tbiktag

Moving Regression Band Breakout strategy

Following the introduction of the Moving Regression Prediction Bands indicator (see link below), I'd like to propose how to utilize it in a simple band breakout strategy:

  • Go long after the candle closes above the upper band. The lower band (alternatively, the lower band minus the 14-period ATR or the central line) will serve as a support line.
  • Exit as soon as the candle closes below the support line.
  • To manage the risk of false breakouts, a fixed stop loss is set to the value of the support line at the time of opening a position. When the support line moves above the position opening price, shift the stop loss to breakeven.
The same logic but in reverse applies to short positions.

As an option, it is possible to allow long entries only when the slope of the Moving Regression curve is positive (and short entries when the slope is negative).

Model parameters:
  • Length and Polynomial Order define the lag and smoothness of the model.
  • Multiplier specifies the width of the channel.

As the default model parameter values, I set those that I found to provide optimal risk / reward ratio on the daily timeframe (for both trending and range-bound market). However, the settings are very flexible and can be well-adjusted to particular market conditions. Feel free to play around and leave feedback in the comments!


Here's the original Moving Regression Prediction Bands script:
릴리즈 노트: corrected the way of how the user-defined backtest period is handled
릴리즈 노트:
오픈 소스 스크립트

진정한 TradingView의 정신에 따라, 이 스크립트의 작성자는 스크립트를 오픈소스로 게시했기에 거래자들이 이해하고 확인할 수 있습니다. 작가님께 건배! 스크립트를 무료로 사용할 수 있지만, 게시물에서 이 코드를 재사용하는 것은 하우스룰을 따릅니다. 당신은 스크립트를 차트에 사용하기 위해 그것을 즐겨찾기 할 수 있습니다.

차트에 이 스크립트를 사용하시겠습니까?

코멘트

Hello, thanks for sharing this script. Is the stop loss hard coded in? Some of my orders don't stop out until a ridiculous amount is reached. Would you add a user input for stop loss? Thanks.
+4 응답
tbiktag rlone9440
@rlone9440, that's a fair point. The current implementation allows setting a stop loss only at one of the bands. But it will certainly be useful to make it flexible. Let's see if I can incorporate this in a non-invasive way.
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Hello, many thanks for sharing the strategy. I have one question, what modifications in the input parameters should I do if I want to trade with the strategy at 15 mins or 10 mins intervals. Thanks in advance..
+2 응답
Do you have a version of this script with Alerts ?
+2 응답
tbiktag gmeneguzzo
@gmeneguzzo, as far as I know, it's not possible to use an alertcondition in a Pine Strategies. You might want to consider using the original indicator (I just added alerts to it):
+2 응답
cryptolinx tbiktag
@tbiktag, now it is possible. ;) TV has deployed a brand new alert() function, which works with both, strategies and studies.
On strategies, you can choose between 3 diverend calls:

- Order fills only
- Order fills and alert() function calls
- alert() function calls only

TV Blog: https://www.tradingview.com/blog/en/our-new-alerts-allow-for-dynamic-messages-22588/
+2 응답
tbiktag cryptolinx
@cryptolinx, I guess I overlooked this, thanks for the link! I gotta check this
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@tbiktag, when I add alerts to this script it gives me an error about the "repainting" wondering if it's something that I'm doing wrong that I can fix? This strategy is great! Thanks for your contribution.
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tbiktag lawrenceleong
@lawrenceleong, Thanks for the feedback! I think the message that you're talking about is more of a warning than an error. But if you'll be having trouble with setting the alerts, you can always send me a message.
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@tbiktag, I would also like the version with alerts. Can you provide it for us?
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