Bitcoin / US Dollar Perpetual Inverse Swap ContractBitMEX
Description
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I improved Squeeze Momentum Indicator by LazyBear (momentum filter, changed data source to ohlc4) and transformed it into a strategy, adding a risk management system + ability to customize time frames for backtest.
Shortly about Squeeze Momentum Indicator: This is a derivative of John Carter's "TTM Squeeze" volatility indicator, as discussed in his book "Mastering the Trade" (chapter 11).
Backtested on XBTUSD, ETHUSD (Bitmex). As you may notice it shows good results on 1h - 4h timeframes on these timeframes among these pairs. Relatively low drawdown ~ 12% (to date).
I think is's not possible to detect the exact high of a candle to exit :-(
Bitduke
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@StevenMichiels, why do you think so? Strategy closes the trade not on highs but according to integrated risk management system, i.e by stop loss or take profit.
jmoz
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The script is so broken. Disable the trailing stop and it doesn't work. TV has infamous issues with the trailing stop.
If it looks too good to be true, it probably is.
Bitduke
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@jmoz, yep, it should be tested without Trailing stop.
It's better to use a new version instead (TP, SL in %)
Thank you for posting. Mr.Bitduke.
your script is excellent and skillful!
I'am trying to backtest your script and modifying longcondition, shortcondition,SL...etc.
Can you tell me the values of the picture about (Net profit 127.7%, 289 Total Closed Trade, 78.89 % Percent Profitable...)
hi Bitduke, I like your strategy but dont trade cryptocurrency. So, I have tried to apply it to my SPY trading as it follows a process which I have been employing manually with a high degree of success. However, when I apply your strategy, on SPY it does not seem to populate the Buy and Sell signals. I am a very poor coder and am hoping that you may be able to offer a suggestion on how to fix this issue. Thanks. Peter