0000 Bollinger W D Strat v14 — Strategy by shitholed

By shitholed

Performance Metrics

Description

Strategy OverviewThis is a long-only, trend-following breakout strategy based on Bollinger Bands. It is designed to capture strong upward momentum while filtering out false breakouts using moving averages, candlestick shape analysis, historical price comparisons, and strict seasonal (calendar-based) rules.1. Entry Conditions (The Buy Signal)To trigger a "Long" entry, all of the following conditions must be met simultaneously:Bollinger Band Breakout: The closing price must be strictly higher than the Upper Bollinger Band.Trend Filter (Moving Average): The closing price must be above the selected Moving Average (default is a 55-period EMA).Momentum Filter 1: The closing price must be higher than the closing price 2 days ago (Close > Close[2]).Note: There is also an optional toggle for Close > Close[1].Candlestick Shape (Shadow vs. Body): The total shadow (wicks) of the candle must be significantly larger than the real body of the candle (by default, 10 times larger).Note: There is also an active filter checking that the upper shadow is NOT greater than the lower shadow (multiplied by a factor of 3).Seasonal Buy Filter: The current date must not fall within any of the active seasonal "Sell" windows (e.g., late February, July, August, September).Cooldown Period (New in v14): If activated, a specified number of bars must have passed since the last trade was closed before a new entry is allowed.Backtest Window: The current year must fall between the defined Start Year and Stop Year.2. Exit Conditions (The Sell Signals)The strategy has multiple triggers to close an active position. A trade will be exited if any of the following occur:Standard Exit (Trend Reversal): The closing price drops below the Lower Bollinger Band.Seasonal Exits: The strategy automatically sells based on historical seasonal weakness. If activated, it will close the position when reaching specific dates:February (default: Day 16 or later)March (default: Day 18 or later)July (default: Day 16 or later)August (default: Day 22 or later)September (default: Day 19 or later)December (default: Day 15 or earlier)Risk Management (Optional):Take Profit: An ATR-based target (default: 1.6 * ATR).Stop Loss: An ATR-based stop (default: 0.2 * ATR).End of Backtest: If the chart time exceeds the defined Stop Year, any open position is automatically closed to freeze the performance metrics accurately.3. Indicator ConfigurationsBollinger Bands: Length of 34. The Upper Band (Buy) uses a standard deviation of 0.25, making it very sensitive to upward movement. The Lower Band (Sell) uses a standard deviation of 0.60.Moving Average Variation: The user can switch the basis of the bands and the trend filter between SMA, EMA, WMA, RMA, and HMA.4. Performance DashboardThe script features a highly customized, repositionable dashboard that calculates and displays advanced performance metrics, comparing the Strategy against a pure Buy & Hold approach.Key metrics tracked include:Total Return & CAGR (Compound Annual Growth Rate), both raw and adjusted for a predefined Tax rate (default 18.5%).Max Drawdown and the exact date it occurred.Time in Market: The percentage of bars the strategy was actively holding a position.Calmar Ratio: Measures the return relative to the maximum drawdown.Adjusted Calmar Ratio: A custom metric that divides the standard Calmar ratio by the "Time in Market" percentage, revealing the true risk-adjusted performance of the strategy for the exact time it was exposed to the market.Release NotesQuarter-Month Seasonality MatrixThe Quarter-Month Seasonality Matrix provides a highly granular approach to seasonal trading, replacing the rigid "sell after a specific day" logic with a fully customizable calendar grid.Instead of treating a whole month as broadly bullish or bearish, this feature divides every single month of the year into four distinct quarters (Q1 to Q4). You can precisely define micro-seasons and block entries or force exits during specific weeks of the year.How the Month is Split:Q1: Days 1 – 7Q2: Days 8 – 15Q3: Days 16 – 22Q4: Days 23 – End of MonthHow to Use the Matrix:Master Switch: Toggle Use Quarter-Month Seasonality Matrix? to activate the new logic. When enabled, this completely overrides the "Old Seasonal" logic.Checkbox Logic: Each checkbox represents a specific quarter of a month (e.g., "Feb Q3"). Checking a box marks that period as a "Bad Season" (Bearish).Trade Impact: During a checked quarter, the strategy will immediately close any open long positions (Sell: Seasonal Matrix) and block all new buy signals until the period is over.Example Use Case:If historical data shows mid-February weakness but a strong end-of-month rally, you can check Feb Q2 and Feb Q3. The strategy will automatically exit your position on February 8th and resume looking for long entries starting February 23rd (Q4).

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