Extended Recursive Bands Strategy

1 thg 12, 2022

The original indicator was created by alexgrover.

All credit goes to alexgrover for creating the indicator that this strategy uses.

This strategy was posted because there were multiple requests for it, and no strategy based on this indicator exists yet.

The Recursive Bands Indicator, an indicator specially created to be extremely efficient, I think you already know that calculation time is extra important in algorithmic trading, and this is the principal motivation for the creation of the proposed indicator. Originally described in Alex's paper "Pierrefeu, Alex (2019): Recursive Bands - A New Indicator For Technical Analysis", the indicator framework has been widely used in his previous uploaded indicators, however it would have been a shame to not upload it, however user experience being a major concern for me, I decided to add extra options, which explain the term "extended".

The Indicator
The indicator displays one upper and one lower band, every common usages applied to bands indicators such as support/resistance , breakout, trailing stop, etc, can also be applied to this one. Length controls how reactive the bands are, higher values will make the bands cross the price less often.

In order to provide more flexibility for the user alexgrover added the option to use various methods for the calculation of the indicator, therefore the indicator can use the average true range , standard deviation, average high-low range, and one totally exclusive method specially designed for this indicator.

Added logic:
We have implemented a logic that checks whether the bands have been following in the same direction for a set amount of bars. This logic must be true before it can enter trades. This is completely new code that was written by us entirely, and it makes a huge difference on strategy performance.

Strategy Long conditions:
1 — Price low is below the the lower band.
2 — The lower band keeps increasing in value until the 'lookback' setting amount of bars is reached.

Strategy Short conditions:
1 — Price high is above the upper band.
2 — The upper band keeps decreasing in value until the 'lookback' setting amount of bars is reached.

Strategy Properties:
We have set a default commission of 0.06% because these are Bybit's fees. The strategy uses an order size of 10% of equity, since drawdown is very low like this. We also use a 10 tick slippage to keep results realistic and account for this. All other settings were left as default apart from initial capital, just to decrease the size of the numbers.

3 thg 12, 2022

Phát hành các Ghi chú

• Updated bands design and strategy settings.
  

24 thg 12, 2022

Phát hành các Ghi chú

This is a massive update to the strategy, it is now profitable on multiple timeframes and cryptocurrencies with default settings. If you like it, adding it to your favorites would help us greatly!

The risk to reward on this strategy is now 3.4, this is generally very high.

Some trades on the 1h timeframe:

Some trades on the 15m timeframe:

• Added entry conditions option.
  
• Added RSI filter.
  
• Added MFI filter.
  
• Added ATR based stop loss.
  
• Added risk to reward based take profit.
  
• Added consolidation filter.
  
• Added ADX filter.
  
• Added option to enable/disable closing trades when a trade in the opposite direction is opened.
  
• Optimized settings to show more realistic and reliable results than before.
  
• Added trades on the chart.
  
• Added an option to show/hide plots and trades.
  
• Cleaned code and added clearer comments.