Bollinger Bandit

• 11/04/2018 at 8:41 AM #84108
  achel

  The Bollinger Bandit uses one standard deviation above the 50-day moving average as a potential long entry and one standard deviation below the 50-day moving average as a potential short entry.
  The longer that we are in a trade, the easier it is to exit the market with a profit. We keep decrementing the number of days in our moving average calculation until we reach ten. From that point on, we do not decrement. There is one more element to our exit technique: the moving average must be below the upper band if we are long and above the lower band if we are short.
  This element is to prevent the system from going back into the same trade that we just liquidated. If we hadn’t used this additional condition and we were long and the moving average was above the upper band, the long entry criteria would still be set up and a long trade would be initiated.
  One more test must be passed before we initiate a position; the close of today must be greater than the close of 30 days ago for a long position and the close of today must be less than the close of 30 days ago for a short position. This additional requirement is a trend filter. We only want to go long in an uptrend and short in a downtrend.
  This system is longer term in nature, so we will use 50 days in our calculations.
  Could someone please translate into PRC code ? Thanks

  ———————————-
  Bollinger Bandit Pseudocode
  LiqDay is initially set to 50
  upBand = Average(Close,50) + StdDev(Close,50) *1.25 dnBand = Average(Close,50) – StdDev(Close,50) *1.25 rocCalc = Close of today – Close of thirty days ago

  Set liqLength to 50
  If rocCalc is positive, a long position will be initiated when today’s market action >= upBand
  If rocCalc is negative, a short position will be initiated when today’s market action <= dnBand
  liqPoint = Average(Close, 50)
  If liqPoint is above the upBand, we will liquidate a long position if today’s market action <= liqPoint If liqPoint is below the dnBand, we will liquidate a short position if today’s market action >= liqPoint
  If we are not stopped out today, then liqLength = liqLength – 1 If we are stopped out today, then reset liqLength to fifty
  —————————————-BELOW -TO TRANSLATE——————————————————–
  Bollinger Bandit Program
  {Uses Bollinger Bands and Rate of change to determine entry points. A trailing stop that is proportional with the amount of time a trade is on is used as the exit technique.}

  Inputs: bollingerLengths(50),liqLength(50),rocCalcLength(30); Vars: upBand(0),dnBand(0),liqDays(50),rocCalc(0);
  upBand = BollingerBand(Close,bollingerLengths,1.25); dnBand = BollingerBand(Close,bollingerLengths,-1.25);

  rocCalc = Close – Close[rocCalcLength-1]; {remember to subtract 1} if(MarketPosition <> 1 and rocCalc > 0) then Buy(“BanditBuy”)tomorrow upBand
  stop;
  if(MarketPosition <>-1 and rocCalc < 0) then SellShort(“BanditSell”) tomorrow dnBand stop;

  if(MarketPosition = 0) then liqDays = liqLength; if(MarketPosition <> 0) then
  begin
  liqDays = liqDays – 1;
  liqDays = MaxList(liqDays,10);

  end;
  if(MarketPosition = 1 and Average(Close,liqDays) < upBand) then Sell(“Long Liq”) tomorrow Average(Close,liqDays) stop; if(MarketPosition = -1 and Average(Close,liqDays) > dnBand) then BuyToCover(“Short Liq”) tomorrow Average(Close,liqDays) stop;

  ———————————-THANKS—————————————–

  

  achel

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  11/04/2018 at 9:06 AM #84109
  swapping

  bonjour achel, il serais bien que tu t’exprime en Français sur le forum français

  par avance merci et bon week end

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  Nicolas

  

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  11/04/2018 at 11:34 AM #84115
  Nicolas

  Topic moved to automatic trading forum (ProOrder) and in the English section.

  

  Nicolas

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  11/05/2018 at 8:36 AM #84147
  Nicolas

  Here is the translated code for ProOrder:

  defparam cumulateorders=false bollingerLengths=50 liqLength=50 rocCalcLength=30 avg = average[bollingerLengths] upBand = avg+std[bollingerlengths]*1.25 dnBand = avg-std[bollingerlengths]*1.25 rocCalc = Close - Close[rocCalcLength-1]// {remember to subtract 1} if(not longonmarket and rocCalc > 0) and close<upBand then Buy 1 contract at upBand stop endif if(not shortonmarket and rocCalc < 0) and close>dnBand then SellShort 1 contract at dnBand stop endif if not onmarket then liqDays = liqLength else liqDays = liqDays - 1 liqDays = Max(liqDays,10) endif if(longonmarket = 1 and Average[liqDays] < upBand) then Sell at Average[liqDays] stop endif if(shortonmarket = -1 and Average[liqDays] > dnBand) then exitshort at Average[liqDays] stop endif

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  defparam cumulateorders=false   bollingerLengths=50 liqLength=50 rocCalcLength=30   avg = average[bollingerLengths] upBand = avg+std[bollingerlengths]*1.25 dnBand = avg-std[bollingerlengths]*1.25   rocCalc = Close - Close[rocCalcLength-1]// {remember to subtract 1} if(not longonmarket and rocCalc > 0) and close<upBand then Buy 1 contract at upBand stop endif if(not shortonmarket and rocCalc < 0) and close>dnBand then SellShort 1 contract at dnBand stop endif   if not onmarket then liqDays = liqLength else liqDays = liqDays - 1 liqDays = Max(liqDays,10) endif     if(longonmarket = 1 and Average[liqDays] < upBand) then Sell at Average[liqDays] stop endif if(shortonmarket = -1 and Average[liqDays] > dnBand) then exitshort at Average[liqDays] stop endif

  What timeframe and instrument suits the best the strategy? For what purpose it was designed for?

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  Nicolas

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  11/05/2018 at 12:34 PM #84166
  GraHal

  Nicolas wrote:

  What timeframe and instrument suits the best the strategy?

  Attached is DAX 1 hour over 100k bars with spread = 2

  

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  11/05/2018 at 12:39 PM #84171
  Nicolas

  There was a mistake in the previous code, please use this one instead!

  defparam cumulateorders=false bollingerLengths=50 liqLength=50 rocCalcLength=30 avg = average[bollingerLengths] upBand = avg+std[bollingerlengths]*1.25 dnBand = avg-std[bollingerlengths]*1.25 rocCalc = Close - Close[rocCalcLength-1]// {remember to subtract 1} if(not longonmarket and rocCalc > 0) and close<upBand then Buy 1 contract at upBand stop endif if(not shortonmarket and rocCalc < 0) and close>dnBand then SellShort 1 contract at dnBand stop endif if not onmarket then liqDays = liqLength else liqDays = liqDays - 1 liqDays = Max(liqDays,10) endif if(longonmarket and Average[liqDays] < upBand) then Sell at Average[liqDays] stop endif if(shortonmarket and Average[liqDays] > dnBand) then exitshort at Average[liqDays] stop endif

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  defparam cumulateorders=false   bollingerLengths=50 liqLength=50 rocCalcLength=30   avg = average[bollingerLengths] upBand = avg+std[bollingerlengths]*1.25 dnBand = avg-std[bollingerlengths]*1.25   rocCalc = Close - Close[rocCalcLength-1]// {remember to subtract 1} if(not longonmarket and rocCalc > 0) and close<upBand then Buy 1 contract at upBand stop endif if(not shortonmarket and rocCalc < 0) and close>dnBand then SellShort 1 contract at dnBand stop endif   if not onmarket then liqDays = liqLength else liqDays = liqDays - 1 liqDays = Max(liqDays,10) endif     if(longonmarket and Average[liqDays] < upBand) then Sell at Average[liqDays] stop endif if(shortonmarket and Average[liqDays] > dnBand) then exitshort at Average[liqDays] stop endif

   

  

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  11/06/2018 at 5:40 PM #84248
  achel

  The Bollinger Bandit program demonstrates how to:

  •  Invoke the Bollinger Band function. This function call is less than intuitive and must be passed three parameters: (1) price series, (2) number of elements in the sample used in the calculation for the standard deviation, and (3) number of deviations above/below moving average. You must use a negative sign in the last parameter to get the band to fall under the moving average.
  • Invoke the MaxList function. This function returns the largest value in a list.
  • Do a simple rate of change calculation.
  • Create and manage a counter variable, liqLength.

   

  • Could it be possible for you to backtest with above parameters one or more of the equities listed on attached table ?
  • Could it be possible to create an indicator fo a manual trading process ?
  • Thanks very much
  • BR

  

  achel

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  11/07/2018 at 10:37 AM #84307
  Nicolas

  achel wrote:

  Could it be possible for you to backtest with above parameters one or more of the equities listed on attached table ?

  I think that you’ll be able to do it by yourself?

  achel wrote:

  Could it be possible to create an indicator fo a manual trading process ?

  Do you mean an indicator with buy/sell signals on the price chart and with the strategy described in your first post?

  

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  11/07/2018 at 11:27 AM #84317
  achel

  Yes

  Is this possible ?

  

  achel

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  11/07/2018 at 2:24 PM #84328
  Nicolas

  Let’s try this:

  bollingerLengths=50 liqLength=50 rocCalcLength=30 avg = average[bollingerLengths] upBand = avg+std[bollingerlengths]*1.25 dnBand = avg-std[bollingerlengths]*1.25 atr = AverageTrueRange[14](close) rocCalc = Close - Close[rocCalcLength-1]// {remember to subtract 1} if(lastsignal<=0 and rocCalc > 0) and close<upBand then drawarrowup(barindex,low-atr) coloured(0,255,0) lastsignal=1 //lastbar=barindex endif if(lastsignal>=0 and rocCalc < 0) and close>dnBand then drawarrowdown(barindex,high+atr) coloured(255,0,0) lastsignal=-1 //lastbar=barindex endif if lastsignal=0 then liqDays = liqLength else liqDays = liqDays - 1 liqDays = Max(liqDays,10) endif //if(lastsignal=1 and Average[liqDays] < upBand) and barindex-lastbar>=1 then //drawtext("◄",barindex,upBand,dialog,bold,24) coloured(200,154,96) //lastsignal=0 //endif //if(lastsignal=-1 and Average[liqDays] > dnBand) and barindex-lastbar>=1 then //drawtext("◄",barindex,upBand,dialog,bold,24) coloured(200,154,96) //lastsignal=0 //endif return

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  bollingerLengths=50 liqLength=50 rocCalcLength=30   avg = average[bollingerLengths] upBand = avg+std[bollingerlengths]*1.25 dnBand = avg-std[bollingerlengths]*1.25   atr = AverageTrueRange[14](close) rocCalc = Close - Close[rocCalcLength-1]// {remember to subtract 1} if(lastsignal<=0 and rocCalc > 0) and close<upBand then drawarrowup(barindex,low-atr) coloured(0,255,0) lastsignal=1 //lastbar=barindex endif if(lastsignal>=0 and rocCalc < 0) and close>dnBand then drawarrowdown(barindex,high+atr) coloured(255,0,0) lastsignal=-1 //lastbar=barindex endif   if lastsignal=0 then liqDays = liqLength else liqDays = liqDays - 1 liqDays = Max(liqDays,10) endif     //if(lastsignal=1 and Average[liqDays] < upBand) and barindex-lastbar>=1 then //drawtext("◄",barindex,upBand,dialog,bold,24) coloured(200,154,96) //lastsignal=0 //endif //if(lastsignal=-1 and Average[liqDays] > dnBand) and barindex-lastbar>=1 then //drawtext("◄",barindex,upBand,dialog,bold,24) coloured(200,154,96) //lastsignal=0 //endif   return

   

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  Nicolas

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  11/07/2018 at 4:48 PM #84344
  achel

  Thanks Nicolas

  This looks awesome

  

  achel

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