Toby Crabel's narrow range with historical volatility — Strategy by Tr0sT
By Tr0sT
Performance Metrics
- Author: Tr0sT
- Symbol: BITMEX:XBTM18
- Timeframe: 1 hour
- Net P&L: +28,694.21 USD (+28.69%)
- Win Rate: 46.1%
- Profit Factor: 1.772
- Max Drawdown: 4,949.23 USD (4.50%)
- Total Trades: 130
- Sharpe Ratio: 1.983
Description
1. Find bar with the smallest narrow range for a chosen period. Use hvol for filter.2. Place stop-order for long position at previous high and stop-order for short at previous low to catch breakout in any direction.3. Take profit on the next bar.