BTC 4H strategy

• 01/31/2025 at 1:28 PM #243264
  Schizophunk

  Hi guys,

  I want to share with you my first trading strategy for BTC 4H.

  Sorry for putting the code in Pine Script but I cant test it in 4h timeframe in PRT.

  I just wanted to share with you in case it is interesting for someone that can translate it to PRT code and test it with more data.

  BTC 4H Strategy based in BB width and volume

  //Juan Diaz Maldonado //@version=6 strategy(title = "Bollinger Bands Width Strategy @ JDM", shorttitle = "BBW Strat @ JDM", overlay=false, default_qty_type=strategy.percent_of_equity, default_qty_value = 100, initial_capital =1000, currency = currency.USD, slippage = 10, commission_type = strategy.commission.percent, commission_value = 0.1) // ------------------------- Paramethers ------------------------- // Bollinger bands paramethers length = input.int(22, minval=1, title="Length") src = input.source(close, title="Source") mult = input.float(2, minval=0.001, maxval=50, title="StdDev") // Bollinger bands Width paramethers ncandles = input.int(120, minval=1, title="n candles") // number of candles for normalized BB width compthreshold = input.int(20, minval=1, title="Compresion Threshold") // compression band under which we will open trades // ------------------------- Bollinger bands calculation ------------------------- // Bollinger bands basis = ta.sma(src, length) dev = mult * ta.stdev(src, length) upper = basis + dev lower = basis - dev // Bollinger bands width bbWidth = (upper - lower) / basis // Normalize BB widht bbWidthMax = ta.highest(bbWidth, ncandles) // maximum width of ncandles bbWidthMin = ta.lowest(bbWidth, ncandles) // minimum width of ncandles bbWidthNormalized = ((bbWidth - bbWidthMin) / (bbWidthMax - bbWidthMin)) * (100) // bollinger bands width normalized // ------------------------- Long entry and exits and Stop Loss if any ------------------------- // Longs condition longCondition = src > basis and src < upper and volume > ta.sma(volume, 20) and bbWidthNormalized < compthreshold if (longCondition) strategy.entry("Long", strategy.long) // Exit longs condition longExitCondition = ta.crossunder(src, lower) if (longExitCondition) strategy.close("Long") // ------------------------- Gráficos ------------------------- // Representación de la amplitud normalizada (oscila entre -20 y 120) plot(bbWidthNormalized, title="BB Width Normalized", color=color.new(color.orange, 0), linewidth=1) // Líneas de referencia fijas en 100 y 0 para %B hline(100, title="Upper Band", color=color.new(color.black, 0), linestyle=hline.style_solid) hline(compthreshold, title="Threshold", color=color.new(color.blue, 0), linestyle=hline.style_solid) hline(0, title="Lower Band", color=color.new(color.black, 0), linestyle=hline.style_solid)

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52

  //Juan Diaz Maldonado   //@version=6 strategy(title = "Bollinger Bands Width Strategy @ JDM", shorttitle = "BBW Strat @ JDM", overlay=false, default_qty_type=strategy.percent_of_equity, default_qty_value = 100, initial_capital =1000, currency = currency.USD, slippage = 10, commission_type = strategy.commission.percent, commission_value = 0.1)   // ------------------------- Paramethers -------------------------   // Bollinger bands paramethers length = input.int(22, minval=1, title="Length") src = input.source(close, title="Source") mult = input.float(2, minval=0.001, maxval=50, title="StdDev")   // Bollinger bands Width paramethers ncandles = input.int(120, minval=1, title="n candles") // number of candles for normalized BB width compthreshold = input.int(20, minval=1, title="Compresion Threshold") // compression band under which we will open trades   // ------------------------- Bollinger bands calculation -------------------------   // Bollinger bands basis = ta.sma(src, length) dev = mult * ta.stdev(src, length) upper = basis + dev lower = basis - dev   // Bollinger bands width bbWidth = (upper - lower) / basis   // Normalize BB widht bbWidthMax = ta.highest(bbWidth, ncandles)  // maximum width of ncandles bbWidthMin = ta.lowest(bbWidth, ncandles)   // minimum width of ncandles bbWidthNormalized = ((bbWidth - bbWidthMin) / (bbWidthMax - bbWidthMin)) * (100) // bollinger bands width normalized   // ------------------------- Long entry and exits and Stop Loss if any -------------------------   // Longs condition longCondition = src > basis and src < upper and volume > ta.sma(volume, 20) and bbWidthNormalized < compthreshold if (longCondition)     strategy.entry("Long", strategy.long)   // Exit longs condition longExitCondition = ta.crossunder(src, lower) if (longExitCondition)     strategy.close("Long")   // ------------------------- Gráficos ------------------------- // Representación de la amplitud normalizada (oscila entre -20 y 120) plot(bbWidthNormalized, title="BB Width Normalized", color=color.new(color.orange, 0), linewidth=1)   // Líneas de referencia fijas en 100 y 0 para %B hline(100, title="Upper Band", color=color.new(color.black, 0), linestyle=hline.style_solid) hline(compthreshold, title="Threshold", color=color.new(color.blue, 0), linestyle=hline.style_solid) hline(0, title="Lower Band", color=color.new(color.black, 0), linestyle=hline.style_solid)

  Regards,

  

  Schizophunk

  Participant

  Topics: 4

  Replies: 8

  Been thanked: 2 times
  01/31/2025 at 2:10 PM #243270
  JS

  Hi,

  Hereby the conversion to PRT…

  BB Width and Volume

  DefParam CumulateOrders=False DefParam PreloadBars = 1000 // Bollinger Bands settings length = 22 mult = 2.0 ncandles = 120 compthreshold = 20 // Bollinger Bands calculation basis = Average[length](close) deviation = mult * Std[length](close) upper = basis + deviation lower = basis - deviation // Bollinger Band Width bbWidth = (upper - lower) / basis // Normalized BB Width bbWidthMax = Highest[ncandles](bbWidth) bbWidthMin = Lowest[ncandles](bbWidth) bbWidthNormalized = ((bbWidth - bbWidthMin) / (bbWidthMax - bbWidthMin)) * 100 // Long entry conditions longCondition = close > basis AND close < upper AND volume > Average[20](volume) AND bbWidthNormalized < compthreshold IF longCondition THEN BUY 1 CONTRACT AT MARKET ENDIF // Long exit conditions longExitCondition = close < lower IF longExitCondition THEN SELL AT MARKET ENDIF // Plot BB Width Normalized Graph bbWidthNormalized Graph 100 Graph 0 Graph compthreshold GraphOnPrice Upper GraphOnPrice Lower GraphOnPrice Basis

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43

  DefParam CumulateOrders=False DefParam PreloadBars = 1000   // Bollinger Bands settings length = 22 mult = 2.0 ncandles = 120 compthreshold = 20   // Bollinger Bands calculation basis = Average[length](close) deviation = mult * Std[length](close) upper = basis + deviation lower = basis - deviation   // Bollinger Band Width bbWidth = (upper - lower) / basis   // Normalized BB Width bbWidthMax = Highest[ncandles](bbWidth) bbWidthMin = Lowest[ncandles](bbWidth) bbWidthNormalized = ((bbWidth - bbWidthMin) / (bbWidthMax - bbWidthMin)) * 100   // Long entry conditions longCondition = close > basis AND close < upper AND volume > Average[20](volume) AND bbWidthNormalized < compthreshold IF longCondition THEN BUY 1 CONTRACT AT MARKET ENDIF   // Long exit conditions longExitCondition = close < lower IF longExitCondition THEN SELL AT MARKET ENDIF   // Plot BB Width Normalized Graph bbWidthNormalized Graph 100 Graph 0 Graph compthreshold GraphOnPrice Upper GraphOnPrice Lower GraphOnPrice Basis

  2 users thanked author for this post.

  Iván, Schizophunk

  

  JS

  Participant

  Topics: 27

  Replies: 1837

  Been thanked: 902 times
  01/31/2025 at 2:22 PM #243272
  Schizophunk

  Thank you very much JS.

  May you test it for a longer period? Maybe around 30k bars could be good.

  

  Schizophunk

  Participant

  Topics: 4

  Replies: 8

  Been thanked: 2 times
  01/31/2025 at 2:34 PM #243273
  JS

  Of course, I want to test it over a longer period, but we need to stay realistic…
  The spread at IG is insane, just like the margin… What spread should I take into account?
  How much is the spread with the broker you use…?

  

  JS

  Participant

  Topics: 27

  Replies: 1837

  Been thanked: 902 times
  01/31/2025 at 2:46 PM #243274
  Schizophunk

  I would say 30-50 pips spread can be a realistic one.

  

  Schizophunk

  Participant

  Topics: 4

  Replies: 8

  Been thanked: 2 times
  01/31/2025 at 2:56 PM #243275
  JS

  BackTest 15k units (from august 2017) , spread 50 pips

  1 user thanked author for this post.

  Iván

  

  JS

  Participant

  Topics: 27

  Replies: 1837

  Been thanked: 902 times
  01/31/2025 at 3:34 PM #243284
  Schizophunk

  Thank you very much! Really helpful. What can we do in ProRealTime to compare with a benchmark? Like buy and hold the own BTC in this case.

  

  Schizophunk

  Participant

  Topics: 4

  Replies: 8

  Been thanked: 2 times
  01/31/2025 at 3:53 PM #243286
  JS

  August 11, 2017: BTC $3420
  January 31, 2025: BTC $104,431
  Profit: $101,011
  In retrospect, it would have been better to buy and hold on August 11, 2017…(if you only look at the profit)

  

  JS

  Participant

  Topics: 27

  Replies: 1837

  Been thanked: 902 times
• Author
  Posts