Multiband - Market Timer

2021년 4월 29일

This strategy is made for market timing in the bull markets. Hence, more ideal to use it with index ETFs or high conviction large caps.

This makes use of different custom indicators:

• Multi Band Channel - Overbought/Oversold Oscillator
  
• VixFix Linear regression
  
• Regular Linear Regression.
  

Multi Band Oscillator is used for identifying overbought/oversold state of the instrument. This is used in conjunction with VIXFix Linear Regression to to find market bottoms for entry conditions.

Few parameters are explained below:

• CheckBandDistance - If checked checks for narrow bands and ignore signals when crossover happens in narrow bands.
  
• ConsiderOversoldDaysCounter/ConsiderOverboughtDaysCounter - If checked, considers oversold and overbought crossovers only if instrument stays in oversold/overbought state for that many bars.
  
• UseLinearRegressionToOpen/UseLinearRegressionToClose - If checked, combines linear regression along with overbought/oversold condition for entry and exits.
  
• UseVixFixToOpen - Uses VixFixLinear regression to identify market bottom and this condition will be combined with oversold/overbought state. When using VixFixLinearRegression signal, we can allow generating entry signals during non crossover bars. Vix Fix Entry Range sets the max bar for multi band state to be for generating signal. For example, if Vix Fix Entry Range is set to oversold, signal is generated based on VixFix if price is below oversold.
  
• ExitStrategy - This can be trailing/reversal or combined. If set to reversal, exit will happen on state moving out of oversold region. If set to Trailing, stop will be based on trailing stops. Indicator shows what is the present stop value. If set to combined, exit will happen on stages. 30% of the remaining position gets closed upon reversals. State may go into oversold and return back many times before having full exit. If this happens, each time, 30% of the position will be closed. Full position closure happens on hitting training stop.
  

Candles are colored based on linear regression.

• Green -> positive and moving up
  
• Lime -> Positive moving down
  
• Orange -> Negative moving up
  
• Red -> Negative moving down
  
• Purple -> Possible VixFix peak - aka Market bottom
  

Another snapshot of the script along with Linear regression and VIXFix-LinReg indicators:



Related scripts are found here:

I have not put additional indicators to identify trend. But, can be combined with higher timeframe trend filters to generate better signals. Making this as invite only script as I find it very lucrative to time index ETFs. Please PM me if you want to try this script.

2021년 4월 30일

릴리즈 노트

• Added maxLossPercentage for protection. This is set to 50 by default to allow more room for instrument to recover during dips.
  
• VixStateEntry disabled for reversal Exits. If exit type is reversal, entry is only done in oversold region.
  

Note: Only parameter you need to set is Exit Strategy. More trending instruments such as Nasdaq, trailing stop is better method. More volatile (BTC) or less aggressive instruments (XJO) - reversal exits are better suited.

2021년 5월 2일

릴리즈 노트

Add optional donchian trend filter for strengthening entry and exits.

Original donchian trend filter is present here:

2021년 5월 6일

릴리즈 노트

Minor optimizations on oversold-overbought boundaries

2021년 5월 26일

릴리즈 노트

Add optional higher time frame moving average condition

2021년 5월 26일

릴리즈 노트

Added option to use different initial stop multiplier. Removed trail percentage stop.

2021년 6월 20일

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Ignore oversold days for entry when exit condition based on trailing stops

2021년 6월 20일

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Added option to use custom moving average for ATR. Settings optimized for non leveraged index ETFs - SPX, QQQ, DIA, IWM

2021년 6월 22일

릴리즈 노트

• Added trailProfitPercent - after which tighter trailing will be done.
  
• Updated Stoploss values before tightened trailing.
  

2021년 8월 26일

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• Updated implementation to use strategy.order instead of strategy.entry to allow regular topups
  
• Added trade stats table
  

2021년 9월 2일

릴리즈 노트

Added reduce percent input

2021년 9월 24일

릴리즈 노트

Default VIX-Fix entry changed to overbought (Meaning allow entry if it is not in overbought condition)

2021년 9월 25일

릴리즈 노트

Major update - added divergence based confirmations which makes the strategy much stronger

2021년 9월 29일

릴리즈 노트

Major updates:

• Refine divergence based filters.
  
• Updated display information on major entry criteria - this includes volatility, momentum and divergence.
  
• Added custom alerts using alert function. This will generate additional alerts based on overbought oversold conditions and can be used for reduce/reload positions.
  

New custom alert has to be configured in slightly different way:

2021년 9월 29일

릴리즈 노트

• Updated Divergence stats
  
• Move trade stats to bottom bar
  

2021년 10월 2일

릴리즈 노트

Added option to different ways of deriving dynamic overbought/oversold. This is based on the study - RSI-Dynamic-Overbought-Oversold-Range

2021년 10월 2일

릴리즈 노트

Remove few redundant lines of code and conditions and format input fields

2021년 10월 3일

릴리즈 노트

Updated alert texts for custom alerts.

2021년 10월 3일

릴리즈 노트

Update data displayed on tables. Instead of numbers, just displaying directions for momentum and volatility.

2021년 10월 5일

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Major update: Further optimization after testing more indices. Fixed a divergence-zigzag issue identified.

2021년 10월 5일

릴리즈 노트

Major update - Converted to pine 5 :)

2021년 10월 9일

릴리즈 노트

Major updates:

• Making use of libraries - which allowed additional optimization of settings with respect to bands
  
• Adding alert timer and alert auth to prevent exploiting alert behavior.
  

2021년 10월 27일

릴리즈 노트

Update libraries and auth key added

2021년 11월 6일

릴리즈 노트

Update input layout. No functionality changes

2022년 4월 23일

릴리즈 노트

Fix memory error

3월 27일

릴리즈 노트

Update Removed Key and other minor updates to inputs

3월 31일

릴리즈 노트

Update to V6 and Fixed the tables issue