TFO + ATR Strategy with Trailing Stop Loss

2022년 1월 2일

This strategy is an experiment to learn what happens when The Trend Flex Oscillator (by Dr. John Ehlers) is used in conjunction with a volatility indicator like ATR. It was designed with cryptocurrency trading in mind.

The way I coded this experiment makes it unsuitable for bear market conditions.

When applied to a bull market, this trend-following strategy will open long positions when oversold price action appear to be reversing. It will typically close a position within a few days unless it gets caught in a bear market, in which case it holds on for dear life. I have tried to make back-testing very simple, but you should never trust it. It's merely and interesting tool for adjusting the many parameters that I've made editable in the configuration window. Those values include the ATR and TFO parameters, as well as setting a trailing stop loss. When closing a position, the strategy can optionally be told to ignore the trend analysis and only obey the trailing stop loss value. I've made an attempt to allow the user to define the minimum profit necessary to allow the strategy to close all all positions. In my observations, the 2H candlestick charts seem to produce the best results, although the parameters of the strategy could theoretically be adjusted to suit other time periods.

In summary...

• This strategy has a bias for HODL (Holds on to Losses) meaning that it provides NO STOP LOSS protection!
  
• Also note that the default behavior is designed for up to 15 open long orders, and executes one order to close them all at once.
  
• Opening a long position is predicated on The Trend Flex Oscillator (TFO) rising after being oversold, and ATR above a certain volatility threshold.
  
• Closing a long is handled either by TFO showing overbought while above a certain ATR level, or the Trailing Stop Loss. Pick one or both.
  
• If the strategy is allowed to sell before a Trailing Stop Loss is triggered, you can set a "must exceed %". Do not mistake this for a stop loss.
  
• Short positions are not supported in this version. Back-testing should NEVER be considered an accurate representation of actual trading results.
  

// portions © allanster (date window code)
// portions © Dr. John Ehlers (Trend Flex Oscillator)

This code is provided for educational purposes only. The results of this strategy should not be considered investment advice.
The user of this script acknowledges that it can result in serious financial loss when used as a trading tool

2022년 1월 2일

릴리즈 노트

There was an error in the way the Trailing Stop Loss was being calculated.