SQZ Multiframe Strategy

4 thg 9, 2021

This is a first attempt to automate what my current strategy when trading is.
It uses 2 timeframes: the one you are currently using to see the chart and an "anchor trend" which is a higher order frame.
Supported timeframes are: 1m, 5m, 15m, 30m, 1H, 4H, 1D, 1W

The Strategy relies on two indicators:

• Squeeze Momentum Indicator [LazyBear]
  
• CMF
  

How does it works?
It looks for a moment when the following conditions are met.
For Long:

• Positive directionality in SQZM monitor in anchor timeframe
  
• Positive directionality in SQZM monitor in current timeframe
  
• Recent minimum in CMF
  

For Short:

• Negative directionality in SQZM monitor in anchor timeframe
  
• Negative directionality in SQZM monitor in current timeframe
  
• Recent maximum in CMF
  

After a BUY or SELL order is executed the plot will start showing two lines: A TP line, and a SL line.
The TP and SL move dynamically based on a greedy algorithm based on 3 input parameters.

• Min Profit to Start Moving SL (%): Sets an initial target for the trade.
  
• Maximum Possible of SL (%): This is the maximum amount possible for SL. If volatility is not too high, a shorter SL will be chosen based on Kaufman's Stops method
  
• Take profit factor: Is how much portion of the target I am taking as profit once the target is reached
  

Example for 5% Min profit:
When the first target is reached (+5%), the SL will be updated to 2.5% over the enter price.
When the second target is reached (+10%), the SL will be updated to 5% over the enter price.
Note: The strategy might abandon the position prematurely if a contrary signal is received while the trade is opened, and will change direction.


The Strategy has been backtested mostly for crypto. It might be good for stocks too, but the parameters mentioned might need some adjustments since price moves at a different rate.
Recommended timeframe is 4H for BTC , and 30min/1H for alts.

Comments and ideas are more than welcome!

14 thg 9, 2021

Phát hành các Ghi chú

Fixed repainting issues and added some parameters improvements