Strength of Movement

CRYPTO TRADERS PRO

This script is designed to generate a comparison of price action against historical movements. To complete this, the following are calculated:

• Average price actions close vs previous close;
  
• A baseline of price actions over x periods;
  
• A baseline of volume over x periods; and
  
• A percentile movement for volume when compared to it's baseline
  

From these calculations; we can infer a ratio for the below moves:

• Price is increasing w/ increasing volume
  
• Price is increasing w/ decreasing volume
  
• Price is decreasing w/ increasing volume
  
• Price is decreasing w/ decreasing volume
  

From here; we can establish a pattern and identify momentum changes and 0-cross trade opportunities.

By factoring in a STOP LOSS factor; as well as a buffer to mitigate false crosses; historic tests can be fined tuned for relative cryptocurrencies. For example; BTCUSD - with a buffer of '2' - provides a test result of 40% returns with a 0.812 Sharpe Ratio.