LPB MicroCycles Strategy by tathal
By tathal
Performance Metrics
- Author: tathal
- Symbol: AMEX:SPY
- Timeframe: 1 hour
- Net P&L: +6,433.51 USD (+6.43%)
- Win Rate: 58.4%
- Profit Factor: 1.208
- Max Drawdown: 3,774.55 USD (3.60%)
- Total Trades: 125
- Sharpe Ratio: 0.208
Description
What it is:We use the Hodrick-Prescott filter applied to the closing price, and then take the outputted trendline and apply a custom vwap, the time frame of which is based on user input, not the default 1 day vwap . Then we go long if the value 2 bars ago is greater then one bar ago. We sell and color the bars and lines when the if the value of 2 bars ago is less than one bar ago.Also included: GUI for backtestingATR Based Stop LossHow to use:Go long when the indicators suggest it, and use the stop losses to reduce risk.Best if paired with a volatility measurement (inside candles, average true range , bollingerband%B)