Wavelet Trade Strategy

30 thg 5, 2022

The strategy was based on Wavelet and Trend to find a small wave trade:
Wavelet Concepts
A wavelet is a wave-like oscillation with an amplitude that begins at zero, increases or decreases, and then returns to zero one or more times. Wavelets are termed a "brief oscillation".
1. A price of wavelets has been established, based on the bar and direction of its pulses.
2. Wavelet uses transforms to decompose the price and time series data.
3. Then, the obtained approximation and detail components after decomposition are used to forecast future prices.

What it does:
In each small wave, find potential high and low. filter by trend to know higher high or lower low and trade by this strategy.
you could not buy the bottom and sell the top every time, but is close in local range by a small wave.

How it does it:
The wavelet can be used to analyze waves in space and reduce noise, while retaining the important components. Whenever the ADX falls below a certain threshold, a bottom blue line will appear. It means the price is into range, otherwise trend.

How to use it:
The recommended time frame is less than 12 hours.
Set parameters to fine tune your strategy.
Use SL/TP as part of your strategy, and change date to find the most weak time.

Default parameter is for BTC fine tune:
The performance overview is from 2021-01-01 to 2022-05-30.

22 thg 6, 2022

Phát hành các Ghi chú

add small triangle up and down to show the wave may reverse.

22 thg 6, 2022

Phát hành các Ghi chú

Update the chart and the performance overview is from 2021-01-01 to 2022-06-22.

11 thg 9, 2022

Phát hành các Ghi chú

New feature:
1. Take half position profit in TP1. Sometimes the main TP is too far to reach, the strategy needs to avoid roller coaster and let TP not too close leading to few profit.
Sharpe Ratio will be better when taking partial profits, but results in less total profit in some cases.
2. Add counts on triangle when the wave may reverse, a larger number means the relative strength is more over.

The performance overview is from 2021-01-01 to 2022-09-10

10 thg 11, 2022

Phát hành các Ghi chú

Adjust parameter. Now we have a back-testing system to find out the best strategy, will update every 2 month to adapt to market changes. Don't miss it, just join the telegram channel.