CCI-RSI MR — Strategy by monikabhay
By monikabhay
Performance Metrics
- Author: monikabhay
- Symbol: NASDAQ:BBBY
- Timeframe: 1 day
- Net P&L: −24,168.65 USD (−24.01%)
- Win Rate: 52.2%
- Profit Factor: 0.949
- Max Drawdown: 53,966.27 USD (42.21%)
- Total Trades: 464
- Sharpe Ratio: −0.083
Description
Jul 20, 2020Indicators:Bollinger Bands (20 period, 2σ)RSI (14 period) and Simple moving average of RSI (5 period)CCI (20 period)SMA (5 period)Entry Conditions:Buy when:Swing low (5) should be lower than the highest of lower BB (3 periods)Both RSI crossover RSI_5 and CCI crossover -100 should have happened within last 3 candles (including the current candle)Once all the above conditions are met, the close should be higher than SMA (5) within the next 3 candlesAfter condition 3 is satisfied, we enter the trade at next candle’s openStop loss will be at 1 tick lower than previous swing lowSell when:Swing high (5) should be higher than the lowest of upper BB (3 periods)Both RSI crossunder RSI_5 and CCI crossunder 100 should have happened within last 3 candles (including the current candle)Once all the above conditions are met, the close should be lower than SMA (5) within the next 3 candlesAfter condition 3 is satisfied, we enter the trade at next candle’s openStop loss will be at 1 tick higher than previous swing highExit Conditions:Since it’s mean reversion strategy we’ll be having only 2 target exits with a trailing stop loss after target price 1 is achieved.Target exit price 1 & 2 are decided based on the risk ‘R’ for each tradeDepending on the instrument and time frame a trailing stop loss of 0.5R or 1R has opted.A stop limit is placed @Entry_price +- 2*ATR(20) to offset the risk of losing significantly more than 1xR in a tradeJul 20, 2020Release NotesIndicators:Bollinger Bands (20 periods, 2σ)RSI (14 periods) and Simple moving average of RSI (5 periods)CCI (20 periods)SMA (5 periods)Entry Conditions:Buy when:Swing low (5) should be lower than the highest of lower BB (3 periods)Both RSI crossover RSI_5 and CCI crossover -100 should have happened within last 3 candles (including the current candle)Once all the above conditions are met, the close should be higher than SMA (5) within the next 3 candlesAfter condition 3 is satisfied, we enter the trade at next candle’s openStop loss will be at 1 tick lower than previous swing lowSell when:Swing high (5) should be higher than the lowest of upper BB (3 periods)Both RSI crossunder RSI_5 and CCI crossunder 100 should have happened within last 3 candles (including the current candle)Once all the above conditions are met, the close should be lower than SMA (5) within the next 3 candlesAfter condition 3 is satisfied, we enter the trade at next candle’s openStop loss will be at 1 tick higher than previous swing highExit Conditions:Since it’s mean reversion strategy we’ll be having only 2 target exits with a trailing stop loss after target price 1 is achieved.Target exit price 1 & 2 are decided based on the risk ‘R’ for each tradeDepending on the instrument and time frame a trailing stop loss of 0.5R or 1R opts.A stop limit is placed @Entry_price +- 2*ATR(20) to offset the risk of losing significantly more than 1xR in a trade