Backtested on hourly timeframes, win rates range between 35% to 50% on stocks with positive drifts (i.e. tendency to move upwards). Default setups are as follows:
- Average is computed using ( ) of 14 periods. By default, 1.4x ratio seems to work well on most large cap stocks. If it's too high, then amount of potential points for entry will decrease. But if it's too low, then this indicator becomes meaningless.
- ATR (for determining ), look back period is 14 (following conventions). I have noticed that the profits could change drastically when changed to different values for each individually security. Feel free to experiment around with this parameter.
Other information: This strategy is based off of one of my previous scripts; a script called "Relatively Strategy". The objective of this new script is to simplify the process of determining periods of low . In this new script, we assume prices are consolidating when current ATR is within its moving average value by +/- one standard deviation.
Inserted entry_signal3 (which measures the Drift of price movements) to determine the direction of trend. Strategy will now avoid entering a trade if entry_signal3 suggests prices are moving in a downtrend. Furthermore, this condition can be turned on/off in settings allowing user to compare backtested results.
Generally speaking, this feature will reduce the total number of trades taken, especially bad ones, hence likely to reduce drawdown and improve profit factors. By default, the lookback period length is 50 (which was arbitrarily determined, and seems to work well on hour charts of large cap stocks).
I have recently published an indicator script called "Drift Study (Inspired by Monte Carlo Simulations with BM)". This can be added to the charts for better visualizations.
If added to the chart, make sure the lookback periods are the same.
이 스크립트의 오써는 참된 트레이딩뷰의 스피릿으로 이 스크립트를 오픈소스로 퍼블리쉬하여 트레이더들로 하여금 이해 및 검증할 수 있도록 하였습니다. 오써를 응원합니다! 스크립트를 무료로 쓸 수 있지만, 다른 퍼블리케이션에서 이 코드를 재사용하는 것은 하우스룰을 따릅니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.
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