VTS Strategy [Quision] by paolo_gaballo
By paolo_gaballo
Performance Metrics
- Author: paolo_gaballo
- Symbol: ACTIVTRADES:GOLD
- Timeframe: 15 minutes
- Net P&L: +47,817.83 USD (+4.78%)
- Win Rate: 45.6%
- Profit Factor: 1.497
- Max Drawdown: 12,676.56 USD (1.22%)
- Total Trades: 360
Description
OverviewThis strategy is built on top of BackQuant's Volatility Trend Score indicator, an open-source tool that quantifies trend persistence through a volatility-adjusted trailing structure and a rolling comparison score.The original indicator answers a critical question: "Is the market trending with conviction, or is it chopping?" - by scoring how consistently an ATR-based trailing level advances over a configurable lookback window. This strategy wraps that core logic into a fully tradeable system with proper risk management, flexible exit modes, and session filtering.All credit for the core indicator logic goes to BackQuant. This publication adds only the strategy execution layer.What This Strategy Adds1. ATR-Based Stop LossA dedicated ATR stop loss (independent of the indicator's core ATR) protects every trade with a volatility-scaled risk level. The SL ATR period and multiplier are fully configurable, allowing you to tune risk independently from the signal generation.2. Risk:Reward Take ProfitThe take profit is calculated as a multiple of the stop loss distance. 3. Three Exit ModesThe strategy offers three distinct exit modes to match different trading styles:- Signal Flip Only, Exits only when the VTS score flips to the opposite regime. No SL/TP. Pure trend-following.- SL/TP Only, Exits only when the stop loss or take profit is hit. Ignores signal flips. Pure risk management.- Signal Flip + SL/TP, Both mechanisms are active. Maximum flexibility.4. Optional Trailing StopWhen enabled, the trailing stop progressively tightens the stop loss as the trade moves in your favor. It only activates after the position is in profit.5. Session FilterRestrict trading to specific hours. Configurable timezone support (Exchange, UTC, Europe/Rome, America/New_York, Europe/London, Asia/Tokyo).Recommended UsageThis strategy works best on instruments with clear trending behavior and sufficient volatility. The VTS core logic excels at filtering out choppy conditions, making it particularly effective on:Crypto pairs (BTC, ETH)Gold (XAUUSD)Major forex pairsIndex futuresSuggested starting settings:ATR Period: 35, Factor: 1.2 Loop: 1–45 (default)Long Threshold: 40, Short Threshold: -10 (default)SL ATR Period: 14, SL Multiplier: 3.0TP R:R: 6.0Session: adjust to your instrument's active hoursImportant NotesThe core indicator logic is entirely BackQuant's work. Please refer to the original publication for detailed documentation on the scoring mechanism, tuning guidelines, and theoretical foundations.