[KL] Relative Volume Strategy by DojiEmoji
By DojiEmoji
Performance Metrics
- Author: DojiEmoji
- Symbol: AMEX:SPY
- Timeframe: 1 day
- Net P&L: +245.54 USD (+0.25%)
- Win Rate: 64.1%
- Profit Factor: 4.364
- Max Drawdown: 39.05 USD (0.04%)
- Total Trades: 39
- Sharpe Ratio: −16.773
Description
Jul 6, 2021This strategy will Long when:Confirmation #1: when volume is relatively highConfirmation #2: during periods of price consolidation (See )It exits when either (a) stop loss limit is reached, or when (b) price actions suggest trend is bearish. Measuring price volatility to assume consolidation: For each candlestick, we quantify price volatility by referring to the value of standard deviations (2x) of closing prices over a look-back period of 20 candles. This is exactly what the Bollinger Band (“BOLL”) indicates by default.Knowing the value of standard deviation (2x) of prices (aka the width of lower/upper BOLL bands), we then compare it with ATR (x2) over a user-defined length (can be configured in settings). Volatility is considered to be low, relatively, when the standard deviation (x2) of prices is less than ATR (2x).Jul 6, 2021Release NotesBug fixed (exit message showing "stop loss" or "take profit")Jul 7, 2021Release NotesImproved conditional statements to determine bearish engulfing candlesticks.Jul 13, 2021Release Notes- improved price action indicators- modified entry condition, requires the current candlestick to be strong in support, or at least not work as bare minimum (as per price action indicators)Jul 13, 2021Release NotesFixed bugs, and refactored codes.Jul 18, 2021Release NotesValues of parameters can now be further customized in settings.