Loft Strategy V4

2022년 3월 29일

This strategy is an advanced version of the Loft Strategy V1, I shared earlier. (Loft Strategy V1 consists of a kalman filter (by alexgrover) and a "stop and reverse" line which is following and the kalman filter. If the price goes in the same direction as the position side, the "stop and reverse" line approaches the kalman filter as set on the "Approach Decrease Step" parameter.)

In addition to the previous version, it includes a martingale like deviation and multiple take-profit.

Here it is some parameters definitions of the strategy:

• Kalman Filter: The higher this parameter, the faster and more aggressive the filter. Otherwise the filter goes very smoothly
  
• Beginning Approach: First approximation as a percentage of stop-n-reverse line
  
• Final Approach: Minimum approximation of stop-n-reverse line
  
• Approach Decrease Step: If the price moves in the same direction as the strategy, the approach percentage is reduced by this parameter. Otherwise nothing do
  
• Base Order Quantity: Initial capital of position
  
• Max Safe Order Attempt: This parameter determines the maximum number of times the strategy will raise the bet after losing in a row.
  
• Safe Order Deviation: if the last trade is loss, multiply the bet by this parameter (aka. martingale factor)
  
• Profit Deviation: if last trade in loss, multiply the take-profit points
  
• Max Order Quantity: Maximum capital allowed for a position
  
  
• TP1, TP2, TP3 : Take profit spots in percentage
  
• QT1, QT2, QT3: Amount of take-profit spots
  
  
• Stop Loss: Maximum stop loss allowed for a trade
  
  
• Long Entry, Short Entry: Only long side, only short side or both side
  
  
• Safe Stop After TP2: If the price reaches the TP2 point, move the stop-loss point to the entry price.
  
• Safe Stop After TP1: If the price reaches TP1, move the stop-loss point to the stop-n-reverse line.