NASDAQ Mean Reversion

• 08/23/2021 at 4:15 PM #176000
  deletedaccount051022

  Hello,

  A work in progress strategy based on a simple mean reversion idea inspired by Kevin Davey that I have adapted from a daily to a 15 minute timeframe.  It looks for low volume and low price over N bars, then goes long.  Only two entry criteria and one initial filter, and works well but needs improving.

  The focus at this stage is to work on reducing the Drawdown, and potentially the number of trades, by use of an entry filter.  Thought I would share this early version in the hope that people might have some useful ideas for a suitable filter.

  NASDAQ

  15m

  Spread 2

   

  Thank you,

  S

  7 users thanked author for this post.

  FritzAlgo, KumoNoJuzza, Midlanddave, phoentzs, @AlgoHunter1, MAKSIDE, Nicolas

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 99 times
  08/23/2021 at 4:18 PM #176003
  deletedaccount051022

  With screenshot that was dropped

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 99 times
  08/24/2021 at 8:19 AM #176035
  Nicolas

  Really impressive, thanks for sharing! 🙂

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  08/24/2021 at 8:59 AM #176043
  murre87

  Wow. Impressing. No short entrys?

  TEST KD_MeanReverting v1.3

  //================================================ // Code: TEST KD3 Mean Reverting v1 // Source: https://www.youtube.com/watch?v=D_P_XqB5nHs // Entry Strategy #3 Mean REverting // Author: Kevin Davey // Version 1 // Index: NASDAQ // TF: 15 min // TZ: Europe // Notes: v1.1 Long Olny // Notes: v1.2 Entry Filter (optimised to 150 MA) // Notes: v1.3 Day of week - do not trade Friday's // // Pending Test Short side // Reduce Drawdown (Long Entry Filter) //================================================ DEFPARAM CUMULATEORDERS = FALSE //Risk Management PositionSize=1 //=== Entry Filter === //Filter 1 indicator1=average[150,7] F1 = close>indicator1 //Range Parameters Nbars=15 Pbars=10 //Entry Criteria indicator1 = Volume c1 = (indicator1 < indicator1[Nbars]) // Conditions to enter long positions If close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 then Buy PositionSize CONTRACTS AT MARKET ENDIF // Conditions to enter short positions //IF rrange>2*stdrange+avgrange and close<close[10] THEN //SELLSHORT PositionSize CONTRACTS AT MARKET //ENDIF // Stops and targets SET STOP LOSS 100 //50 SET TARGET PROFIT 175 //50 //FOR STOPLOSS MANNGEMENT // Conditions to enter long positions startBreakeven = 30 PointsToKeep = 12 IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF //************************************************************************ IF longonmarket and barindex-tradeindex>1600 and close<positionprice then sell at market endif IF shortonmarket and barindex-tradeindex>1800 and close>positionprice then exitshort at market endif //=================================== myrsiM5=rsi[14](close) // if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then sell at market endif if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then exitshort at market endif //=================================== once openStrongLong = 0 once openStrongShort = 0 if (time <= 090000 or time >= 210000) then openStrongLong = 0 openStrongShort = 0 endif //detect strong direction for market open once rangeOK = 30 once tradeMin = 2500 IF (time >= 090500) AND (time <= 090500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF once bollperiod = 20 once bollMAType = 1 once s = 2 bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF once trendPeriod = 80 once trendPeriodResume = 10 once trendGap = 4 once trendResumeGap = 4 if not onmarket then fullySupported = 0 fullyResisteded = 0 endif //Market supported in the wrong direction IF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THEN fullySupported = 1 ENDIF //Market pull back but continue to be supported IF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THEN exitshort at market ENDIF //Market resisted in wrong direction IF longonmarket AND fullyResisteded = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THEN fullyResisteded = 1 ENDIF //Market pull back but continue to be resisted IF longonmarket AND fullyResisteded = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THEN sell at market ENDIF //Started real wrong direction once strongTrend = 60 once strongPeriod = 4 once strongTrendGap = 2 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap then exitshort at market ENDIF IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap then sell at market ENDIF //SET STOP $LOSS stoploss

  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 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166

  //================================================ //   Code:    TEST KD3 Mean Reverting v1 //   Source:  https://www.youtube.com/watch?v=D_P_XqB5nHs //            Entry Strategy #3 Mean REverting //   Author:  Kevin Davey //   Version  1 //   Index:   NASDAQ //   TF:      15 min //   TZ:      Europe //   Notes:   v1.1 Long Olny //   Notes:   v1.2 Entry Filter (optimised to 150 MA) //   Notes:   v1.3 Day of week - do not trade Friday's // //   Pending  Test Short side //            Reduce Drawdown (Long Entry Filter) //================================================   DEFPARAM CUMULATEORDERS = FALSE   //Risk Management PositionSize=1   //=== Entry Filter === //Filter 1 indicator1=average[150,7] F1 = close>indicator1     //Range Parameters Nbars=15 Pbars=10   //Entry Criteria indicator1 = Volume c1 = (indicator1 < indicator1[Nbars])   // Conditions to enter long positions If close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 then Buy PositionSize CONTRACTS AT MARKET ENDIF   // Conditions to enter short positions //IF rrange>2*stdrange+avgrange and close<close[10] THEN //SELLSHORT PositionSize CONTRACTS AT MARKET //ENDIF   // Stops and targets SET STOP LOSS 100      //50 SET TARGET PROFIT 175  //50   //FOR STOPLOSS MANNGEMENT // Conditions to enter long positions startBreakeven = 30 PointsToKeep = 12   IF NOT ONMARKET THEN breakevenLevel=0 ENDIF   // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF   //************************************************************************ IF longonmarket and barindex-tradeindex>1600 and close<positionprice then sell at market endif IF shortonmarket and barindex-tradeindex>1800 and close>positionprice then exitshort at market endif   //=================================== myrsiM5=rsi[14](close) // if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then sell at market endif if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then exitshort at market endif //===================================   once openStrongLong = 0 once openStrongShort = 0 if (time <= 090000 or time >= 210000) then openStrongLong = 0 openStrongShort = 0 endif   //detect strong direction for market open once rangeOK = 30 once tradeMin = 2500 IF (time >= 090500) AND (time <= 090500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF   once bollperiod = 20 once bollMAType = 1 once s = 2   bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF   once trendPeriod = 80 once trendPeriodResume = 10 once trendGap = 4 once trendResumeGap = 4 if not onmarket then fullySupported = 0 fullyResisteded = 0 endif //Market supported in the wrong direction IF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THEN fullySupported = 1 ENDIF   //Market pull back but continue to be supported IF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THEN exitshort at market ENDIF   //Market resisted in wrong direction IF longonmarket AND fullyResisteded = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THEN fullyResisteded = 1 ENDIF   //Market pull back but continue to be resisted IF longonmarket AND fullyResisteded = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THEN sell at market ENDIF   //Started real wrong direction once strongTrend = 60 once strongPeriod = 4 once strongTrendGap = 2 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap then exitshort at market ENDIF   IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap then sell at market ENDIF   //SET STOP $LOSS stoploss

  

  murre87

  Participant

  Topics: 17

  Replies: 162

  Been thanked: 21 times
  08/24/2021 at 9:37 AM #176048
  nonetheless

  One thing you might want to look at is the section starting at line 73 above. In a 10 year backtest no trades have gone to 1600 bars so those values are doing nothing. This is also the case for the Breakout code you posted.

  This is the snippet I use for that function, closes very long-running positions whether they’re winning or losing. You have to optimise for b1 and b2 (b3, b4 for short).

  //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF longonmarket and (barindex-tradeindex(1)>= b1 and positionperf>0) or (barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF shortonmarket and (barindex-tradeindex(1)>= b3 and positionperf>0) or (barindex-tradeindex(1)>= b4 and positionperf<0) then exitshort at market endif endif

  1 2 3 4 5 6 7 8 9 10

  //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF longonmarket and (barindex-tradeindex(1)>= b1 and positionperf>0) or (barindex-tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF shortonmarket and (barindex-tradeindex(1)>= b3 and positionperf>0) or (barindex-tradeindex(1)>= b4 and positionperf<0) then exitshort at market endif endif

  1 user thanked author for this post.

  murre87

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  08/24/2021 at 9:49 AM #176051
  murre87

  whats the different between B1 and B2 flr longmarket?

  

  murre87

  Participant

  Topics: 17

  Replies: 162

  Been thanked: 21 times
  08/24/2021 at 10:00 AM #176052
  nonetheless

  b1 if it’s winning, b2 if it’s losing.

  but I should add that this isn’t always advantageous, you should also try switching it off, with some algos it’s better to just let them run.

  1 user thanked author for this post.

  @AlgoHunter1

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  08/24/2021 at 10:06 AM #176053
  GraHal

  B1 is for pp > 0 and B2 is for pp < 0.

  I have successfully used above on several of my Algos from my early coding days, I will get back on it again, now I see you’re using it Nonetheless! 🙂

  I also optimised using broad values for positionperf (in lieu  of 0 as above).

  2 users thanked author for this post.

  murre87, nonetheless

  

  GraHal

  Participant

  Topics: 211

  Replies: 8764

  Been thanked: 2179 times
  08/24/2021 at 10:11 AM #176054
  PeterSt

  nonetheless wrote:

  but I should add that this isn’t always advantageous, you should also try switching it off, with some algos it’s better to just let them run.

  Without this remark I already wanted to add :

  I have attempted so many means of exiting because of too long “useless” trades. They always and always net lose. Otherwise this will be highly subject to curve fitting, IMO.

  BUT

  Only last week I applied a “strange” means for this : let shrink the SL per bar (or once in the so many, also OK). This seems counterproductive, but the contrary appears true. This starts with allowing for a higher SL (avoid peaks at entry) which is psychologically good. Next the losses because or running into the SL in practice are not that high at all. But moreover, this works out. For me it does …
  Warning : I am almost sure that we should not change the StopLoss per bar because the broker may not like that. Eh, *if* possible at all. So it needs to be your own exit (like the example code in the earlier post) and NOT changing the StopLoss each time.

  

  PeterSt

  Participant

  Topics: 73

  Replies: 2501

  Been thanked: 805 times
  08/24/2021 at 10:30 AM #176055
  PeterSt

  Visualisation of what I was saying : when blue and yellow meet, it’s over.

  1 user thanked author for this post.

  

  PeterSt

  Participant

  Topics: 73

  Replies: 2501

  Been thanked: 805 times
  08/24/2021 at 12:09 PM #176068
  deletedaccount051022

  nonetheless wrote:

  One thing you might want to look at is the section starting at line 73 above. In a 10 year backtest no trades have gone to 1600 bars so those values are doing nothing. This is also the case for the Breakout code you posted.

  This is the snippet I use for that function, closes very long-running positions whether they’re winning or losing. You have to optimise for b1 and b2 (b3, b4 for short).

  //EXIT ZOMBIE TRADE<br /> EZT = 1<br /> if EZT then<br /> IF longonmarket and (barindex-tradeindex(1)>= b1 and positionperf>0) or (barindex-tradeindex(1)>= b2 and positionperf<0) then<br /> sell at market<br /> endif<br /> IF shortonmarket and (barindex-tradeindex(1)>= b3 and positionperf>0) or (barindex-tradeindex(1)>= b4 and positionperf<0) then<br /> exitshort at market<br /> endif<br /> endif

  1 2 3 4 5 6 7 8 9 10

  //EXIT ZOMBIE TRADE EZT = 1 if EZT then IF longonmarket and (barindex–tradeindex(1)>= b1 and positionperf>0) or (barindex–tradeindex(1)>= b2 and positionperf<0) then sell at market endif IF shortonmarket and (barindex–tradeindex(1)>= b3 and positionperf>0) or (barindex–tradeindex(1)>= b4 and positionperf<0) then exitshort at market endif endif

  Thank you very much, I shall add this in and retest.  Much appreciated.

  1 user thanked author for this post.

  @AlgoHunter1

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 99 times
  08/24/2021 at 12:19 PM #176069
  murre87

  I also optimised using broad values for positionperf (in lieu of 0 as above).

  Would u like to show an example

  

  murre87

  Participant

  Topics: 17

  Replies: 162

  Been thanked: 21 times
  08/24/2021 at 12:40 PM #176074
  robertogozzi

  I played a bit with the strategy, on DAX 1€, 200K units, 5 min-TF (mtf), changing just TP & SL and slightly the Trailing Stop to use PointsToKeep as sort of a trailing step. Performance is nice and WF is around 25%. I also commented out exiting on RSI:

  //================================================ //https://www.prorealcode.com/topic/nasdaq-mean-reversion/ // // Code: TEST KD3 Mean Reverting v1.3 // Source: https://www.youtube.com/watch?v=D_P_XqB5nHs // Entry Strategy #3 Mean REverting // Author: Kevin Davey // Version 1 // Index: DAX (ex NASDAQ) // TF: 15 min // TZ: Europe // Notes: v1.1 Long Olny // Notes: v1.2 Entry Filter (optimised to 150 MA) // Notes: v1.3 Day of week - do not trade Friday's // // Pending Test Short side // Reduce Drawdown (Long Entry Filter) //================================================ DEFPARAM CUMULATEORDERS = FALSE Timeframe(2h,UpdateOnClose) //1h //Risk Management nLots=1 //=== Entry Filter === //Filter 1 indicator1 = average[150,7] //150,7 F1 = close>indicator1 F2 = close<indicator1 //Range Parameters Nbars = 15 //15 Pbars = 10 //10 //Entry Criteria indicator1 = Volume c1 = (indicator1 < indicator1[Nbars]) // Conditions to enter long positions If close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 and Not OnMarket then Buy nLots CONTRACTS AT MARKET ENDIF // Conditions to enter short positions If close < highest[Pbars](high) and c1 and opendayofweek <> 5 and F2 and Not OnMarket then //SELLSHORT nLots CONTRACTS AT MARKET ENDIF // Stops and targets SET STOP pLOSS 50 //50 SET TARGET pPROFIT 70 //75 once openStrongLong = 0 once openStrongShort = 0 if (time <= 090000 or time >= 210000) then //090000 - 210000 openStrongLong = 0 openStrongShort = 0 endif //detect strong direction for market open once rangeOK = 30 once tradeMin = 2500 IF (time >= 090500) AND (time <= 090500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF once bollperiod = 20 once bollMAType = 1 once s = 2 bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF once trendPeriod = 80 once trendPeriodResume = 10 once trendGap = 4 once trendResumeGap = 4 if not onmarket then fullySupported = 0 fullyResisteded = 0 endif //Market supported in the wrong direction IF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THEN fullySupported = 1 ENDIF //Market pull back but continue to be supported IF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THEN exitshort at market ENDIF //Market resisted in wrong direction IF longonmarket AND fullyResisteded = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THEN fullyResisteded = 1 ENDIF //Market pull back but continue to be resisted IF longonmarket AND fullyResisteded = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THEN sell at market ENDIF //Started real wrong direction once strongTrend = 60 //60 once strongPeriod = 4 //4 once strongTrendGap = 2 //2 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap then exitshort at market ENDIF IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap then sell at market ENDIF //SET STOP $LOSS stoploss Timeframe(default) //5 min // Breakeven & Trailing Stop startBreakeven = 25 //25 PointsToKeep = 5 //5 Distance = 6 //6 // IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=(startBreakeven*pipsize+PointsToKeep*pipsize) and breakevenlevel = 0 THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF IF LONGONMARKET AND close-breakevenlevel>=(startBreakeven*pipsize) and breakevenlevel > 0 THEN breakevenLevel = breakevenlevel+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN IF close > (breakevenlevel + Distance) THEN SELL AT breakevenLevel STOP IF close < (breakevenlevel - Distance) THEN SELL AT breakevenLevel LIMIT ELSE SELL AT Market ENDIF ENDIF ENDIF //************************************************************************ ONCE MaxBars = 305 //305 // IF longonmarket and barindex-tradeindex>MaxBars then//and close<positionprice then sell at market endif IF shortonmarket and barindex-tradeindex>MaxBars then//and close>positionprice then exitshort at market endif //=================================== myrsiM5=rsi[14](close) // if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then //sell at market endif if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then //exitshort at market endif //===================================

  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 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179

  //================================================ //https://www.prorealcode.com/topic/nasdaq-mean-reversion/ // //   Code:    TEST KD3 Mean Reverting v1.3 //   Source:  https://www.youtube.com/watch?v=D_P_XqB5nHs //            Entry Strategy #3 Mean REverting //   Author:  Kevin Davey //   Version  1 //   Index:   DAX    (ex NASDAQ) //   TF:      15 min //   TZ:      Europe //   Notes:   v1.1 Long Olny //   Notes:   v1.2 Entry Filter (optimised to 150 MA) //   Notes:   v1.3 Day of week - do not trade Friday's // //   Pending  Test Short side //            Reduce Drawdown (Long Entry Filter) //================================================   DEFPARAM CUMULATEORDERS = FALSE Timeframe(2h,UpdateOnClose)                                        //1h //Risk Management nLots=1   //=== Entry Filter === //Filter 1 indicator1 = average[150,7]                //150,7 F1 = close>indicator1 F2 = close<indicator1   //Range Parameters Nbars = 15                                 //15 Pbars = 10                                 //10   //Entry Criteria indicator1 = Volume c1 = (indicator1 < indicator1[Nbars])   // Conditions to enter long positions If close > lowest[Pbars](low) and c1 and opendayofweek <> 5 and F1 and Not OnMarket then Buy nLots CONTRACTS AT MARKET ENDIF   // Conditions to enter short positions If close < highest[Pbars](high) and c1 and opendayofweek <> 5 and F2 and Not OnMarket then //SELLSHORT nLots CONTRACTS AT MARKET ENDIF   // Stops and targets SET STOP   pLOSS   50                      //50 SET TARGET pPROFIT 70                      //75   once openStrongLong  = 0 once openStrongShort = 0 if (time <= 090000 or time >= 210000) then   //090000 - 210000 openStrongLong  = 0 openStrongShort = 0 endif   //detect strong direction for market open once rangeOK  = 30 once tradeMin = 2500 IF (time >= 090500) AND (time <= 090500 + tradeMin) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong  = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong  = 0 openStrongShort = 1 ENDIF ENDIF   once bollperiod = 20 once bollMAType = 1 once s          = 2   bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF   once trendPeriod       = 80 once trendPeriodResume = 10 once trendGap          = 4 once trendResumeGap    = 4 if not onmarket then fullySupported      = 0 fullyResisteded     = 0 endif //Market supported in the wrong direction IF shortonmarket AND fullySupported = 0 AND summation[trendPeriod](bollPercent > 50) >= trendPeriod - trendGap THEN fullySupported      = 1 ENDIF   //Market pull back but continue to be supported IF shortonmarket AND fullySupported = 1 AND bollPercent[trendPeriodResume + 1] < 0 AND summation[trendPeriodResume](bollPercent > 50) >= trendPeriodResume - trendResumeGap THEN exitshort at market ENDIF   //Market resisted in wrong direction IF longonmarket AND fullyResisteded = 0 AND summation[trendPeriod](bollPercent < 50) >= trendPeriod - trendGap THEN fullyResisteded     = 1 ENDIF   //Market pull back but continue to be resisted IF longonmarket AND fullyResisteded = 1 AND bollPercent[trendPeriodResume + 1] > 100 AND summation[trendPeriodResume](bollPercent < 50) >= trendPeriodResume - trendResumeGap THEN sell at market ENDIF   //Started real wrong direction once strongTrend    = 60         //60 once strongPeriod   = 4          //4 once strongTrendGap = 2          //2 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap then exitshort at market ENDIF   IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap then sell at market ENDIF   //SET STOP $LOSS stoploss Timeframe(default)                                                 //5 min //                  Breakeven & Trailing Stop startBreakeven = 25                   //25 PointsToKeep   = 5                    //5 Distance       = 6                    //6 // IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=(startBreakeven*pipsize+PointsToKeep*pipsize) and breakevenlevel = 0 THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF IF LONGONMARKET AND close-breakevenlevel>=(startBreakeven*pipsize) and breakevenlevel > 0 THEN breakevenLevel = breakevenlevel+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN IF close > (breakevenlevel + Distance) THEN SELL AT breakevenLevel STOP IF close < (breakevenlevel - Distance) THEN SELL AT breakevenLevel LIMIT ELSE SELL AT Market ENDIF ENDIF ENDIF //************************************************************************ ONCE MaxBars = 305           //305 // IF longonmarket and barindex-tradeindex>MaxBars then//and close<positionprice then sell at market endif IF shortonmarket and barindex-tradeindex>MaxBars then//and close>positionprice then exitshort at market endif   //=================================== myrsiM5=rsi[14](close) // if myrsiM5<30 and barindex-tradeindex>1 and longonmarket and close>positionprice then //sell at market endif if myrsiM5>70 and barindex-tradeindex>1 and shortonmarket and close<positionprice then //exitshort at market endif //===================================

   

  2 users thanked author for this post.

  Midlanddave

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17129

  Been thanked: 4026 times
  08/24/2021 at 12:43 PM #176077
  MAKSIDE

  @samsampop, what is the result about kevin’s initial strategy on daily timeframe ? thx

  

  MAKSIDE

  Participant

  Topics: 37

  Replies: 343

  Been thanked: 98 times
  08/24/2021 at 12:53 PM #176078
  deletedaccount051022

  Hello MAKSIDE

  I put the source for the original link at the top of the code, it’s pretty decent but I tend not to trade algos on a daily basis, only US OTC stocks.

  Source:  https://www.youtube.com/watch?v=D_P_XqB5nHs

  Thanks

  1 user thanked author for this post.

  MAKSIDE

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 99 times
• Author
  Posts