Simple strategy. You only consider taking a squeeze play when both the upper and lower go inside the Channel. When the (BOTH lines) start to come out of the Channel, the squeeze has been released and a move is about to take place.
More info : http://www.hiltinvestmentfund.com/html/squeeze.html
I have added more support indicators -- I highlight the / KC breaches (using GREEN/RED crosses) and a SAR to see where price action is trending.
Appreciate any feedback. Enjoy!
Color codes for v02:
When both the upper and lower go inside the Channel, the squeeze is on and is highlighted in RED.
When the (BOTH lines) start to come out of the Channel, the squeeze has been released and is highlighted in GREEN.
When one of the is out of Channel, no highlighting is done (this means, the background color shows up, so don't get confused if you have RED/GREEN in your chart's bground :))
Color codes for v01:
When both the upper and lower go inside the Channel, the squeeze is on and is highlighted in YELLOW.
When the (BOTH lines) start to come out of the Channel, the squeeze has been released and is highlighted in BLUE.
// // @author LazyBear // @credits http://www.hiltinvestmentfund.com/html/squeeze.html // Trading strategy based on Bollinger Bands & Keltner Channel. Added SAR / Highlights to make it really easy ;) // v01 - initial release // study(shorttitle = "TS 1 [LB]", title="Trading strategy [BB / KC] [LazyBear]", overlay=true) length = input(20, minval=1, title="Length"), mult = input(1.0, minval=0.001, maxval=50, title="MultFactor") // showBarColor = input(true, title="Highlight Bear/Bull points (KC)", type=bool) showBarColor = false useTrueRange = input(false, title="Use TrueRange (KC)", type=bool) // Note that "highlightStrategy" takes precedence over showBarColor. highlightStrategy = input(true, title="Highlight strategy points", type=bool) startSAR = input(0.02, title="Start (SAR)") incrementSAR = input(0.02, title="Increment (SAR)") maximumSAR = input(0.2, title="Maximum (SAR)") // Calculate BB source = close basis = sma(source, length) dev = mult * stdev(source, length) upperBB = basis + dev lowerBB = basis - dev plot(basis, color=red, linewidth=2) p1 = plot(upperBB, color=red, linewidth=2) p2 = plot(lowerBB, color=red, linewidth=2) fill(p1, p2, color = red) // Calculate KC ma = ema(source, length) range = useTrueRange ? tr : high - low rangema = ema(range, length) upper = ma + rangema * mult lower = ma - rangema * mult c = lime u = plot(upper, color=c, title="Upper") plot(ma, color=c, title="Basis") l = plot(lower, color=c, title="Lower") fill(u, l, color=green, transp=80) offset = 2 bearish = low < lower bear_point = bearish ? (low-offset) : na bear_color = bearish ? red : na bullish = high > upper bull_point = bullish ? (high+offset) : na bull_color = bullish ? green : na bar_color = bearish ? bear_color : (bullish ? bull_color : na) plot(bear_point, color = bear_color, style=cross, linewidth=2) plot(bull_point, color = bull_color, style=cross, linewidth=2) bgcolor((showBarColor and not highlightStrategy) ? bar_color : na) strat_sqz_color = ((upperBB < upper) and (lowerBB > lower)) ? yellow : blue bgcolor(highlightStrategy ? strat_sqz_color : na) // SAR outSAR = sar(startSAR, incrementSAR, maximumSAR) plot(outSAR, style=cross, color=blue)
thanks for your time and congratulations for the work done by you and most of all for sharing.
Appreciate any feedback/comments.
- Fixed the SqzRelease condition (only if both BB lines come out, it is marked as a "release").
- Changed the color codes
- Updated the default multFactor to be 2