakening MACD + bearish candle Long Entry: Below lower band + oversold RSI + strengthening MACD + bullish candle Take Profit: ±0.75% Stop Loss: ±0.4% This setup is tuned for traders using tight risk control and leverage, where execution precision and minimal drawdown tolerance are critical.
Pine Script® Strategie
von Schedule1Cannabis
1
Dubic EMA StrategyThe Dubic EMA Strategy is a trend-following and volatility-aware strategy that combines dual EMA filters with intelligent range and noise detection to provide clean, actionable entries. It's designed to avoid choppy markets, enhance trade precision, and adapt to different market conditions. ✅ Key Features: Dual EMA Filter: Enters long when price is above both EMA High & EMA Low, and short when below both. Range Filter: Avoids entries during tight consolidations or sideways markets. Volatility Filter: Prevents trading in low-ATR conditions. Dynamic Risk Management: ATR-based or fixed % Stop Loss and Take Profit. Optional Parabolic SAR trailing stop. One Trade per Trend: Prevents re-entry until trend direction changes. Unbroken Range Visualization: Detects and displays consolidation zones that can lead to breakouts. Alerts & Labels: Clean BUY/SELL signals with alerts and chart labels. 🧩 Customization Options: Adjustable EMA length Toggle between ATR or % based SL/TP Volatility threshold Range detection sensitivity Enable/disable SAR trailing stop This strategy works best on trending assets and timeframes with volatility (e.g., crypto, forex, indices). Suitable for both manual trading and automation. 🛠️ Built for clarity, control, and precision. 📈 Backtest, optimize, and deploy with confidence.
Pine Script® Strategie
von flydubic
4H Bollinger Breakout StrategyThis strategy leverages Bollinger Bands on the 4-hour timeframe for long and short trades in trending or ranging markets. Entries trigger on BB breakouts with optional filters for volume, trend, and RSI. Exits occur on opposite BB crosses. Customizable for long-only, short-only, or indicator mode via code comments. Supports forex, stocks, or crypto with full equity allocation and 0.1% commission. Length (Default: 20): Period for BB basis and std dev; shorter for sensitivity, longer for smoothing. Basis MA Type (Default: SMA): Selects MA for middle band (SMA, EMA, etc.); EMA for faster response. Source (Default: Close): Price input for calculations; use close for standard accuracy. StdDev Multiplier (Default: 1.8): Band width control; higher for fewer signals, lower for more. Offset (Default: 0): Shifts BB plots; typically unchanged. Use Filters (Default: True): Applies volume, trend, RSI checks to filter signals. Volume MA Length (Default: 20): For volume filter (long: >105% avg, short: >120%). Trend MA Length (Default: 80): SMA for trend filter (long: above MA, short: below). RSI Length (Default: 14): For short filter (entry if RSI <85). Use Long/Short Signals (Defaults: True): Toggles directions; long entry on lower BB crossover, short on upper crossunder. Visuals: BB plots (blue basis, red upper, green lower), orange trend MA, filled background. Labels/Alerts: Green/red for long entry/exit, yellow/purple for short; alert conditions included.
Pine Script® Strategie
von thetraderlodge
Combo 2/20 EMA & Bandpass Filter by TamarokDescription: This strategy combines a 2/20 exponential moving average (EMA) crossover with a custom bandpass filter to generate buy and sell signals. Use the Fast EMA and Slow EMA inputs to adjust trend sensitivity, and the Bandpass Filter Length, Delta, and Zones to fine-tune momentum turns. Signals occur when both EMA and BPF agree in direction, with optional reversal and time filters. How to use: 1. Add the script to your chart in TradingView. 2. Adjust the EMA and BP Filter parameters to match your asset’s volatility. 3. Enable ‘Reverse Signals’ to trade counter-trend, or use the time filter to limit sessions. 4. Set alerts on Long Alert and Short Alert for automated notifications. Inspiration: Based on HPotter’s original combo strategy (Stocks & Commodities Mar 2010). Updated to Pine Script v6 with streamlined code and alerts. WARNING: For purpose educate only
Pine Script® Strategie
von tamarok
Opening-Range BreakoutNote: Default trading date range looks mediocre. Set date range to "Entire History" to see full effect of the strategy. 50.91% profitable trades, 1.178 profit factor, steady profits and limited drawdown. Total P&L: $154,141.18, Max Drawdown: $18,624.36. High R^2 █ Overview The Opening-Range Breakout strategy is a mechanical, session‑based day‑trading system designed to capture the initial burst of directional momentum immediately following the market open. It defines a user‑configurable “opening range” window, measures its high and low boundaries, then places breakout stop orders at those levels once the range closes. Built‑in filters on minimum range width, reward‑to‑risk ratios, and optional reversal logic help refine entries and manage risk dynamically. █ How It Works Opening‑Range Formation Between 9:30–10:15 AM ET (configurable), the script tracks the highest high and lowest low to form the day’s opening range box. On the first bar after the range window closes, the range high (OR_high) and low (OR_low) are “locked in.” Range‑Width Filter To avoid false breakouts in low‑volatility mornings, the range must be at least X% of the current price (default 0.35%). If the measured opening-range width < minimum threshold, no orders are placed that day. Entry & Order Placement Long: a stop‑buy order at the opening‑range high. Short: a stop‑sell order at the opening‑range low. Only one side can trigger (or both if reverse logic is enabled after a losing trade). Risk Management Once triggered, each trade uses an ATR‑style stop-loss defined as a percentage retracement of the range (default 50% of range width). Profit target is set at a configurable Reward/Risk Ratio (default 1.1×). Optional: Reverse on Stop‑Loss – if the initial breakout loses, immediately reverse into the opposite side on the same day. Session Exit Any open positions are closed at the end of the regular trading day (default 3:45 PM ET window end, with hard flat at session close). Visual cues are provided via green (range high) and red (range low) step‑line plots directly on the chart, allowing you to see the range box and breakout triggers in real time. █ Why It Works Early Momentum Capture: The first 15 – 60 minutes of trading encapsulate overnight news digestion and institutional order flow, creating a well‑defined volatility “range.” Mechanical Discipline: Clear, rule‑based entries and exits remove emotional guesswork, ensuring consistency. Volatility Filtering: By requiring a minimum range width, the system avoids choppy, low‑range days where false breakouts are common. Dynamic Sizing: Stops and targets scale with the opening range, adapting automatically to each day’s volatility environment. █ How to Use Set Your Instruments & Timeframe -Apply to any futures contract on a 1‑ to 5‑minute chart. -Ensure chart timezone is set to America/New_York. Configure Inputs -Opening‑Range Window: e.g. “0930-1015” for a 45‑minute range. -Min. OR Width (%): e.g. 0.35 for 0.35% of current price. -Reward/Risk Ratio: e.g. 1.1 for a modest profit target above your stop. -Max OR Retracement %: e.g. 50 to set stop at 50% of range width. -One Trade Per Day: toggle to limit to a single breakout. -Reverse on Stop Loss: toggle to flip direction after a losing breakout. Monitor the Chart -Watch the green and red range boundaries form during the session open. -Orders will automatically submit on the first bar after the range window closes, conditioned on your filters. Review & Adjust -Backtest across multiple months to validate performance on your preferred contract. -Tweak range duration, minimum width, and R/R multiple to fit your risk tolerance and desired win‑rate vs. expectancy balance. █ Settings Reference Input Defaults Opening‑Range Window - Time window to form OR (HHMM-HHMM) - 0930–1015 Regular Trading Day - Full session for EOD flat (HHMM-HHMM) - 0930–1545 Min. OR Width (%) - Minimum OR size as % of close to trigger orders - 0.35 Reward/Risk Ratio - Profit target multiple of stop‑loss distance - 1.1 Max OR Retracement (%) - % of OR width to use as stop‑loss distance - 50 One Trade Per Day - Limit to a single breakout order per day - false Reverse on Stop Loss - Reverse direction immediately after a losing trade - true Disclaimer This strategy description and any accompanying code are provided for educational purposes only and do not constitute financial advice or a solicitation to trade. Futures trading involves substantial risk, including possible loss of capital. Past performance is not indicative of future results. Traders should assess their own risk tolerance and conduct thorough backtesting and forward-testing before committing real capital.
Pine Script® Strategie
von fabledforman
2
Setup: Smooth Gaussian + Adaptive Supertrend (Manual Vol)Overview This strategy combines two powerful trend-based tools originally developed by Algo Alpha: the Smooth Gaussian Trend (simulated) and the Adaptive Supertrend. The objective is to capture sustained bullish movements in periods of controlled volatility by filtering for high-probability entries. Entry Logic Long Entry Conditions: The closing price is above the Smooth Gaussian Trend line (with length = 75), and The volatility setting from the Adaptive Supertrend is manually defined as either 2 or 3 Exit Condition: The closing price falls below the Smooth Gaussian Trend line This script uses a simulated version of the Gaussian Trend line via double-smoothed SMA, as the original Algo Alpha indicator is protected and cannot be accessed directly in code. Features Plots entry and exit signals directly on the chart Manual toggle to enable or disable the volatility filter Lightweight design to allow flexible backtesting even without access to proprietary indicators Important Note This strategy does not connect to the actual Adaptive Supertrend from Algo Alpha. Users must manually input the volatility level based on what they observe on the chart when the original indicator is also applied. The Smooth Gaussian Trend is approximated and may differ slightly from the original. Suggested Use Recommended timeframes: 1H, 4H, or Daily Best used alongside the original indicators displayed on the chart Consider incorporating additional structure, momentum, or volume filters to enhance performance If you have suggestions or would like to contribute improvements, feel free to reach out or fork the script.
Pine Script® Strategie
von elthonsierra
1
Quantum Reversal# 🧠 Quantum Reversal ## **Quantitative Mean Reversion Framework** This algorithmic trading system employs **statistical mean reversion theory** combined with **adaptive volatility modeling** to capitalize on Bitcoin's inherent price oscillations around its statistical mean. The strategy integrates multiple technical indicators through a **multi-layered signal processing architecture**. --- ## ⚡ **Core Technical Architecture** ### 📊 **Statistical Foundation** - **Bollinger Band Mean Reversion Model**: Utilizes 20-period moving average with 2.2 standard deviation bands for volatility-adjusted entry signals - **Adaptive Volatility Threshold**: Dynamic standard deviation multiplier accounts for Bitcoin's heteroscedastic volatility patterns - **Price Action Confluence**: Entry triggered when price breaches lower volatility band, indicating statistical oversold conditions ### 🔬 **Momentum Analysis Layer** - **RSI Oscillator Integration**: 14-period Relative Strength Index with modified oversold threshold at 45 - **Signal Smoothing Algorithm**: 5-period simple moving average applied to RSI reduces noise and false signals - **Momentum Divergence Detection**: Captures mean reversion opportunities when momentum indicators show oversold readings ### ⚙️ **Entry Logic Architecture** ``` Entry Condition = (Price ≤ Lower_BB) OR (Smoothed_RSI < 45) ``` - **Dual-Condition Framework**: Either statistical price deviation OR momentum oversold condition triggers entry - **Boolean Logic Gate**: OR-based entry system increases signal frequency while maintaining statistical validity - **Position Sizing**: Fixed 10% equity allocation per trade for consistent risk exposure ### 🎯 **Exit Strategy Optimization** - **Profit-Lock Mechanism**: Positions only closed when showing positive unrealized P&L - **Trend Continuation Logic**: Allows winning trades to run until momentum exhaustion - **Dynamic Exit Timing**: No fixed profit targets - exits based on profitability state rather than arbitrary levels --- ## 📈 **Statistical Properties** ### **Risk Management Framework** - **Long-Only Exposure**: Eliminates short-squeeze risk inherent in cryptocurrency markets - **Mean Reversion Bias**: Exploits Bitcoin's tendency to revert to statistical mean after extreme moves - **Position Management**: Single position limit prevents over-leveraging ### **Signal Processing Characteristics** - **Noise Reduction**: SMA smoothing on RSI eliminates high-frequency oscillations - **Volatility Adaptation**: Bollinger Bands automatically adjust to changing market volatility - **Multi-Timeframe Coherence**: Indicators operate on consistent timeframe for signal alignment --- ## 🔧 **Parameter Configuration** | Technical Parameter | Value | Statistical Significance | |-------------------|-------|-------------------------| | Bollinger Period | 20 | Standard statistical lookback for volatility calculation | | Std Dev Multiplier | 2.2 | Optimized for Bitcoin's volatility distribution (95.4% confidence interval) | | RSI Period | 14 | Traditional momentum oscillator period | | RSI Threshold | 45 | Modified oversold level accounting for Bitcoin's momentum characteristics | | Smoothing Period | 5 | Noise reduction filter for momentum signals | --- ## 📊 **Algorithmic Advantages** ✅ **Statistical Edge**: Exploits documented mean reversion tendency in Bitcoin markets ✅ **Volatility Adaptation**: Dynamic bands adjust to changing market conditions ✅ **Signal Confluence**: Multiple indicator confirmation reduces false positives ✅ **Momentum Integration**: RSI smoothing improves signal quality and timing ✅ **Risk-Controlled Exposure**: Systematic position sizing and long-only bias --- ## 🔬 **Mathematical Foundation** The strategy leverages **Bollinger Band theory** (developed by John Bollinger) which assumes that prices tend to revert to the mean after extreme deviations. The RSI component adds **momentum confirmation** to the statistical price deviation signal. **Statistical Basis:** - Mean reversion follows the principle that extreme price deviations from the moving average are temporary - The 2.2 standard deviation multiplier captures approximately 97.2% of price movements under normal distribution - RSI momentum smoothing reduces noise inherent in oscillator calculations --- ## ⚠️ **Risk Considerations** This algorithm is designed for traders with understanding of **quantitative finance principles** and **cryptocurrency market dynamics**. The strategy assumes mean-reverting behavior which may not persist during trending market phases. Proper risk management and position sizing are essential. --- ## 🎯 **Implementation Notes** - **Market Regime Awareness**: Most effective in ranging/consolidating markets - **Volatility Sensitivity**: Performance may vary during extreme volatility events - **Backtesting Recommended**: Historical performance analysis advised before live implementation - **Capital Allocation**: 10% per trade sizing assumes diversified portfolio approach --- **Engineered for quantitative traders seeking systematic mean reversion exposure in Bitcoin markets through statistically-grounded technical analysis.**
Pine Script® Strategie
von ArganaBridgeCapital
7
TrendMaster Pro 2.3 with Alerts Hello friends, A member of the community approached me and asked me how to write an indicator that would achieve a particular set of goals involving comprehensive trend analysis, risk management, and session-based trading controls. Here is one example method of how to create such a system: Core Strategy Components Multi-Moving Average System - Uses configurable MA types (EMA, SMA, SMMA) with short-term (9) and long-term (21) periods for primary signal generation through crossovers Higher Timeframe Trend Filter - Optional trend confirmation using a separate MA (default 50-period) to ensure trades align with broader market direction Band Power Indicator - Dynamic high/low bands calculated using different MA types to identify price channels and volatility zones Advanced Signal Filtering Bollinger Bands Volatility Filter - Prevents trading during low-volatility ranging markets by requiring sufficient band width RSI Momentum Filter - Uses customizable thresholds (55 for longs, 45 for shorts) to confirm momentum direction MACD Trend Confirmation - Ensures MACD line position relative to signal line aligns with trade direction Stochastic Oscillator - Adds momentum confirmation with overbought/oversold levels ADX Strength Filter - Only allows trades when trend strength exceeds 25 threshold Session-Based Trading Management Four Trading Sessions - Asia (18:00-00:00), London (00:00-08:00), NY AM (08:00-13:00), NY PM (13:00-18:00) Individual Session Limits - Separate maximum trade counts for each session (default 5 per session) Automatic Session Closure - All positions close at specified market close time Risk Management Features Multiple Stop Loss Options - Percentage-based, MA cross, or band-based SL methods Risk/Reward Ratio - Configurable TP levels based on SL distance (default 1:2) Auto-Risk Calculation - Dynamic position sizing based on dollar risk limits ($150-$250 range) Daily Limits - Stop trading after reaching specified TP or SL counts per day Support & Resistance System Multiple Pivot Types - Traditional, Fibonacci, Woodie, Classic, DM, and Camarilla calculations Flexible Timeframes - Auto-adjusting or manual timeframe selection for S/R levels Historical Levels - Configurable number of past S/R levels to display Visual Customization - Individual color and display settings for each S/R level Additional Features Alert System - Customizable buy/sell alert messages with once-per-bar frequency Visual Trade Management - Color-coded entry, SL, and TP levels with fill areas Session Highlighting - Optional background colors for different trading sessions Comprehensive Filtering - All signals must pass through multiple confirmation layers before execution This approach demonstrates how to build a professional-grade trading system that combines multiple technical analysis methods with robust risk management and session-based controls, suitable for algorithmic trading across different market sessions. Good luck and stay safe!
Pine Script® Strategie
von everget
23
QQQ Strategy v2 ESL | easy-peasy-x This is a strategy optimized for QQQ (and SPY) for the 1H timeframe. It significantly outperforms passive buy-and-hold approach. With settings adjustments, it can be used on various assets like stocks and cryptos and various timeframes, although the default out of the box settings favor QQQ 1H. The strategy uses various triggers to take both long and short trades. These can be adjusted in settings. If you try a different asset, see what combination of triggers works best for you. Some of the triggers employ LuxAlgo's Ultimate RSI - shoutout to him for great script, check it out here . Other triggers are based on custom signed standard deviation - basically the idea is to trade Bollinger Bands expansions (long to the upside, short to the downside) and fade or stay out of contractions. There are three key moving averages in the strategy - LONG MA, SHORT MA, BASIC MA. Long and Short MAs are guides to eyes on the chart and also act as possible trend filters (adjustable in settings). Basic MA acts as guide to eye and a possible trade trigger (adjustable in settings). There are a few trend filters the strategy can use - moving average, signed standard deviation, ultimate RSI or none. The filters act as an additional condition on triggers, making the strategy take trades only if both triggers and trend filter allows. That way one can filter out trades with unfavorable risk/reward (for instance, don't long if price is under the MA200). Different trade filters can be used for long and short trades. The strategy employs various stop loss types, the default of which is a trailing %-based stop loss type. ATR-based stop loss is also available. The default 1.5% trailing stop loss is suitable for leveraged trading. Lastly, the strategy can trigger take profit orders if certain conditions are met, adjustable in settings. Also, it can hold onto winning trades and exit only after stop out (in which case, consecutive triggers to take other positions will be ignored until stop out). Let me know if you like it and if you use it, what kind of tweaks would you like to see. With kind regards, easy-peasy-x
Pine Script® Strategie
von easy-peasy-x
SOXL Trend Surge v3.0.2 – Profit-Only RunnerSOXL Trend Surge v3.0.2 – Profit-Only Runner This is a trend-following strategy built for leveraged ETFs like SOXL, designed to ride high-momentum waves with minimal interference. Unlike most short-term scalping scripts, this model allows trades to develop over multiple days to even several months, capitalizing on the full power of extended directional moves — all without using a stop-loss. 🔍 How It Works Entry Logic: Price is above the 200 EMA (long-term trend confirmation) Supertrend is bullish (momentum confirmation) ATR is rising (volatility expansion) Volume is above its 20-bar average (liquidity filter) Price is outside a small buffer zone from the 200 EMA (to avoid whipsaws) Trades are restricted to market hours only (9 AM to 2 PM EST) Cooldown of 15 bars after each exit to prevent overtrading Exit Strategy: Takes partial profit at +2× ATR if held for at least 2 bars Rides the remaining position with a trailing stop at 1.5× ATR No hard stop-loss — giving space for volatile pullbacks ⚙️ Strategy Settings Initial Capital: $500 Risk per Trade: 100% of equity (fully allocated per entry) Commission: 0.1% Slippage: 1 tick Recalculate after order is filled Fill orders on bar close Timeframe Optimized For: 45-minute chart These parameters simulate an aggressive, high-volatility trading model meant for forward-testing compounding potential under realistic trading costs. ✅ What Makes This Unique No stop-loss = fewer premature exits Partial profit-taking helps lock in early wins Trailing logic gives room to ride large multi-week moves Uses strict filters (volume, ATR, EMA bias) to enter only during high-probability windows Ideal for leveraged ETF swing or position traders looking to hold longer than the typical intraday or 2–3 day strategies ⚠️ Important Note This is a high-risk, high-reward strategy meant for educational and testing purposes. Without a stop-loss, trades can experience deep drawdowns that may take weeks or even months to recover. Always test thoroughly and adjust position sizing to suit your risk tolerance. Past results do not guarantee future returns. Backtest range: May 8, 2020 – May 23, 2025
Pine Script® Strategie
von MrStockaton