LPB MicroCycles Strategy

2021년 11월 3일

What it is:

We use the Hodrick-Prescott filter applied to the closing price, and then take the outputted trendline and apply a custom vwap, the time frame of which is based on user input, not the default 1 day vwap . Then we go long if the value 2 bars ago is greater then one bar ago. We sell and color the bars and lines when the if the value of 2 bars ago is less than one bar ago.

Also included:
GUI for backtesting
ATR Based Stop Loss

How to use:
Go long when the indicators suggest it, and use the stop losses to reduce risk.


Best if paired with a volatility measurement (inside candles, average true range , bollingerband%B)