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