With this strategy trying to rethink the standard pivot reversal strategy. Don't like the idea that for 10/10 pivot you have to wait for 10points to confirm it. So I used multiple pivot levels and calculated the average line. This way when we have a new high level approaching it smoothly. This way you can have a bit better price for entries but the risk of fake entries bit bigger as well. I'm using the usual trailing stop loss as an exit for this strategy.
Parameters for this strategy is pretty simple:
Left/Right bars for pivot points. Additional smoothing - you can additionally smooth pivot lines with EMA % for Traling SL
릴리즈 노트
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Did some changes to the strategy:
Left only 1 input for left/right parameter for pivots. So for the fixed "left' bars from input I smooth it with different "right" bars parameters up to input value.
Added different smoothed types, which points have more weights in smoothed pivot.
- Equal. All pivots points have similar weight.
- Closest. Pivots with lower "right" params have more weight.
- Farthest. Pivots with higher "right" params have more weight.
- Increased max value for left/right parameter to 50
릴리즈 노트
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Added backtesting range and strategy side selection
Unfortunately if I set the fees, for example at 0.075, the net profit drops drastically and the max draw down rises
QuantNomad
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@michele1375, yep, fees will make if worse for sure. I publish it without fees so everybody can apply their own fees.
eladlevi
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@QuantNomad thanks for getting this open sourced!
Does this work for all type of stocks / ETF / futures, or the best items are forex?
Also, what is the best time frame based on your testing?
Thanks!
E.
QuantNomad
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@eladlevi, It’s not open source, source code is protected.
For sure it doesn’t work for everything. I tested it mostly for crypto