QuantNomad - Significant Pivot Reversal Strategy by QuantNomad
By QuantNomad
Performance Metrics
- Author: QuantNomad
- Symbol: BINANCE:BTCUSDT
- Timeframe: 1 hour
- Net P&L: +127,051.85 NONE (+126.62%)
- Win Rate: 38.1%
- Profit Factor: 1.704
- Max Drawdown: 14,340.83 NONE (8.50%)
- Total Trades: 402
- Sharpe Ratio: 0.797
Description
I'm working on improving the Pivot Points Reversal Strategy. As one of the ways to filter out insignificant levels I decided to check that pivot point is not above/below neighbors, but check that it's above/below at least by a certain amount. I use ATR, so in params, you can set length of ATR and also ATR multiplier. The new level will be calculated only if PP will be above/below neighbors by atr * atr_mult. It seems this approach might help in some cases. Here I have PivotPoint + RSI strategy: