Low Volume Reversal Strategy

deletedaccount051022 · Tue, 24 Aug 2021 14:21:19 +0000

Hi, Here is another strategy that uses 2 simple entry criteria and one filter as the core requirements. As volume is better at the start and end of the week it doesn’t trade mid-week or Sundays. It is an adaptation of a strategy from……Kevin Davey (well guessed). Adapted from a Daily time frame to a 15 minute. As you will see in the code, I have added in various snippets of code from nonetheless and robertogozzi, thank you. The strategy looks for a low volume bar compared to a look back period of 5 and a new lowest close over a look back period of 4 in order to go long. As it uses volume as an entry criteria I can only back test to June 2016. Work in progress, but I wanted to share to see if it sparks any interest for new ideas on how to evolve it. Walkforward has proven well so fat. Am working on possible short entry and ways to reduce drawdown. Thank you, hope you enjoy and welcome any feedback.

This topic has 16 replies, 8 voices, and was last updated 1 year ago by T-rader.

Viewing 2 posts - 16 through 17 (of 17 total)

← 1 2

08/06/2023 at 1:02 PM #218647

KumoNoJuzza

I am using it on demo for 3 month on IB both on DAX and DJI. So far it is breaking even.

Most of the time, the entry is great and quickly turning into a winning position but turns to a losing one over time. Ie the exit criteria are not good, maybe it should be based on contextual barsize. I have not succeeded yet to update them as well as the criteria to enter the short side.

I will try to work on it this week.

KumoNoJuzza
Participant

Topics: 11
Replies: 74
Been thanked: 13 times

08/08/2023 at 1:23 PM #218734

T-rader

JC_Bywan wrote:

Hi, assuming you have made your backtest with IG, there was no volume data on major indexes before 2016 (forex goes back earlier). Reading the code script, at least one condition necessary to start a trade involves volume not being zero, so even with plenty of history loaded on a big timeframe taking a trade with those conditions wouldn’t happen until volume data is provided sometime in 2016.

If on the other hand you were not on IG (or on an asset providing volume long before 2016), then more details on broker and asset used need to be provided to be able to replicate the issue in same conditions.

Yes you are right about volume not being present before 2016. I forgot

T-rader
Participant

Topics: 6
Replies: 51
Been thanked: 5 times
Author

Posts

Viewing 2 posts - 16 through 17 (of 17 total)

← 1 2

Find exclusive trading pro-tools on