Hi everyone,
I’m sharing this strategy I’ve been working on recently. It’s a mean reversion setup designed for the DAX working on M30 (with proper optimization it gives algo great results on the Nasdaq). The strategy targets reversals using a combination of indicators:
– Bollinger Bands for volatility and price extremes
– VWAP for intraday price reference
– EMAs for trend direction
– Higher Highs pattern confirmation
The strategy looks for oversold conditions near the lower Bollinger Band, waiting for a VWAP breakout to confirm the reversal. It includes automatic position closure before US market open.
While testing this strategy, I noticed the trade frequency is lower than expected. Although the logic behind seems to be great, I believe there’s room for improvement. Rather than keeping it to myself, I decided to share it as it could serve as a good foundation for further development for those who are interested in dedicating some time.
Potential areas for enhancement:
– Fine-tuning the BB parameters
– Adding volume filters
– Implementing more sophisticated exit rules
Feel free to modify and build upon this base (and share the final result if you want).
P.S: As always, please backtest thoroughly before using with real money.
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//——————————————// // Reversal Catcher — Thibauld Robin — FOR DAX M30 //——————————————// // Initialization ONCE pos = 0 BBlength = 20 BBmult = 1.5 fastEMA = 21 slowEMA = 50 rsiLength = 14 overbought = 70 oversold = 30 // Bollinger Bands bbMA = AVERAGE[BBlength](close) bbDev = SQRT(SUMMATION[BBlength]((close – bbMA)*(close – bbMA))/BBlength) BBupper = bbMA + (bbDev * BBmult) BBlower = bbMA – (bbDev * BBmult) // EMAs ema21 = TEMA[21](close) ema50 = TEMA[50](close) // VWAP IF day<>day[1] THEN d=1 VWAP=typicalprice ELSE d=d+1 IF volume > 0 THEN VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) ENDIF ENDIF // Trend upTrend = ema21 > ema50 // HH/LL hhLLong = low > low[1] AND high > high[1] AND close > high[1] // Entries vwapBreakout = close crosses over VWAP longCond = Low[1] < BBlower[1] AND close > BBlower AND close < BBupper AND hhLLong AND upTrend AND vwapBreakout // Exits exitLong = (close > BBupper) OR (ema21 crosses under ema50) // Trading Orders IF longCond AND pos = 0 THEN BUY 1 SHARES AT MARKET pos = 1 SET STOP LOSS low[1] ENDIF // Exits IF pos = 1 AND exitLong THEN SELL AT MARKET pos = 0 ENDIF // Close before US open IF TIME >= 150000 AND pos <> 0 THEN IF pos = 1 THEN SELL AT MARKET ENDIF pos = 0 ENDIF |
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thanks for sharing. Is it only long? Why you didn’t consider short too?
You’re welcome! Yes, it’s only long, I believe it’s (maybe a bad) habit with the indices…