Rate of Change StrategyRate of Change Strategy :
INTRODUCTION :
This strategy is based on the Rate of Change indicator. It compares the current price with that of a user-defined period of time ago. This makes it easy to spot trends and even speculative bubbles. The strategy is long term and very risky, which is why we've added a Stop Loss. There's also a money management method that allows you to reinvest part of your profits or reduce the size of your orders in the event of substantial losses.
RATE OF CHANGE (ROC) :
As explained above, the ROC is used to situate the current price compared to that of a certain period of time ago. The formula for calculating ROC in relation to the previous year is as follows :
ROC (365) = (close/close (365) - 1) * 100
With this formula we can find out how many percent the change in the current price is compared with 365 days ago, and thus assess the trend.
PARAMETERS :
ROC Length : Length of the ROC to be calculated. The current price is compared with that of the selected length ago.
ROC Bubble Signal : ROC value indicating that we are in a bubble. This value varies enormously depending on the financial product. For example, in the equity market, a bubble exists when ROC = 40, whereas in cryptocurrencies, a bubble exists when ROC = 150.
Stop Loss (in %) : Stop Loss value in percentage. This is the maximum trade value percentage that can be lost in a single trade.
Fixed Ratio : This is the amount of gain or loss at which the order quantity is changed. The default is 400, which means that for each $400 gain or loss, the order size is increased or decreased by an amount chosen by the user.
Increasing Order Amount : This is the amount to be added to or subtracted from orders when the fixed ratio is reached. The default is $200, which means that for every $400 gain, $200 is reinvested in the strategy. On the other hand, for every $400 loss, the order size is reduced by $200.
Initial capital : $1000
Fees : Interactive Broker fees apply to this strategy. They are set at 0.18% of the trade value.
Slippage : 3 ticks or $0.03 per trade. Corresponds to the latency time between the moment the signal is received and the moment the order is executed by the broker.
Important : A bot has been used to test the different parameters and determine which ones maximize return while limiting drawdown. This strategy is the most optimal on BITSTAMP:BTCUSD in 1D timeframe with the following parameters :
ROC Length = 365
ROC Bubble Signal = 180
Stop Loss (in %) = 6
LONG CONDITION :
We are in a LONG position if ROC (365) > 0 for at least two days. This allows us to limit noise and irrelevant signals to ensure that the ROC remains positive.
SHORT CONDITION :
We are in a SHORT position if ROC (365) < 0 for at least two days. We also open a SHORT position when the speculative bubble is about to burst. If ROC (365) > 180, we're in a bubble. If the bubble has been in existence for at least a week and the ROC falls back below this threshold, we can expect the asset to return to reasonable prices, and thus a downward trend. So we're opening a SHORT position to take advantage of this upcoming decline.
EXIT RULES FOR WINNING TRADE :
The strategy is self-regulating. We don't exit a LONG trade until a SHORT signal has arrived, and vice versa. So, to exit a winning position, you have to wait for the entry signal of the opposite position.
RISK MANAGEMENT :
This strategy is very risky, and we can easily end up on the wrong side of the trade. That's why we're going to manage our risk with a Stop Loss, limiting our losses as a percentage of the trade's value. By default, this percentage is set at 6%. Each trade will therefore take a maximum loss of 6%.
If the SL has been triggered, it probably means we were on the wrong side. This is why we change the direction of the trade when a SL is triggered. For example, if we were SHORT and lost 6% of the trade value, the strategy will close this losing trade and open a long position without taking into account the ROC value. This allows us to be in position all the time and not miss the best opportunities.
MONEY MANAGEMENT :
The fixed ratio method was used to manage our gains and losses. For each gain of an amount equal to the value of the fixed ratio, we increase the order size by a value defined by the user in the "Increasing order amount" parameter. Similarly, each time we lose an amount equal to the value of the fixed ratio, we decrease the order size by the same user-defined value. This strategy increases both performance and drawdown.
NOTE :
Please note that the strategy is backtested from 2017-01-01. As the timeframe is 1D, this strategy is a medium/long-term strategy. That's why only 34 trades were closed. Be careful, as the test sample is small and performance may not necessarily reflect what may happen in the future.
Enjoy the strategy and don't forget to take the trade :)
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Cracking Cryptocurrency - Bottom FeederThe Bottom Feeder
The Bottom Feeder is designed to algorithmically detect significantly oversold conditions in price that represent profitable buying opportunities. Combining this with it’s unique Stop and Target System, the Bottom Feeder is designed to return consistent return with minimal draw down. Whether used as a Market Bottom Detector or as a system for executing safe, profitable mean reversion trades, the Bottom Feeder is a powerful tool in any trader’s arsenal.
Bottom Feeder was designed to be used on BTCUSD , however it is also effective on other USD/USDT pairs. One will have to check the individual pair they wish to trade with the Strategy Tester to simulate performance.
Options
Let’s go through the input options one by one, so that you are able to comfortably navigate all that this indicator has to offer. The link below will display a picture of the layout of the settings for your convenience.
For the sake of simplicity, let’s note now that all settings marked **Conservative Mode** will not work in Aggressive Mode.
Mode: Determines how aggressively Bottom Feeder generates a buy signal. In Conservative Mode, trades can only be opened once per candle and the stop and target will update as new signals appear. In Aggressive Mode, a separate trade is opened each time Bottom Feeder signals, which may be multiple times within one Daily candle.
Plot Target and Stop Loss: Toggles on/off the visualized take profit and stop losses on the chart.
**Conservative Mode** TP Multiplier: This is an input box, it requires a float value. That is, it can accept either a whole number integer or a number with a decimal. This number will determine your Take Profit target. It will take whatever number is entered into this box and multiply the Average True Range against it to determine your Take Profit.
**Conservative Mode** SL Multiplier: See above - this will modify your Stop Loss Value.
**Conservative Mode** Average or Median True Range: This is a drop-down option, the two options are Average True Range or Median True Range. If Average True Range is selected, then this indicator will use the Average True Range calculation, that is, the average of a historical set of True Range values to determine the Average True Range value for Target and Stop Loss calculation. If Median True Range is selected, it will not take an average and will instead take the Median value of your historical look back period.
**Conservative Mode** True Range Length: This is an input that requires an integer. This will represent your historical look back period for Average/Median True Range calculation.
**Conservative Mode** True Range Smoothing: This is a drop-down with the following options: Exponential Moving Average ( EMA ), Simple Moving Average ( SMA ), Weighted Moving Average ( WMA ), Relative Moving Average (RMA). This will determine the smoothing type for calculating the Average True Range if it is selected. Note: if Median True Range is selected above, this option will not have any effect as there is no smoothing for a Median value.
**Conservative Mode** Custom True Range Value?: This is a true/false option that is false by default. If enabled, it will override the Average/Median True Range calculation in favor of a users custom True Range value to be input below.
**Conservative Mode** Custom True Range Value: This is an input box that requires a float value. If Custom True Range is enabled this is where a user will input their desired custom True Range value for Target and Stop Loss calculation.
Stop and Target Description
Because Bottom Feeder is designed only to scalp the various market bottoms that can appear over time in the market and not to identify trends or to trade ranges, it’s imperative that the indicator notify us not just to when to enter our trades, but when to exit! In the service of that, CC Bottom Feeder has a built in Stop and Target system that tracks and displays the stop loss and take profit levels of each individual open trade, whether in Aggressive or Conservative Mode.
Conservative Mode Targeting: In Conservative Mode, Bottom Feeder signals are aggregated into a compound trade. The signal will appear as a green label pointing up below a candle, and will appear upon a candle close. If Bottom Feeder then generates another signal the stop loss and target price will be updated. The process will continue until the aggregated trade completes in either direction. On a trade with multiple signals, a larger position is slowly entered into upon each buy signal.
Aggressive Mode Targeting: In Aggressive Mode, Bottom Feeder signals are individually displayed as they are generated, regardless of how many signals are generated on any single candle. If Bottom Feeder continues to signal, each individual open trade will have their own stop loss and target that will be displayed on the chart until the individual trade completes in either direction. As opposed to a large compound position, aggressive mode represents a higher number of independent signals with their own stop and target levels.
Stop losses and targets are designed to be hard, not soft. That is, they are intended to be stop market orders, not mental stop losses. If price wicks through the target or stop, it will activate.
RSI Donchian Channel [DCAUT]█ RSI Donchian Channel
📊 ORIGINALITY & INNOVATION
The RSI Donchian Channel represents an important synthesis of two complementary analytical frameworks: momentum oscillators and breakout detection systems. This indicator addresses a common limitation in traditional RSI analysis by replacing fixed overbought/oversold thresholds with adaptive zones derived from historical RSI extremes.
Key Enhancement:
Traditional RSI analysis relies on static threshold levels (typically 30/70), which may not adequately reflect changing market volatility regimes. This indicator adapts the reference zones dynamically based on the actual RSI behavior over the lookback period, helping traders identify meaningful momentum extremes relative to recent price action rather than arbitrary fixed levels.
The implementation combines the proven momentum measurement capabilities of RSI with Donchian Channel's breakout detection methodology, creating a framework that identifies both momentum exhaustion points and potential continuation signals through the same analytical lens.
📐 MATHEMATICAL FOUNDATION
Core Calculation Process:
Step 1: RSI Calculation
The Relative Strength Index measures momentum by comparing the magnitude of recent gains to recent losses:
Calculate price changes between consecutive periods
Separate positive changes (gains) from negative changes (losses)
Apply selected smoothing method (RMA standard, also supports SMA, EMA, WMA) to both gain and loss series
Compute Relative Strength (RS) as the ratio of smoothed gains to smoothed losses
Transform RS into bounded 0-100 scale using the formula: RSI = 100 - (100 / (1 + RS))
Step 2: Donchian Channel Application
The Donchian Channel identifies the highest and lowest RSI values within the specified lookback period:
Upper Channel: Highest RSI value over the lookback period, represents the recent momentum peak
Lower Channel: Lowest RSI value over the lookback period, represents the recent momentum trough
Middle Channel (Basis): Average of upper and lower channels, serves as equilibrium reference
Channel Width Dynamics:
The distance between upper and lower channels reflects RSI volatility. Wide channels indicate high momentum variability, while narrow channels suggest momentum consolidation and potential breakout preparation. The indicator monitors channel width over a 100-period window to identify squeeze conditions that often precede significant momentum shifts.
📊 COMPREHENSIVE SIGNAL ANALYSIS
Primary Signal Categories:
Breakout Signals:
Upper Breakout: RSI crosses above the upper channel, indicates momentum reaching new relative highs and potential trend continuation, particularly significant when accompanied by price confirmation
Lower Breakout: RSI crosses below the lower channel, suggests momentum reaching new relative lows and potential trend exhaustion or reversal setup
Breakout strength is enhanced when the channel is narrow prior to the breakout, indicating a transition from consolidation to directional movement
Mean Reversion Signals:
Upper Touch Without Breakout: RSI reaches the upper channel but fails to break through, may indicate momentum exhaustion and potential reversal opportunity
Lower Touch Without Breakout: RSI reaches the lower channel without breakdown, suggests potential bounce as momentum reaches oversold extremes
Return to Basis: RSI moving back toward the middle channel after touching extremes signals momentum normalization
Trend Strength Assessment:
Sustained Upper Channel Riding: RSI consistently remains near or above the upper channel during strong uptrends, indicates persistent bullish momentum
Sustained Lower Channel Riding: RSI stays near or below the lower channel during strong downtrends, reflects persistent bearish pressure
Basis Line Position: RSI position relative to the middle channel helps identify the prevailing momentum bias
Channel Compression Patterns:
Squeeze Detection: Channel width narrowing to 100-period lows indicates momentum consolidation, often precedes significant directional moves
Expansion Phase: Channel widening after a squeeze confirms the initiation of a new momentum regime
Persistent Narrow Channels: Extended periods of tight channels suggest market indecision and accumulation/distribution phases
🎯 STRATEGIC APPLICATIONS
Trend Continuation Strategy:
This approach focuses on identifying and trading momentum breakouts that confirm established trends:
Identify the prevailing price trend using higher timeframe analysis or trend-following indicators
Wait for RSI to break above the upper channel in uptrends (or below the lower channel in downtrends)
Enter positions in the direction of the breakout when price action confirms the momentum shift
Place protective stops below the recent swing low (long positions) or above swing high (short positions)
Target profit levels based on prior swing extremes or use trailing stops to capture extended moves
Exit when RSI crosses back through the basis line in the opposite direction
Mean Reversion Strategy:
This method capitalizes on momentum extremes and subsequent corrections toward equilibrium:
Monitor for RSI reaching the upper or lower channel boundaries
Look for rejection signals (price reversal patterns, volume divergence) when RSI touches the channels
Enter counter-trend positions when RSI begins moving back toward the basis line
Use the basis line as the initial profit target for mean reversion trades
Implement tight stops beyond the channel extremes to limit risk on failed reversals
Scale out of positions as RSI approaches the basis line and closes the position when RSI crosses the basis
Breakout Preparation Strategy:
This approach positions traders ahead of potential volatility expansion from consolidation phases:
Identify squeeze conditions when channel width reaches 100-period lows
Monitor price action for consolidation patterns (triangles, rectangles, flags) during the squeeze
Prepare conditional orders for breakouts in both directions from the consolidation
Enter positions when RSI breaks out of the narrow channel with expanding width
Use the channel width expansion as a confirmation signal for the breakout's validity
Manage risk with stops just inside the opposite channel boundary
Multi-Timeframe Confluence Strategy:
Combining RSI Donchian Channel analysis across multiple timeframes can improve signal reliability:
Identify the primary trend direction using a higher timeframe RSI Donchian Channel (e.g., daily or weekly)
Use a lower timeframe (e.g., 4-hour or hourly) to time precise entry points
Enter long positions when both timeframes show RSI above their respective basis lines
Enter short positions when both timeframes show RSI below their respective basis lines
Avoid trades when timeframes provide conflicting signals (e.g., higher timeframe below basis, lower timeframe above)
Exit when the higher timeframe RSI crosses its basis line in the opposite direction
Risk Management Guidelines:
Effective risk management is essential for all RSI Donchian Channel strategies:
Position Sizing: Calculate position sizes based on the distance between entry point and stop loss, limiting risk to 1-2% of capital per trade
Stop Loss Placement: For breakout trades, place stops just inside the opposite channel boundary; for mean reversion trades, use stops beyond the channel extremes
Profit Targets: Use the basis line as a minimum target for mean reversion trades; for trend trades, target prior swing extremes or use trailing stops
Channel Width Context: Increase position sizes during narrow channels (lower volatility) and reduce sizes during wide channels (higher volatility)
Correlation Awareness: Monitor correlations between traded instruments to avoid over-concentration in similar setups
📋 DETAILED PARAMETER CONFIGURATION
RSI Source:
Defines the price data series used for RSI calculation:
Close (Default): Standard choice providing end-of-period momentum assessment, suitable for most trading styles and timeframes
High-Low Average (HL2): Reduces the impact of closing auction dynamics, useful for markets with significant end-of-day volatility
High-Low-Close Average (HLC3): Provides a more balanced view incorporating the entire period's range
Open-High-Low-Close Average (OHLC4): Offers the most comprehensive price representation, helpful for identifying overall period sentiment
Strategy Consideration: Use Close for end-of-period signals, HL2 or HLC3 for intraday volatility reduction, OHLC4 for capturing full period dynamics
RSI Length:
Controls the number of periods used for RSI calculation:
Short Periods (5-9): Highly responsive to recent price changes, produces more frequent signals with increased false signal risk, suitable for short-term trading and volatile markets
Standard Period (14): Widely accepted default balancing responsiveness with stability, appropriate for swing trading and intermediate-term analysis
Long Periods (21-28): Produces smoother RSI with fewer signals but more reliable trend identification, better for position trading and reducing noise in choppy markets
Optimization Approach: Test different lengths against historical data for your specific market and timeframe, consider using longer periods in ranging markets and shorter periods in trending markets
RSI MA Type:
Determines the smoothing method applied to price changes in RSI calculation:
RMA (Relative Moving Average - Default): Wilder's original smoothing method providing stable momentum measurement with gradual response to changes, maintains consistency with classical RSI interpretation
SMA (Simple Moving Average): Treats all periods equally, responds more quickly to changes than RMA but may produce more whipsaws in volatile conditions
EMA (Exponential Moving Average): Weights recent periods more heavily, increases responsiveness at the cost of potential noise, suitable for traders prioritizing early signal generation
WMA (Weighted Moving Average): Applies linear weighting favoring recent data, offers a middle ground between SMA and EMA responsiveness
Selection Guidance: Maintain RMA for consistency with traditional RSI analysis, use EMA or WMA for more responsive signals in fast-moving markets, apply SMA for maximum simplicity and transparency
DC Length:
Specifies the lookback period for Donchian Channel calculation on RSI values:
Short Periods (10-14): Creates tight channels that adapt quickly to changing momentum conditions, generates more frequent trading signals but increases sensitivity to short-term RSI fluctuations
Standard Period (20): Balances channel responsiveness with stability, aligns with traditional Bollinger Bands and moving average periods, suitable for most trading styles
Long Periods (30-50): Produces wider, more stable channels that better represent sustained momentum extremes, reduces signal frequency while improving reliability, appropriate for position traders and higher timeframes
Calibration Strategy: Match DC length to your trading timeframe (shorter for day trading, longer for swing trading), test channel width behavior during different market regimes, consider using adaptive periods that adjust to volatility conditions
Market Adaptation: Use shorter DC lengths in trending markets to capture momentum shifts earlier, apply longer periods in ranging markets to filter noise and focus on significant extremes
Parameter Combination Recommendations:
Scalping/Day Trading: RSI Length 5-9, DC Length 10-14, EMA or WMA smoothing for maximum responsiveness
Swing Trading: RSI Length 14, DC Length 20, RMA smoothing for balanced analysis (default configuration)
Position Trading: RSI Length 21-28, DC Length 30-50, RMA or SMA smoothing for stable signals
High Volatility Markets: Longer RSI periods (21+) with standard DC length (20) to reduce noise
Low Volatility Markets: Standard RSI length (14) with shorter DC length (10-14) to capture subtle momentum shifts
📈 PERFORMANCE ANALYSIS & COMPETITIVE ADVANTAGES
Adaptive Threshold Mechanism:
Unlike traditional RSI analysis with fixed 30/70 thresholds, this indicator's Donchian Channel approach provides several improvements:
Context-Aware Extremes: Overbought/oversold levels adjust automatically based on recent momentum behavior rather than arbitrary fixed values
Volatility Adaptation: In low volatility periods, channels narrow to reflect tighter momentum ranges; in high volatility, channels widen appropriately
Market Regime Recognition: The indicator implicitly adapts to different market conditions without manual threshold adjustments
False Signal Reduction: Adaptive channels help reduce premature reversal signals that often occur with fixed thresholds during strong trends
Signal Quality Characteristics:
The indicator's dual-purpose design provides distinct advantages for different trading objectives:
Breakout Trading: Channel boundaries offer clear, objective breakout levels that update dynamically, eliminating the ambiguity of when momentum becomes "too high" or "too low"
Mean Reversion: The basis line provides a natural profit target for reversion trades, representing the midpoint of recent momentum extremes
Trend Strength: Persistent channel boundary riding offers an objective measure of trend strength without additional indicators
Consolidation Detection: Channel width analysis provides early warning of potential volatility expansion from compression phases
Comparative Analysis:
When compared to traditional RSI implementations and other momentum frameworks:
vs. Fixed Threshold RSI: Provides market-adaptive reference levels rather than static values, helping to reduce false signals during trending markets where RSI can remain "overbought" or "oversold" for extended periods
vs. RSI Bollinger Bands: Offers clearer breakout signals and more intuitive extreme identification through actual high/low boundaries rather than statistical standard deviations
vs. Stochastic Oscillator: Maintains RSI's momentum measurement advantages (unbounded calculation avoiding scale compression) while adding the breakout detection capabilities of Donchian Channels
vs. Standard Donchian Channels: Applies breakout methodology to momentum space rather than price, providing earlier signals of potential trend changes before price breakouts occur
Performance Characteristics:
The indicator exhibits specific behavioral patterns across different market conditions:
Trending Markets: Excels at identifying momentum continuation through channel breakouts, RSI tends to ride one channel boundary during strong trends, providing trend confirmation
Ranging Markets: Channel width narrows during consolidation, offering early preparation signals for potential breakout trading opportunities
High Volatility: Channels widen to reflect increased momentum variability, automatically adjusting signal sensitivity to match market conditions
Low Volatility: Channels contract, making the indicator more sensitive to subtle momentum shifts that may be significant in calm market environments
Transition Periods: Channel squeezes often precede major trend changes, offering advance warning of potential regime shifts
Limitations and Considerations:
Users should be aware of certain operational characteristics:
Lookback Dependency: Channel boundaries depend entirely on the lookback period, meaning the indicator has no predictive element beyond identifying current momentum relative to recent history
Lag Characteristics: As with all moving average-based indicators, RSI calculation introduces lag, and channel boundaries update only as new extremes occur within the lookback window
Range-Bound Sensitivity: In extremely tight ranges, channels may become very narrow, potentially generating excessive signals from minor momentum fluctuations
Trending Persistence: During very strong trends, RSI may remain at channel extremes for extended periods, requiring patience for mean reversion setups or commitment to trend-following approaches
No Absolute Levels: Unlike traditional RSI, this indicator provides no fixed reference points (like 50), making it less suitable for strategies that depend on absolute momentum readings
USAGE NOTES
This indicator is designed for technical analysis and educational purposes to help traders understand momentum dynamics and identify potential trading opportunities. The RSI Donchian Channel has limitations and should not be used as the sole basis for trading decisions.
Important considerations:
Performance varies significantly across different market conditions, timeframes, and instruments
Historical signal patterns do not guarantee future results, as market behavior continuously evolves
Effective use requires understanding of both RSI momentum principles and Donchian Channel breakout concepts
Risk management practices (stop losses, position sizing, diversification) are essential for any trading application
Consider combining with additional analytical tools such as volume analysis, price action patterns, or trend indicators for confirmation
Backtest thoroughly on your specific instruments and timeframes before live trading implementation
Be aware that optimization on historical data may lead to curve-fitting and poor forward performance
The indicator performs best when used as part of a comprehensive trading methodology that incorporates multiple forms of market analysis, sound risk management, and realistic expectations about win rates and drawdowns.
Alpha - Combined BreakoutThis Pine Script indicator, "Alpha - Combined Breakout," is a combination between Smart Money Breakout Signals and UT Bot Alert, The UT Bot Alert indicator was initially developer by Yo_adriiiiaan
The idea of original code belongs HPotter.
This Indicator helps you identify potential trading opportunities by combining two distinct strategies: Smart Money Breakout and a modified UT Bot (likely a variation of the Ultimate Trend Bot). It provides visual signals, draws lines for potential take profit (TP) and stop loss (SL) levels, and includes a dashboard to track performance metrics.
Tutorial:
Understanding and Using the "Alpha - Combined Breakout" Indicator
This indicator is designed for traders looking for confirmation of market direction and potential entry/exit points by blending structural analysis with a trend-following oscillator.
How it Works (General Concept)
The indicator combines two main components:
Smart Money Breakout: This part identifies significant breaks in market structure, which "smart money" traders often use to gauge shifts in supply and demand. It looks for higher highs/lows or lower highs/lows and flags when these structural points are broken.
UT Bot: This is a trend-following component that generates buy and sell signals based on price action relative to an Average True Range (ATR) based trailing stop.
You can choose to use these signals independently or combined to generate trading alerts and visual cues on your chart. The dashboard provides a quick overview of how well the signals are performing based on your chosen settings and display mode.
Parameters and What They Do
Let's break down each input parameter:
1. Smart Money Inputs
These settings control how the indicator identifies market structure and breakouts.
swingSize (Market Structure Time-Horizon):
What it does: This integer value defines the number of candles used to identify significant "swing" (pivot) points—highs and lows.
Effect: A larger swingSize creates a smoother market structure, focusing on longer-term trends. This means signals might appear less frequently and with some delay but could be more reliable for higher timeframes or broader market movements. A smaller swingSize will pick up more minor market structure changes, leading to more frequent but potentially noisier signals, suitable for lower timeframes or scalping.
Analogy: Think of it like a zoom level on your market structure map. Higher values zoom out, showing only major mountain ranges. Lower values zoom in, showing every hill and bump.
bosConfType (BOS Confirmation Type):
What it does: This string input determines how a Break of Structure (BOS) is confirmed. You have two options:
'Candle Close': A breakout is confirmed only if a candle's closing price surpasses the previous swing high (for bullish) or swing low (for bearish).
'Wicks': A breakout is confirmed if any part of the candle (including its wick) surpasses the previous swing high or low.
Effect: 'Candle Close' provides stronger, more conservative confirmation, as it implies sustained price movement beyond the structure. 'Wicks' provides earlier, more aggressive signals, as it captures momentary breaches of the structure.
Analogy: Imagine a wall. 'Candle Close' means the whole person must get over the wall. 'Wicks' means even a finger touching over the top counts as a breach.
choch (Show CHoCH):
What it does: A boolean (true/false) input to enable or disable the display of "Change of Character" (CHoCH) labels. CHoCH indicates the first structural break against the current dominant trend.
Effect: When true, it helps identify early signs of a potential trend reversal, as it marks where the market's "character" (its tendency to make higher highs/lows or lower lows/highs) first changes.
BULL (Bullish Color) & BEAR (Bearish Color):
What they do: These color inputs allow you to customize the visual appearance of bullish and bearish signals and lines drawn by the Smart Money component.
Effect: Purely cosmetic, helps with visual identification on the chart.
sm_tp_sl_multiplier (SM TP/SL Multiplier (ATR)):
What it does: A float value that acts as a multiplier for the Average True Range (ATR) to calculate the Take Profit (TP) and Stop Loss (SL) levels specifically when you're in "Smart Money Only" mode. It uses the ATR calculated by the UT Bot's nLoss_ut as its base.
Effect: A higher multiplier creates wider TP/SL levels, potentially leading to fewer trades but larger wins/losses. A lower multiplier creates tighter TP/SL levels, potentially leading to more frequent but smaller wins/losses.
2. UT Bot Alerts Inputs
These parameters control the behavior and sensitivity of the UT Bot component.
a_ut (UT Key Value (Sensitivity)):
What it does: This integer value adjusts the sensitivity of the UT Bot.
Effect: A higher value makes the UT Bot less sensitive to price fluctuations, resulting in fewer and potentially more reliable signals. A lower value makes it more sensitive, generating more signals, which can include more false signals.
Analogy: Like a noise filter. Higher values filter out more noise, keeping only strong signals.
c_ut (UT ATR Period):
What it does: This integer sets the look-back period for the Average True Range (ATR) calculation used by the UT Bot. ATR measures market volatility.
Effect: This period directly influences the calculation of the nLoss_ut (which is a_ut * xATR_ut), thus defining the distance of the trailing stop loss and take profit levels. A longer period makes the ATR smoother and less reactive to sudden price spikes. A shorter period makes it more responsive.
h_ut (UT Signals from Heikin Ashi Candles):
What it does: A boolean (true/false) input to determine if the UT Bot calculations should use standard candlestick data or Heikin Ashi candlestick data.
Effect: Heikin Ashi candles smooth out price action, often making trends clearer and reducing noise. Using them for UT Bot signals can lead to smoother, potentially delayed signals that stay with a trend longer. Standard candles are more reactive to raw price changes.
3. Line Drawing Control Buttons
These crucial boolean inputs determine which type of signals will trigger the drawing of TP/SL/Entry lines and flags on your chart. They act as a priority system.
drawLinesUtOnly (Draw Lines: UT Only):
What it does: If checked (true), lines and flags will only be drawn when the UT Bot generates a buy/sell signal.
Effect: Isolates UT Bot signals for visual analysis.
drawLinesSmartMoneyOnly (Draw Lines: Smart Money Only):
What it does: If checked (true), lines and flags will only be drawn when the Smart Money Breakout logic generates a bullish/bearish breakout.
Effect: Overrides drawLinesUtOnly if both are checked. Isolates Smart Money signals.
drawLinesCombined (Draw Lines: UT & Smart Money (Combined)):
What it does: If checked (true), lines and flags will only be drawn when both a UT Bot signal AND a Smart Money Breakout signal occur on the same bar.
Effect: Overrides both drawLinesUtOnly and drawLinesSmartMoneyOnly if checked. Provides the strictest entry criteria for line drawing, looking for strong confluence.
Dashboard Metrics Explained
The dashboard provides performance statistics based on the lines drawing control button selected. For example, if "Draw Lines: UT Only" is active, the dashboard will show stats only for UT Bot signals.
Total Signals: The total number of buy or sell signals generated by the selected drawing mode.
TP1 Win Rate: The percentage of signals where the price reached Take Profit 1 (TP1) before hitting the Stop Loss.
TP2 Win Rate: The percentage of signals where the price reached Take Profit 2 (TP2) before hitting the Stop Loss.
TP3 Win Rate: The percentage of signals where the price reached Take Profit 3 (TP3) before hitting the Stop Loss. (Note: TP1, TP2, TP3 are in order of distance from entry, with TP3 being furthest.)
SL before any TP rate: This crucial metric shows the number of times the Stop Loss was hit / the percentage of total signals where the stop loss was triggered before any of the three Take Profit levels were reached. This gives you a clear picture of how often a trade resulted in a loss without ever moving into profit target territory.
Short Tutorial: How to Use the Indicator
Add to Chart: Open your TradingView chart, go to "Indicators," search for "Alpha - Combined Breakout," and add it to your chart.
Access Settings: Once added, click the gear icon next to the indicator name on your chart to open its settings.
Choose Your Signal Mode:
For UT Bot only: Uncheck "Draw Lines: Smart Money Only" and "Draw Lines: UT & Smart Money (Combined)". Ensure "Draw Lines: UT Only" is checked.
For Smart Money only: Uncheck "Draw Lines: UT Only" and "Draw Lines: UT & Smart Money (Combined)". Ensure "Draw Lines: Smart Money Only" is checked.
For Combined Signals: Check "Draw Lines: UT & Smart Money (Combined)". This will override the other two.
Adjust Parameters:
Start with default settings. Observe how the signals appear on your chosen asset and timeframe.
Refine Smart Money: If you see too many "noisy" market structure breaks, increase swingSize. If you want earlier breakouts, try "Wicks" for bosConfType.
Refine UT Bot: Adjust a_ut (Sensitivity) to get more or fewer UT Bot signals. Change c_ut (ATR Period) if you want larger or smaller TP/SL distances. Experiment with h_ut to see if Heikin Ashi smoothing suits your trading style.
Adjust TP/SL Multiplier: If using "Smart Money Only" mode, fine-tune sm_tp_sl_multiplier to set appropriate risk/reward levels.
Interpret Signals & Lines:
Buy/Sell Flags: These indicate the presence of a signal based on your selected drawing mode.
Entry Line (Blue Solid): This is where the signal was generated (usually the close price of the signal candle).
SL Line (Red/Green Solid): Your calculated stop loss level.
TP Lines (Dashed): Your three calculated take profit levels (TP1, TP2, TP3, where TP3 is the furthest target).
Smart Money Lines (BOS/CHoCH): These lines indicate horizontal levels where market structure breaks occurred. CHoCH labels might appear at the first structural break against the prior trend.
Monitor Dashboard: Pay attention to the dashboard in the top right corner. This dynamically updates to show the win rates for each TP and, crucially, the "SL before any TP rate." Use these statistics to evaluate the effectiveness of the indicator's signals under your current settings and chosen mode.
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Set Alerts (Optional): You can set up alerts for any of the specific signals (UT Bot Long/Short, Smart Money Bullish/Bearish, or the "Line Draw" combined signals) to notify you when they occur, even if you're not actively watching the chart.
By following this tutorial, you'll be able to effectively use and customize the "Alpha - Combined Breakout" indicator to suit your trading strategy.
Martingale with MACD+KDJ opening conditionsStrategy Overview:
This strategy is based on a Martingale trading approach, incorporating MACD and KDJ indicators. It features pyramiding, trailing stops, and dynamic profit-taking mechanisms, suitable for both long and short trades. The strategy increases position size progressively using a Multiplier, a key feature of Martingale systems.
Key Concepts:
Martingale Strategy: A trading system where positions are doubled or increased after a loss to recover previous losses with a single successful trade. In this script, the position size is incremented using a Multiplier for each addition.
Pyramiding: Allows adding to existing trades when market conditions are favorable, enhancing profitability during trends.
Settings:
Basic Inputs:
Initial Order: Defines the starting size of the position.
Default: 150.0
MACD Settings: Customize the fast, slow, and signal smoothing lengths.
Default: Fast Length: 9, Slow Length: 26, Signal Smoothing: 9
KDJ Settings: Customize the length and smoothing parameters for KDJ.
Default: Length: 14, Smooth K: 3, Smooth D: 3
Max Additions: Sets the number of additional positions (pyramiding).
Default: 5 (Min: 1, Max: 10)
Position Sizing: Percent to add to positions on favorable conditions.
Default: 1.0%
Martingale Multiplier:
Add Multiplier: This value controls the scaling of additional positions according to the Martingale principle. After each loss, a new position is added, and its size is increased by the Multiplier factor. For example, with a multiplier of 2, each new addition will be twice as large as the previous one, accelerating recovery if the price moves favorably.
Default: 1.0 (no multiplication)
Can be adjusted up to 10x to aggressively increase position size after losses.
Trade Execution:
Long Trades:
Entry Condition: A long position is opened when the MACD line crosses over the signal line, and the KDJ’s %K crosses above %D.
Additions (Martingale): After the initial long position, new positions are added if the price drops by the defined percentage, and each new addition is increased using the Multiplier. This continues up to the set Max Additions.
Short Trades:
Entry Condition: A short position is opened when the MACD line crosses under the signal line, and the KDJ’s %K crosses below %D.
Additions (Martingale): After the initial short position, new positions are added if the price rises by the defined percentage, and each new addition is increased using the Multiplier.
Exit Conditions:
Take Profit: Exits are triggered when the price reaches the take-profit threshold.
Stop Loss: If the price moves unfavorably, the position will be closed at the set stop-loss level.
Trailing Stop: Adjusts dynamically as the price moves in favor of the trade to lock in profits.
On-Chart Visuals:
Long Signals: Blue triangles below the bars indicate long entries, and green triangles mark additional long positions.
Short Signals: Red triangles above the bars indicate short entries, and orange triangles mark additional short positions.
Information Table:
The strategy displays a table with key metrics:
Open Price: The entry price of the trade.
Average Price: The average price of the current position.
Additions: The number of additional positions taken.
Next Add Price: The price level for the next position.
Take Profit: The price at which profits will be taken.
Stop Loss: The stop-loss level to minimize risk.
Usage Instructions:
Adjust the parameters to your trading style using the input settings.
The Multiplier amplifies your position size after each addition, so use it cautiously, especially in volatile markets.
Monitor the signals and table on the chart for entry/exit decisions and trade management.
Larry Connors %b Strategy (Bollinger Band)Larry Connors’ %b Strategy is a mean-reversion trading approach that uses Bollinger Bands to identify buy and sell signals based on the %b indicator. This strategy was developed by Larry Connors, a renowned trader and author known for his systematic, data-driven trading methods, particularly those focusing on short-term mean reversion.
The %b indicator measures the position of the current price relative to the Bollinger Bands, which are volatility bands placed above and below a moving average. The strategy specifically targets times when prices are oversold within a long-term uptrend and aims to capture rebounds by buying at relatively low points and selling at relatively high points.
Strategy Rules
The basic rules of the %b Strategy are:
1. Trend Confirmation: The closing price must be above the 200-day moving average. This filter ensures that trades are made in alignment with a longer-term uptrend, thereby avoiding trades against the primary market trend.
2. Oversold Conditions: The %b indicator must be below 0.2 for three consecutive days. The %b value below 0.2 indicates that the price is near the lower Bollinger Band, suggesting an oversold condition.
3. Entry Signal: Enter a long position at the close when conditions 1 and 2 are met.
4. Exit Signal: Exit the position when the %b value closes above 0.8, signaling an overbought condition where the price is near the upper Bollinger Band.
How the Strategy Works
This strategy operates on the premise of mean reversion, which suggests that extreme price movements will revert to the mean over time. By entering positions when the %b value indicates an oversold condition (below 0.2) in a confirmed uptrend, the strategy attempts to capture short-term price rebounds. The exit rule (when %b is above 0.8) aims to lock in profits once the price reaches an overbought condition, often near the upper Bollinger Band.
Who Was Larry Connors?
Larry Connors is a well-known figure in the world of financial markets and trading. He co-authored several influential trading books, including “Short-Term Trading Strategies That Work” and “High Probability ETF Trading.” Connors is recognized for his quantitative approach, focusing on systematic, rules-based strategies that leverage historical data to validate trading edges.
His work primarily revolves around short-term trading strategies, often using technical indicators like RSI (Relative Strength Index), Bollinger Bands, and moving averages. Connors’ methodologies have been widely adopted by traders seeking structured approaches to exploit short-term inefficiencies in the market.
Risks of the Strategy
While the %b Strategy can be effective, particularly in mean-reverting markets, it is not without risks:
1. Mean Reversion Assumption: The strategy is based on the assumption that prices will revert to the mean. In trending or sharply falling markets, this reversion may not occur, leading to sustained losses.
2. False Signals in Choppy Markets: In volatile or sideways markets, the strategy may generate multiple false signals, resulting in whipsaw trades that can erode capital through frequent small losses.
3. No Stop Loss: The basic implementation of the strategy does not include a stop loss, which increases the risk of holding losing trades longer than intended, especially if the market continues to move against the position.
4. Performance During Market Crashes: During major market downturns, the strategy’s buy signals could be triggered frequently as prices decline, compounding losses without the presence of a risk management mechanism.
Scientific References and Theoretical Basis
The %b Strategy relies on the concept of mean reversion, which has been extensively studied in finance literature. Studies by Avellaneda and Lee (2010) and Bouchaud et al. (2018) have demonstrated that mean-reverting strategies can be profitable in specific market environments, particularly when combined with volatility filters like Bollinger Bands. However, the same studies caution that such strategies are highly sensitive to market conditions and often perform poorly during periods of prolonged trends.
Bollinger Bands themselves were popularized by John Bollinger and are widely used to assess price volatility and detect potential overbought and oversold conditions. The %b value is a critical part of this analysis, as it standardizes the position of price relative to the bands, making it easier to compare conditions across different securities and time frames.
Conclusion
Larry Connors’ %b Strategy is a well-known mean-reversion technique that leverages Bollinger Bands to identify buying opportunities in uptrending markets when prices are temporarily oversold. While the strategy can be effective under the right conditions, traders should be aware of its limitations and risks, particularly in trending or highly volatile markets. Incorporating risk management techniques, such as stop losses, could help mitigate some of these risks, making the strategy more robust against adverse market conditions.
Futures Risk CalculatorFutures Risk Calculator Script - Description
The Futures Risk Calculator (FRC) is a comprehensive tool designed to help traders effectively manage risk when trading futures contracts. This script allows users to calculate risk/reward ratios directly on the chart by specifying their entry price and stop loss. It's an ideal tool for futures traders who want to quantify their potential losses and gains with precision, based on their trading account size and the number of contracts they trade.
What the Script Does:
1. Risk and Reward Calculation:
The script calculates your total risk in dollars and as a percentage of your account size based on the entry and stop-loss prices you input.
It also calculates two key levels where potential reward (Take Profit 1 and Take Profit 2) can be expected, helping you assess the reward-to-risk ratio for any trade.
2. Customizable Settings:
You can specify the size of your trading account (available $ for Futures trading) and the number of futures contracts you're trading. This allows for tailored risk management that reflects your exact trading conditions.
3. Live Chart Integration:
You add the script to your chart after opening a futures chart in TradingView. Simply click on the chart to set your Entry Price and Stop Loss. The script will instantly calculate and display the risk and reward levels based on the points you set.
Adjusting the entry and stop-loss points later is just as easy: drag and drop the levels directly on the chart, and the risk and reward calculations update automatically.
4. Futures Contract Support:
The script is pre-configured with a list of popular futures symbols (like ES, NQ, CL, GC, and more). If your preferred futures contract isn’t in the list, you can easily add it by modifying the script.
The script uses each symbol’s point value to ensure precise risk calculations, providing you with an accurate dollar risk and potential reward based on the specific contract you're trading.
How to Use the Script:
1. Apply the Script to a Futures Chart:
Open a futures contract chart in TradingView.
Add the Futures Risk Calculator (FRC) script as an indicator.
2. Set Entry and Stop Loss:
Upon applying the script, it will prompt you to select your entry price by clicking the chart where you plan to enter the market.
Next, click on the chart to set your stop-loss level.
The script will then calculate your total risk in dollars and as a percentage of your account size.
3. View Risk, Reward, and (Take Profit):
You can immediately see visual lines representing your entry, stop loss, and the calculated reward-to-risk ratio levels (Take Profit 1 and Take Profit 2).
If you want to adjust the entry or stop loss after plotting them, simply move the points on
the chart, and the script will recalculate everything for you.
4. Configure Account and Contracts:
In the script settings, you can enter your account size and adjust the number of contracts you are trading. These inputs allow the script to calculate risk in monetary terms and as a percentage, making it easier to manage your risk effectively.
5. Understand the Information in the Table:
Once you apply the script, a table will appear in the top-right corner of your chart, providing you with key information about your futures contract and the trade setup. Here's what each field represents:
Account Size: Displays your total account value, which you can set in the script's settings.
Future: Shows the selected futures symbol, along with key details such as its tick size and point value. This gives you a clear understanding of how much one point or tick is worth in dollar terms.
Entry Price: The exact price at which you plan to enter the trade, displayed in green.
Stop Loss Price: The price level where you plan to exit the trade if the market moves against you, shown in red.
Contracts: The number of futures contracts you are trading, which you can adjust in the settings.
Risk: Highlighted in orange, this field shows your total risk in dollars, as well as the percentage risk based on your account size. This is a crucial value to help you stay within your risk tolerance and manage your trades effectively.
Volume Candle bollinger band By Anil ChawraHow Users Can Make Profit Using This Script:
1.Volume Representation: Each candle on the chart represents a specific time period (e.g., 1 minute, 1 hour, 1 day) and includes information about both price movement and trading volume during that period.
2.Candlestick Anatomy: A volume candle has the same components as a regular candlestick: the body (which represents the opening and closing prices) and the wicks or shadows (which indicate the highest and lowest prices reached during the period).
3.Volume Bars: Instead of just the candlestick itself, volume candles also include a bar or histogram representing the trading volume during that period. The height or length of the volume bar indicates the amount of trading activity.
4.Interpreting Volume: High volume candles typically indicate increased market interest or activity during that period. This could be due to significant buying or selling pressure.
5.Confirmation: Traders often look for confirmation from other technical indicators or price action to validate the significance of a high volume candle. For example, a high volume candle breaking through a key support or resistance level may signal a strong market move.
6.Trend Strength: Volume candles can provide insights into the strength of a trend. A series of high volume candles in the direction of the trend suggests strong momentum, while decreasing volume may indicate weakening momentum or a potential reversal.
7.Volume Patterns: Traders also analyze volume patterns, such as volume spikes or divergences, to identify potential trading opportunities or reversals.
8.Combination with Price Action: Volume analysis is often used in conjunction with price action analysis and other technical indicators to make more informed trading decisions.
9.Confirmation and Validation: It's important to confirm the significance of volume candles with other indicators or price action signals to avoid false signals.
10.Risk Management: As with any trading strategy, proper risk management is crucial when using volume candles to make trading decisions. Set stop-loss orders and adhere to risk management principles to protect your capital.
How the Script Works:
1.Identify High Volume Candles: Look for candles with significantly higher volume compared to the surrounding candles. These can indicate increased market interest or activity.
2.Wait for Confirmation: Once you identify a high volume candle, wait for confirmation from subsequent candles to ensure the momentum is sustained.
3.Enter the Trade: After confirmation, consider entering a trade in the direction indicated by the high volume candle. For example, if it's a bullish candle, consider buying.
4.Set Stop Loss: Always set a stop loss to limit potential losses in case the trade goes against you.
5.Take Profit: Set a target for taking profits. This could be based on technical analysis, such as a resistance level or a certain percentage gain.
6.Monitor Volume: Continuously monitor volume to gauge the strength of the trend. Decreasing volume may signal weakening momentum and could be a sign to exit the trade.
7.Risk Management: Manage risk carefully by adjusting position sizes according to your risk tolerance and the size of your trading account.
8.Review and Adapt: Regularly review your trades and adapt your strategy based on what's working and what's not.
Remember, no trading strategy guarantees profits, and it's essential to practice proper risk management and have realistic expectations. Additionally, consider combining volume analysis with other technical indicators for a more comprehensive approach to trading.
How Users Can Make Profit Using this script :
Bollinger Bands are a technical analysis tool that helps traders identify potential trends and volatility in the market. Here's a simple strategy using Bollinger Bands with a 10-point range:
1. *Understanding Bollinger Bands*: Bollinger Bands consist of a simple moving average (typically 20 periods) and two standard deviations plotted above and below the moving average. The bands widen during periods of high volatility and contract during periods of low volatility.
2. *Identify Price Range*: Look for a stock or asset that has been trading within a relatively narrow range (around 10 points) for some time. This indicates low volatility.
3. *Wait for Squeeze*: When the Bollinger Bands contract, it suggests that volatility is low and a breakout may be imminent. This is often referred to as a "squeeze."
4. *Plan Entry and Exit Points*: When the price breaks out of the narrow range and closes above the upper Bollinger Band, consider entering a long position. Conversely, if the price breaks below the lower band, consider entering a short position.
5. *Set Stop-Loss and Take-Profit*: Set stop-loss orders to limit potential losses if the trade goes against you. Take-profit orders can be set at a predetermined level or based on the width of the Bollinger Bands.
6. *Monitor and Adjust*: Continuously monitor the trade and adjust your stop-loss and take-profit levels as the price moves.
7. *Risk Management*: Only risk a small percentage of your trading capital on each trade. This helps to mitigate potential losses.
8. *Practice and Refinement*: Practice this strategy on a demo account or with small position sizes until you are comfortable with it. Refine your approach based on your experience and market conditions.
Remember, no trading strategy guarantees profits, and it's essential to combine technical analysis with fundamental analysis and risk management principles for successful trading. Additionally, always stay informed about market news and events that could impact your trades.
How does script works:
Bollinger Bands work by providing a visual representation of the volatility and potential price movements of a financial instrument. Here's how they work with a 10-point range:
1. *Calculation of Bollinger Bands*: The bands consist of three lines: the middle line is a simple moving average (SMA) of the asset's price (typically calculated over 20 periods), and the upper and lower bands are calculated by adding and subtracting a multiple of the standard deviation (usually 2) from the SMA.
2. *Interpretation of the Bands*: The upper and lower bands represent the potential extremes of price movements. In a 10-point range scenario, these bands are positioned 10 points above and below the SMA.
3. *Volatility Measurement*: When the price is experiencing high volatility, the bands widen, indicating a wider potential range of price movement. Conversely, during periods of low volatility, the bands contract, suggesting a narrower potential range.
4. *Mean Reversion and Breakout Signals*: Traders often use Bollinger Bands to identify potential mean reversion or breakout opportunities. When the price touches or crosses the upper band, it may indicate overbought conditions, suggesting a potential reversal to the downside. Conversely, when the price touches or crosses the lower band, it may indicate oversold conditions and a potential reversal to the upside.
5. *10-Point Range Application*: In a scenario where the price range is limited to 10 points, traders can look for opportunities when the price approaches either the upper or lower band. If the price consistently bounces between the bands, traders may consider buying near the lower band and selling near the upper band.
6. *Confirmation and Risk Management*: Traders often use other technical indicators or price action patterns to confirm signals generated by Bollinger Bands. Additionally, it's crucial to implement proper risk management techniques, such as setting stop-loss orders, to protect against adverse price movements.
Overall, Bollinger Bands provide traders with valuable insights into market volatility and potential price movements, helping them make informed trading decisions. However, like any technical indicator, they are not foolproof and should be used in conjunction with other analysis methods.
GKD-C RSI of Fast Discrete Cosine Transform [Loxx]Giga Kaleidoscope GKD-C RSI of Fast Discrete Cosine Transform is a Confirmation module included in Loxx's "Giga Kaleidoscope Modularized Trading System".
█ Giga Kaleidoscope Modularized Trading System
What is Loxx's "Giga Kaleidoscope Modularized Trading System"?
The Giga Kaleidoscope Modularized Trading System is a trading system built on the philosophy of the NNFX (No Nonsense Forex) algorithmic trading.
What is the NNFX algorithmic trading strategy?
The NNFX (No-Nonsense Forex) trading system is a comprehensive approach to Forex trading that is designed to simplify the process and remove the confusion and complexity that often surrounds trading. The system was developed by a Forex trader who goes by the pseudonym "VP" and has gained a significant following in the Forex community.
The NNFX trading system is based on a set of rules and guidelines that help traders make objective and informed decisions. These rules cover all aspects of trading, including market analysis, trade entry, stop loss placement, and trade management.
Here are the main components of the NNFX trading system:
1. Trading Philosophy: The NNFX trading system is based on the idea that successful trading requires a comprehensive understanding of the market, objective analysis, and strict risk management. The system aims to remove subjective elements from trading and focuses on objective rules and guidelines.
2. Technical Analysis: The NNFX trading system relies heavily on technical analysis and uses a range of indicators to identify high-probability trading opportunities. The system uses a combination of trend-following and mean-reverting strategies to identify trades.
3. Market Structure: The NNFX trading system emphasizes the importance of understanding the market structure, including price action, support and resistance levels, and market cycles. The system uses a range of tools to identify the market structure, including trend lines, channels, and moving averages.
4. Trade Entry: The NNFX trading system has strict rules for trade entry. The system uses a combination of technical indicators to identify high-probability trades, and traders must meet specific criteria to enter a trade.
5. Stop Loss Placement: The NNFX trading system places a significant emphasis on risk management and requires traders to place a stop loss order on every trade. The system uses a combination of technical analysis and market structure to determine the appropriate stop loss level.
6. Trade Management: The NNFX trading system has specific rules for managing open trades. The system aims to minimize risk and maximize profit by using a combination of trailing stops, take profit levels, and position sizing.
Overall, the NNFX trading system is designed to be a straightforward and easy-to-follow approach to Forex trading that can be applied by traders of all skill levels.
Core components of an NNFX algorithmic trading strategy
The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm:
1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc.
2. Baseline - a moving average to identify price trend
3. Confirmation 1 - a technical indicator used to identify trends
4. Confirmation 2 - a technical indicator used to identify trends
5. Continuation - a technical indicator used to identify trends
6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown
7. Exit - a technical indicator used to determine when a trend is exhausted
What is Volatility in the NNFX trading system?
In the NNFX (No Nonsense Forex) trading system, ATR (Average True Range) is typically used to measure the volatility of an asset. It is used as a part of the system to help determine the appropriate stop loss and take profit levels for a trade. ATR is calculated by taking the average of the true range values over a specified period.
True range is calculated as the maximum of the following values:
-Current high minus the current low
-Absolute value of the current high minus the previous close
-Absolute value of the current low minus the previous close
ATR is a dynamic indicator that changes with changes in volatility. As volatility increases, the value of ATR increases, and as volatility decreases, the value of ATR decreases. By using ATR in NNFX system, traders can adjust their stop loss and take profit levels according to the volatility of the asset being traded. This helps to ensure that the trade is given enough room to move, while also minimizing potential losses.
Other types of volatility include True Range Double (TRD), Close-to-Close, and Garman-Klass
What is a Baseline indicator?
The baseline is essentially a moving average, and is used to determine the overall direction of the market.
The baseline in the NNFX system is used to filter out trades that are not in line with the long-term trend of the market. The baseline is plotted on the chart along with other indicators, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR).
Trades are only taken when the price is in the same direction as the baseline. For example, if the baseline is sloping upwards, only long trades are taken, and if the baseline is sloping downwards, only short trades are taken. This approach helps to ensure that trades are in line with the overall trend of the market, and reduces the risk of entering trades that are likely to fail.
By using a baseline in the NNFX system, traders can have a clear reference point for determining the overall trend of the market, and can make more informed trading decisions. The baseline helps to filter out noise and false signals, and ensures that trades are taken in the direction of the long-term trend.
What is a Confirmation indicator?
Confirmation indicators are technical indicators that are used to confirm the signals generated by primary indicators. Primary indicators are the core indicators used in the NNFX system, such as the Average True Range (ATR), the Moving Average (MA), and the Relative Strength Index (RSI).
The purpose of the confirmation indicators is to reduce false signals and improve the accuracy of the trading system. They are designed to confirm the signals generated by the primary indicators by providing additional information about the strength and direction of the trend.
Some examples of confirmation indicators that may be used in the NNFX system include the Bollinger Bands, the MACD (Moving Average Convergence Divergence), and the Stochastic Oscillator. These indicators can provide information about the volatility, momentum, and trend strength of the market, and can be used to confirm the signals generated by the primary indicators.
In the NNFX system, confirmation indicators are used in combination with primary indicators and other filters to create a trading system that is robust and reliable. By using multiple indicators to confirm trading signals, the system aims to reduce the risk of false signals and improve the overall profitability of the trades.
What is a Continuation indicator?
In the NNFX (No Nonsense Forex) trading system, a continuation indicator is a technical indicator that is used to confirm a current trend and predict that the trend is likely to continue in the same direction. A continuation indicator is typically used in conjunction with other indicators in the system, such as a baseline indicator, to provide a comprehensive trading strategy.
What is a Volatility/Volume indicator?
Volume indicators, such as the On Balance Volume (OBV), the Chaikin Money Flow (CMF), or the Volume Price Trend (VPT), are used to measure the amount of buying and selling activity in a market. They are based on the trading volume of the market, and can provide information about the strength of the trend. In the NNFX system, volume indicators are used to confirm trading signals generated by the Moving Average and the Relative Strength Index. Volatility indicators include Average Direction Index, Waddah Attar, and Volatility Ratio. In the NNFX trading system, volatility is a proxy for volume and vice versa.
By using volume indicators as confirmation tools, the NNFX trading system aims to reduce the risk of false signals and improve the overall profitability of trades. These indicators can provide additional information about the market that is not captured by the primary indicators, and can help traders to make more informed trading decisions. In addition, volume indicators can be used to identify potential changes in market trends and to confirm the strength of price movements.
What is an Exit indicator?
The exit indicator is used in conjunction with other indicators in the system, such as the Moving Average (MA), the Relative Strength Index (RSI), and the Average True Range (ATR), to provide a comprehensive trading strategy.
The exit indicator in the NNFX system can be any technical indicator that is deemed effective at identifying optimal exit points. Examples of exit indicators that are commonly used include the Parabolic SAR, the Average Directional Index (ADX), and the Chandelier Exit.
The purpose of the exit indicator is to identify when a trend is likely to reverse or when the market conditions have changed, signaling the need to exit a trade. By using an exit indicator, traders can manage their risk and prevent significant losses.
In the NNFX system, the exit indicator is used in conjunction with a stop loss and a take profit order to maximize profits and minimize losses. The stop loss order is used to limit the amount of loss that can be incurred if the trade goes against the trader, while the take profit order is used to lock in profits when the trade is moving in the trader's favor.
Overall, the use of an exit indicator in the NNFX trading system is an important component of a comprehensive trading strategy. It allows traders to manage their risk effectively and improve the profitability of their trades by exiting at the right time.
How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above?
Loxx's GKD v1.0 system has five types of modules (indicators/strategies). These modules are:
1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm)
2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm)
3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm)
4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 6 in the NNFX algorithm)
5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm)
(additional module types will added in future releases)
Each module interacts with every module by passing data between modules. Data is passed between each module as described below:
GKD-B => GKD-V => GKD-C(1) => GKD-C(2) => GKD-C(Continuation) => GKD-E => GKD-BT
That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy.
This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm.
What does the application of the GKD trading system look like?
Example trading system:
Backtest: Strategy with 1-3 take profits, trailing stop loss, multiple types of PnL volatility, and 2 backtesting styles
Baseline: Hull Moving Average
Volatility/Volume: Hurst Exponent
Confirmation 1: RSI of Fast Discrete Cosine Transform as shown on the chart above
Confirmation 2: Williams Percent Range
Continuation: Fisher Transform
Exit: Rex Oscillator
Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD protocol chain.
Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm)
Standard Entry
1. GKD-C Confirmation 1 Signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
6. GKD-C Confirmation 1 signal was less than 7 candles prior
Continuation Entry
1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously
2. GKD-B Baseline hasn't crossed since entry signal trigger
3. GKD-C Confirmation Continuation Indicator signals
4. GKD-C Confirmation 1 agrees
5. GKD-B Baseline agrees
6. GKD-C Confirmation 2 agrees
1-Candle Rule Standard Entry
1. GKD-C Confirmation 1 signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
Next Candle:
1. Price retraced (Long: close < close or Short: close > close )
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
1-Candle Rule Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 1 signal was less than 7 candles prior
Next Candle:
1. Price retraced (Long: close < close or Short: close > close )
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees
PullBack Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is beyond 1.0x Volatility of Baseline
Next Candle:
1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees
█ Fast Discrete Cosine Transform
What is the Fast Discrete Cosine Transform?
Algolib is a C++ library for algorithmic trading that provides various algorithms for processing and analyzing financial data. The library includes a Fast Discrete Cosine Transform (FDCT) implementation, which is a fast version of the Discrete Cosine Transform (DCT) algorithm used for signal processing and data compression.
The FDCT implementation in Algolib is based on the FFT (Fast Fourier Transform) algorithm, which is a widely used method for computing the DCT. The implementation is optimized for performance and can handle large datasets efficiently. It uses the standard divide-and-conquer approach to compute the DCT recursively and combines the resulting coefficients to obtain the final DCT of the input signal.
The input to the FDCT algorithm in Algolib is a one-dimensional array of real numbers, which represents a time series or a financial signal. The algorithm then computes the DCT of the input sequence and returns a one-dimensional array of DCT coefficients, which represent the frequency components of the signal.
The implementation of the FDCT algorithm in Algolib uses C++ templates to provide a generic implementation that can work with different data types. It also includes various optimizations, such as loop unrolling, to improve the performance of the algorithm.
The steps involved in the FDCT algorithm in Algolib are:
-Divide the input sequence into even and odd parts.
-Compute the DCT of the even and odd parts recursively.
-Combine the DCT coefficients of the even and odd parts to obtain the final DCT coefficients.
-The implementation of the FDCT algorithm in Algolib uses the FFTW (Fastest Fourier Transform in the West) library to perform the FFT computations, which is a highly optimized library for computing Fourier transforms.
In summary, the Fast Discrete Cosine Transform implementation in Algolib is a fast and efficient implementation of the DCT algorithm, which is used for processing financial signals and time series data. The implementation is optimized for performance and uses the FFT algorithm for fast computation. The implementation is generic and can work with different data types, and includes optimizations such as loop unrolling to improve the performance of the algorithm.
What is the Fast Discrete Cosine Transform in terms of Forex trading?
The Fast Discrete Cosine Transform (FDCT) is an algorithm used for signal processing and data compression that can also be applied in trading forex. The FDCT is used to transform financial data into a set of coefficients that represent the data in terms of cosine functions of different frequencies. These coefficients can be used to analyze the frequency components of financial signals and to develop trading strategies based on these components.
In trading forex, the FDCT can be applied to various financial signals, such as price data, volume data, and technical indicators. By applying the FDCT to these signals, traders can identify the dominant frequency components of the signals and use this information to develop trading strategies.
For example, traders can use the FDCT to identify cycles in the market and use this information to develop trend-following strategies. The FDCT can also be used to identify short-term fluctuations in the market and develop mean-reversion strategies based on these fluctuations.
The FDCT can also be used in combination with other technical analysis tools, such as moving averages, to improve the accuracy of trading signals. For example, traders can apply the FDCT to the moving average of a financial signal to identify the dominant frequency components of the moving average and use this information to develop trading signals.
The FDCT can also be used in conjunction with machine learning algorithms to develop predictive models for financial markets. By applying the FDCT to financial data and using the resulting coefficients as inputs to a machine learning algorithm, traders can develop models that predict future price movements and identify profitable trading opportunities.
In summary, the FDCT can be applied in trading forex to analyze the frequency components of financial signals and develop trading strategies based on these components. The FDCT can be used in conjunction with other technical analysis tools and machine learning algorithms to improve the accuracy of trading signals and develop predictive models for financial markets.
What is the Fast Discrete Cosine Transform in terms of Forex trading?
The Fast Discrete Cosine Transform (FDCT) is an algorithm used for signal processing and data compression that can also be applied in trading forex. The FDCT is used to transform financial data into a set of coefficients that represent the data in terms of cosine functions of different frequencies. These coefficients can be used to analyze the frequency components of financial signals and to develop trading strategies based on these components.
In trading forex, the FDCT can be applied to various financial signals, such as price data, volume data, and technical indicators. By applying the FDCT to these signals, traders can identify the dominant frequency components of the signals and use this information to develop trading strategies.
For example, traders can use the FDCT to identify cycles in the market and use this information to develop trend-following strategies. The FDCT can also be used to identify short-term fluctuations in the market and develop mean-reversion strategies based on these fluctuations.
The FDCT can also be used in combination with other technical analysis tools, such as moving averages, to improve the accuracy of trading signals. For example, traders can apply the FDCT to the moving average of a financial signal to identify the dominant frequency components of the moving average and use this information to develop trading signals.
The FDCT can also be used in conjunction with machine learning algorithms to develop predictive models for financial markets. By applying the FDCT to financial data and using the resulting coefficients as inputs to a machine learning algorithm, traders can develop models that predict future price movements and identify profitable trading opportunities.
In summary, the FDCT can be applied in trading forex to analyze the frequency components of financial signals and develop trading strategies based on these components. The FDCT can be used in conjunction with other technical analysis tools and machine learning algorithms to improve the accuracy of trading signals and develop predictive models for financial markets.
█ Relative Strength Index (RSI)
This indicator contains 7 different types of RSI .
RSX
Regular
Slow
Rapid
Harris
Cuttler
Ehlers Smoothed
What is RSI?
RSI stands for Relative Strength Index . It is a technical indicator used to measure the strength or weakness of a financial instrument's price action.
The RSI is calculated based on the price movement of an asset over a specified period of time, typically 14 days, and is expressed on a scale of 0 to 100. The RSI is considered overbought when it is above 70 and oversold when it is below 30.
Traders and investors use the RSI to identify potential buy and sell signals. When the RSI indicates that an asset is oversold, it may be considered a buying opportunity, while an overbought RSI may signal that it is time to sell or take profits.
It's important to note that the RSI should not be used in isolation and should be used in conjunction with other technical and fundamental analysis tools to make informed trading decisions.
What is RSX?
Jurik RSX is a technical analysis indicator that is a variation of the Relative Strength Index Smoothed ( RSX ) indicator. It was developed by Mark Jurik and is designed to help traders identify trends and momentum in the market.
The Jurik RSX uses a combination of the RSX indicator and an adaptive moving average (AMA) to smooth out the price data and reduce the number of false signals. The adaptive moving average is designed to adjust the smoothing period based on the current market conditions, which makes the indicator more responsive to changes in price.
The Jurik RSX can be used to identify potential trend reversals and momentum shifts in the market. It oscillates between 0 and 100, with values above 50 indicating a bullish trend and values below 50 indicating a bearish trend . Traders can use these levels to make trading decisions, such as buying when the indicator crosses above 50 and selling when it crosses below 50.
The Jurik RSX is a more advanced version of the RSX indicator, and while it can be useful in identifying potential trade opportunities, it should not be used in isolation. It is best used in conjunction with other technical and fundamental analysis tools to make informed trading decisions.
What is Slow RSI?
Slow RSI is a variation of the traditional Relative Strength Index ( RSI ) indicator. It is a more smoothed version of the RSI and is designed to filter out some of the noise and short-term price fluctuations that can occur with the standard RSI .
The Slow RSI uses a longer period of time than the traditional RSI , typically 21 periods instead of 14. This longer period helps to smooth out the price data and makes the indicator less reactive to short-term price fluctuations.
Like the traditional RSI , the Slow RSI is used to identify potential overbought and oversold conditions in the market. It oscillates between 0 and 100, with values above 70 indicating overbought conditions and values below 30 indicating oversold conditions. Traders often use these levels as potential buy and sell signals.
The Slow RSI is a more conservative version of the RSI and can be useful in identifying longer-term trends in the market. However, it can also be slower to respond to changes in price, which may result in missed trading opportunities. Traders may choose to use a combination of both the Slow RSI and the traditional RSI to make informed trading decisions.
What is Rapid RSI?
Same as regular RSI but with a faster calculation method
What is Harris RSI?
Harris RSI is a technical analysis indicator that is a variation of the Relative Strength Index ( RSI ). It was developed by Larry Harris and is designed to help traders identify potential trend changes and momentum shifts in the market.
The Harris RSI uses a different calculation formula compared to the traditional RSI . It takes into account both the opening and closing prices of a financial instrument, as well as the high and low prices. The Harris RSI is also normalized to a range of 0 to 100, with values above 50 indicating a bullish trend and values below 50 indicating a bearish trend .
Like the traditional RSI , the Harris RSI is used to identify potential overbought and oversold conditions in the market. It oscillates between 0 and 100, with values above 70 indicating overbought conditions and values below 30 indicating oversold conditions. Traders often use these levels as potential buy and sell signals.
The Harris RSI is a more advanced version of the RSI and can be useful in identifying longer-term trends in the market. However, it can also generate more false signals than the standard RSI . Traders may choose to use a combination of both the Harris RSI and the traditional RSI to make informed trading decisions.
What is Cuttler RSI?
Cuttler RSI is a technical analysis indicator that is a variation of the Relative Strength Index ( RSI ). It was developed by Curt Cuttler and is designed to help traders identify potential trend changes and momentum shifts in the market.
The Cuttler RSI uses a different calculation formula compared to the traditional RSI . It takes into account the difference between the closing price of a financial instrument and the average of the high and low prices over a specified period of time. This difference is then normalized to a range of 0 to 100, with values above 50 indicating a bullish trend and values below 50 indicating a bearish trend .
Like the traditional RSI , the Cuttler RSI is used to identify potential overbought and oversold conditions in the market. It oscillates between 0 and 100, with values above 70 indicating overbought conditions and values below 30 indicating oversold conditions. Traders often use these levels as potential buy and sell signals.
The Cuttler RSI is a more advanced version of the RSI and can be useful in identifying longer-term trends in the market. However, it can also generate more false signals than the standard RSI . Traders may choose to use a combination of both the Cuttler RSI and the traditional RSI to make informed trading decisions.
What is Ehlers Smoothed RSI?
Ehlers smoothed RSI is a technical analysis indicator that is a variation of the Relative Strength Index ( RSI ). It was developed by John Ehlers and is designed to help traders identify potential trend changes and momentum shifts in the market.
The Ehlers smoothed RSI uses a different calculation formula compared to the traditional RSI . It uses a smoothing algorithm that is designed to reduce the noise and random fluctuations that can occur with the standard RSI . The smoothing algorithm is based on a concept called "digital signal processing" and is intended to improve the accuracy of the indicator.
Like the traditional RSI , the Ehlers smoothed RSI is used to identify potential overbought and oversold conditions in the market. It oscillates between 0 and 100, with values above 70 indicating overbought conditions and values below 30 indicating oversold conditions. Traders often use these levels as potential buy and sell signals.
The Ehlers smoothed RSI can be useful in identifying longer-term trends and momentum shifts in the market. However, it can also generate more false signals than the standard RSI . Traders may choose to use a combination of both the Ehlers smoothed RSI and the traditional RSI to make informed trading decisions.
█ GKD-C RSI of Fast Discrete Cosine Transform
What is the RSI of Fast Discrete Cosine Transform in terms of Forex trading?
The Relative Strength Index (RSI) is a popular technical indicator used in trading forex to measure the strength of a trend and identify potential trend reversals. While the Fast Discrete Cosine Transform (FDCT) is not directly related to the RSI, it can be used to analyze the frequency components of the price data used to calculate the RSI and improve its accuracy.
The RSI is calculated by comparing the average gains and losses of a financial instrument over a given period of time. The RSI value ranges from 0 to 100, with values above 70 indicating an overbought market and values below 30 indicating an oversold market.
One limitation of the RSI is that it only considers the average gains and losses over a fixed period of time, which may not capture the complex patterns and dynamics of financial markets. This is where the FDCT can be useful.
By applying the FDCT to the price data used to calculate the RSI, traders can identify the dominant frequency components of the price data and use this information to adjust the RSI calculation. For example, traders can weight the gains and losses based on the frequency components identified by the FDCT, giving more weight to the dominant frequencies and less weight to the lower frequencies.
This approach can improve the accuracy of the RSI calculation and provide traders with more reliable signals for identifying trends and potential trend reversals. Traders can also use the frequency components identified by the FDCT to develop more advanced trading strategies, such as identifying cycles in the market and using this information to develop trend-following strategies.
In summary, while the FDCT is not directly related to the RSI, it can be used to analyze the frequency components of the price data used to calculate the RSI and improve its accuracy. Traders can use the FDCT to identify dominant frequency components and adjust the RSI calculation accordingly, providing more reliable signals for identifying trends and potential trend reversals.
This indicator has period lengths that are powers of powers of 2. There is also a features to increase the resolution of the FDCT.
Requirements
Inputs
Confirmation 1 and Solo Confirmation: GKD-V Volatility / Volume indicator
Confirmation 2: GKD-C Confirmation indicator
Outputs
Confirmation 2 and Solo Confirmation Complex: GKD-E Exit indicator
Confirmation 1: GKD-C Confirmation indicator
Continuation: GKD-E Exit indicator
Solo Confirmation Simple: GKD-BT Backtest strategy
Additional features will be added in future releases.
MACD + RSI + ADX Strategy (ChatGPT-powered) by TradeSmartThis is a trading strategy made by TradeSmart, using the recommendations given by ChatGPT . As an experiment, we asked ChatGPT on which indicators are the most popular for trading. We used all of the recommendations given, and added more. We ended up with a strategy that performs surprisingly well on many crypto and forex assets. See below for exact details on what logic was implemented and how you can change the parameters of the strategy.
The strategy is a Christmas special , this is how we would like to thank the support of our followers.
The strategy has performed well on Forex, tested on 43 1-hour pairs and turned a profit in 21 cases. Also it has been tested on 51 crypto pairs using the 1-hour timeframe, and turned a profit in 45 cases with a Profit Factor over 1.4 in the top-5 cases. Tests were conducted without commission or slippage, unlike the presented result which uses 0.01% commission and 5 tick slippage.
Some of the top performers were:
SNXUSDT
SOLUSDT
CAKEUSDT
LINKUSDT
EGLDUSDT
GBPJPY
TRYJPY
USDJPY
The strategy was implemented using the following logic:
Entry strategy:
Long entry:
Price should be above the Simple Moving Average (SMA)
There should be a cross up on the MACD (indicated by the color switch on the histogram, red to green)
RSI should be above the 50 level
Volume is above the selected volume-based Exponential Moving Average (EMA)
ADX should also agree to this position: below 50 and over 20, and above the Regularized Moving Average (REMA)
Short entry:
Price should be under the Simple Moving Average (SMA)
There should be a cross down on the MACD (indicated by the color switch on the histogram, red to green)
RSI should be below the 50 level
Volume is above the selected volume-based Exponential Moving Average (EMA)
ADX should also agree to this position: below 50 and over 20, and above the Regularized Moving Average (REMA)
Exit strategy:
Stop Loss will be placed based on ATR value (with 1.5 Risk)
Take profit level will be placed with a 2.5 Risk/Reward Ratio
Open positions will be closed early based on the Squeeze Momentum (Long: change to red, Short: change to green)
NOTE! : The position sizes used in the example is with 'Risk Percentage (current)', according which the position size will be determined such
that the potential loss is equal to % of the current available capital. This means that in most of the cases, the positions are calculated using leverage.
Parameters of every indicator used in the strategy can be tuned in the strategy settings as follows:
Plot settings:
Plot Signals: true by default, Show all Long and Short signals on the signal candle
Allow early TP/SL plots: false by default, Checking this option will result in the TP and SL lines to be plotted also on the signal candle rather than just the entry candle. Consider this only when manual trading, since backtest entries does not happen on the signal candle.
Entry Signal:
Fast Length: 12 by default
Slow Length: 26 by default
Source: hlcc4 by default
Signal Smoothing: 9 by default
Oscillator MA Type: EMA by default
Signal Line MA Type: EMA by default
Exit Strategy:
ATR Based Stop Loss: true by default
ATR Length (of the SL): 14 by default
ATR Smoothing (of the SL): EMA by default
Candle Low/High Based Stop Loss: false by default, recent lowest or highest point (depending on long/short position) will be used to calculate stop loss value. Set 'Base Risk Multiplier' to 1 if you would like to use the calculated value as is. Setting it to a different value will count as an additional multiplier. Please select only one active stop loss. Default value (if nothing or multiple stop losses are selected) is the 'ATR Based Stop Loss'.
Candle Lookback (of the SL): 10 by default
Base Risk Multiplier: 1.5 by default, the stop loss will be placed at this risk level (meaning in case of ATR SL that the ATR value will be multiplied by this factor and the SL will be placed that value away from the entry level)
Risk to Reward Ratio: 2.5 by default, the take profit level will be placed such as this Risk/Reward ratio is met
Force Exit based on Squeeze Momentum: true by default, a Long position will be closed when Squeeze Momentum turns red inside an open position and a Short position will be closed when Squeeze Momentum turns green inside an open position
BB Length: 20 by default
BB Mult Factor: 1.0 by default
KC Length: 20 by default
KC Mult Factor: 1.5 by default
Use True Range (KC): Yes by default
Base Setups:
Allow Long Entries: true by default
Allow Short Entries: true by default
Order Size: 1.5 by default
Order Type: Risk Percentage (current) by default, allows adjustment on how the position size is calculated: Cash: only the set cash ammount will be used for each trade Contract(s): the adjusted number of contracts will be used for each trade Capital Percentage: a % of the current available capital will be used for each trade Risk Percentage (current): position size will be determined such that the potential loss is equal to % of the current available capital Risk Percentage (initial): position size will be determined such that the potential loss is equal to % of the initial capital
Trend Filter:
Use long trend filter: true by default, only enter long if price is above Long MA
Show long trend filter: true by default, plot the selected MA on the chart
MA Type (Long): SMA by default
MA Length (Long): 100 by default
MA Source (Long): close by default
Use short trend filter: true by default, only enter long if price is under Short MA
Show short trend filter: false by default, plot the selected MA on the chart
MA Type (Short): SMA by default
MA Length (Short): 100 by default
MA Source (Short): close by default
Simple RSI Limiter:
Limit using Simple RSI: true by default, if set to 'Normal', only enter long when Simple RSI is lower then Long Boundary, and only enter short when Simple RSI is higher then Short Boundary. If set to 'Reverse', only enter long when Simple RSI is higher then Long Boundary, and only enter short when Simple RSI is lower then Short Boundary.
Simple RSI Limiter Type:
RSI Length: 14 by default
RSI Source: hl2 by default
Simple RSI Long Boundary: 50 by default
Simple RSI Short Boundary: 50 by default
ADX Limiter:
Use ADX Limiter: true by default, only enter into any position (long/short) if ADX value is higher than the Low Boundary and lower than the High Boundary.
ADX Length: 5 by default
DI Length: 5 by default
High Boundary: 50 by default
Low Boundary: 20 by default
Use MA based calculation: Yes by default, if 'Yes', only enter into position (long/short) if ADX value is higher than MA (ADX as source).
MA Type: REMA by default
MA Length: 5 by default
Volume Filter:
Only enter trades where volume is higher then the volume-based MA: true by default, a set type of MA will be calculated with the volume as source, and set length
MA Type: EMA by default
MA Length: 10 by default
Session Limiter:
Show session plots: false by default, show crypto market sessions on chart: Sidney (red), Tokyo (orange), London (yellow), New York (green)
Use session limiter: false by default, if enabled, trades will only happen in the ticked sessions below.
Sidney session: false by default, session between: 15:00 - 00:00 (EST)
Tokyo session: false by default, session between: 19:00 - 04:00 (EST)
London session: false by default, session between: 03:00 - 11:00 (EST)
New York session: false by default, session between: 08:00 - 17:00 (EST)
Date Range:
Limit Between Dates: false by default
Start Date: Jul 01 2021 00:00:00 by default
End Date: Dec 31 2022 00:00:00 by default
Trading Time:
Limit Trading Time: false by default, tick this together with the options below to enable limiting based on day and time
Valid Trading Days Global: 1234567 by default, if the Limit Trading Time is on, trades will only happen on days that are present in this field. If any of the not global Valid Trading Days is used, this field will be neglected. Values represent days: Sunday (1), Monday (2), ..., Friday (6), Saturday(7) To trade on all days use: 123457
(1) Valid Trading Days: false, 1234567 by default, values represent days: Sunday (1), Monday (2), ..., Friday (6), Saturday(7) The script will trade on days that are present in this field. Please make sure that this field and also (1) Valid Trading Hours Between is checked
(1) Valid Trading Hours Between: false, 0930-1600 by default, hours between which the trades can happen. The time is always in the exchange's timezone
Fine-tuning is highly recommended when using other asset/timeframe combinations.
Institutional Activity DetectorInstitutional Activity Detector - Complete Tutorial
Table of Contents
Installation
Understanding the Indicator
Signal Interpretation
Settings Configuration
Trading Strategies
Best Practices
Common Mistakes to Avoid
1. Installation {#installation}
Step-by-Step Setup:
Step 1: Access TradingView
Go to TradingView.com
Log in to your account (free account works fine)
Step 2: Open Pine Editor
Click on "Pine Editor" at the bottom of the chart
If you don't see it, go to the top menu and select "Pine Editor"
Step 3: Add the Script
Click "New" to create a new indicator
Delete any default code
Copy the entire Institutional Activity Detector code
Paste it into the editor
Step 4: Save and Apply
Click "Save" (give it a name like "Inst Detector")
Click "Add to Chart"
The indicator will now appear on your chart
2. Understanding the Indicator {#understanding}
What It Detects:
This indicator identifies institutional traders (banks, hedge funds, market makers) by analyzing:
Volume Analysis
Detects unusual volume spikes that indicate large players entering
Compares current volume to 20-period average
Institutional trades create volume 2-5x normal levels
Order Flow
Delta: Difference between buying and selling volume
Positive delta = More buying pressure
Negative delta = More selling pressure
Institutions leave "footprints" in order flow
Price Action Patterns
Bullish Rejection Wicks:
| <- Small upper wick
|
███ <- Small body
███
|
|
| <- Large lower wick (rejection)
Indicates institutions bought aggressively at lower prices
Bearish Rejection Wicks:
|
|
| <- Large upper wick (rejection)
|
███ <- Small body
███
| <- Small lower wick
Indicates institutions sold aggressively at higher prices
Liquidity Grabs
Institutions often:
Push price above resistance or below support
Trigger stop losses (grab liquidity)
Reverse direction and trade the other way
Dark Pool Activity
Large block trades executed off-exchange:
High volume with minimal price movement
Indicates institutional accumulation/distribution without moving price
3. Signal Interpretation {#signals}
Signal Types:
🟢 INSTITUTIONAL BUY Signal
Appears as green triangle below candle with strength number (2-5)
What it means:
Institutions are actively accumulating (buying)
Higher strength = More confirmation factors
Strength Levels:
2-3: Moderate confidence - Wait for confirmation
4: High confidence - Strong institutional interest
5: Maximum confidence - Multiple factors aligned
🔴 INSTITUTIONAL SELL Signal
Appears as red triangle above candle with strength number (2-5)
What it means:
Institutions are actively distributing (selling)
Higher strength = More confirmation factors
🟠 Dark Pool (DP) Marker
Small orange diamond
What it means:
Large block trade executed
Accumulation/distribution happening quietly
Often precedes significant moves
Liquidity Zones
Red boxes above price = Resistance/sell liquidity
Green boxes below price = Support/buy liquidity
Institutions target these zones to trigger stops
4. Settings Configuration {#settings}
Recommended Settings by Asset Type:
For Stocks (SPY, AAPL, TSLA):
Volume Spike Multiplier: 2.0
Volume Average Period: 20
Delta Threshold: 70%
Minimum Signal Strength: 3
Timeframe: 5m, 15m, 1H
For Forex (EUR/USD, GBP/USD):
Volume Spike Multiplier: 1.5
Volume Average Period: 30
Delta Threshold: 65%
Minimum Signal Strength: 3
Timeframe: 15m, 1H, 4H
For Crypto (BTC, ETH):
Volume Spike Multiplier: 2.5
Volume Average Period: 20
Delta Threshold: 70%
Minimum Signal Strength: 4
Timeframe: 15m, 1H, 4H
For Futures (ES, NQ):
Volume Spike Multiplier: 2.0
Volume Average Period: 20
Delta Threshold: 75%
Minimum Signal Strength: 3
Timeframe: 5m, 15m, 30m
Parameter Explanations:
Volume Spike Multiplier (1.0 - 10.0)
Lower = More sensitive (more signals, some false)
Higher = Less sensitive (fewer signals, more reliable)
Start with 2.0 and adjust based on your asset's volatility
Delta Threshold % (50 - 100)
Measures buying vs selling pressure
70% = Strong institutional bias required
Lower for ranging markets, higher for trending
Minimum Signal Strength (2 - 5)
Number of factors that must align for a signal
2 = Very sensitive (many signals)
5 = Very conservative (rare signals)
Recommended: 3-4 for balance
5. Trading Strategies {#strategies}
Strategy 1: Liquidity Grab Reversal
Setup:
Price approaches a liquidity zone (green/red box)
Price penetrates the zone briefly
Institutional BUY/SELL signal appears
Price reverses away from the zone
Entry:
Enter on the signal candle close
Or wait for next candle confirmation
Stop Loss:
Below the liquidity grab low (for buys)
Above the liquidity grab high (for sells)
Take Profit:
2:1 or 3:1 risk/reward ratio
Or next opposing liquidity zone
Example:
Price drops below support → Triggers stops →
Institutional BUY signal (4-5 strength) →
Enter LONG → Price rallies
Strategy 2: Trend Continuation
Setup:
Identify the trend (higher highs/higher lows for uptrend)
Wait for pullback to support in uptrend
Institutional BUY signal appears during pullback
Confirms institutions are adding to positions
Entry:
Enter on signal with strength ≥ 4
Or next candle after signal
Stop Loss:
Below the pullback low + small buffer
Take Profit:
Previous swing high
Or trailing stop using ATR
Strategy 3: Dark Pool Accumulation
Setup:
Dark Pool (DP) markers appear multiple times
Price consolidates in tight range
Institutional BUY signal with high strength appears
Breakout occurs
Entry:
Enter on breakout candle after signal
Or on retest of breakout level
Stop Loss:
Below consolidation range
Take Profit:
Measured move (height of consolidation projected)
Strategy 4: Divergence Play
Setup:
Price makes lower low
MFI/RSI makes higher low (bullish divergence)
Institutional BUY signal appears
Volume confirms with spike
Entry:
Enter on signal candle or next
Stop Loss:
Below the divergence low
Take Profit:
Previous swing high or resistance
6. Best Practices {#best-practices}
✅ DO's:
1. Use Multiple Timeframes
Check higher timeframe for trend direction
Trade signals that align with higher timeframe
Example: 15m signals in direction of 1H trend
2. Combine with Key Levels
Support/resistance
Supply/demand zones
Previous day high/low
Round numbers (psychological levels)
3. Wait for Confirmation
Don't rush into trades
Let the signal candle close
Watch next candle for follow-through
4. Check the Metrics Table
Look at Relative Volume (should be >2.0)
Check Delta % (should be strong positive/negative)
Verify Order Flow aligns with signal
5. Consider Market Context
News events can override signals
Low liquidity times (lunch, overnight) less reliable
Major economic releases need caution
6. Paper Trade First
Test the indicator for 2-4 weeks
Learn how it behaves on your chosen assets
Develop confidence before using real money
Best Times to Trade:
Stock Market Hours:
9:30-11:30 AM EST (high volume, strong moves)
2:00-4:00 PM EST (institutional positioning)
Avoid: 11:30 AM-2:00 PM (lunch, low volume)
Forex:
London Open: 3:00-6:00 AM EST
New York Open: 8:00-11:00 AM EST
London/NY Overlap: 8:00 AM-12:00 PM EST
Crypto:
24/7 market, but highest volume during US/European hours
Watch for weekend low liquidity
7. Common Mistakes to Avoid {#mistakes}
❌ DON'T:
1. Trade Every Signal
Not all signals are equal
Focus on strength 4-5 signals
Wait for optimal setups
2. Ignore Market Structure
Don't buy into strong downtrends (catch falling knife)
Don't sell into strong uptrends (fight the tape)
Respect major support/resistance
3. Use Too Small Timeframes
1m and 2m charts are too noisy
Minimum recommended: 5m for scalping
Better: 15m, 30m, 1H for reliability
4. Overtrade
Quality over quantity
2-5 good trades per day is excellent
Forcing trades leads to losses
5. Ignore Risk Management
Always use stop losses
Risk only 1-2% per trade
Don't revenge trade after losses
6. Trade During Low Volume
Signals less reliable with low volume
Check Relative Volume metric (should be >1.5)
Avoid pre-market/after-hours for stocks
7. Misread Liquidity Grabs
Not every wick is a liquidity grab
Need volume confirmation
Must have institutional signal
Advanced Tips:
Filtering False Signals:
Use Signal Strength Filter:
Minimum strength 3 = Balanced
Minimum strength 4 = Conservative (recommended)
Minimum strength 5 = Ultra conservative
Confluence Checklist:
Signal strength ≥ 4
Relative volume > 2.0
At key support/resistance
Aligns with higher timeframe trend
Delta % strongly positive/negative
Clean price action setup
If 4+ boxes checked = High probability trade
Setting Up Alerts:
Click the three dots on the indicator
Select "Create Alert"
Choose condition:
"Institutional Buy Signal"
"Institutional Sell Signal"
"Dark Pool Activity"
Set up notification (email, SMS, app)
Save alert
Alert Strategy:
Set minimum strength to 4 for fewer, better alerts
Use for assets you can't watch constantly
Don't rely solely on alerts - check chart context
Practice Exercise:
Week 1-2: Observation
Add indicator to your favorite assets
Watch how signals develop
Note which ones lead to profitable moves
Don't trade yet - just observe
Week 3-4: Paper Trading
Use TradingView's paper trading
Trade only strength 4-5 signals
Record results in a journal
Note: entry, exit, profit/loss, what worked/didn't
Week 5+: Small Live Positions
Start with smallest position size
Trade only your best setups
Gradually increase size as you gain confidence
Keep detailed journal
Quick Reference Card:
Signal Quality Ranking:
🔥 Best Setups (Take These):
Strength 5 + Liquidity grab + Key level
Strength 4-5 + Volume >3.0 + Trend alignment
Dark Pool markers + Strength 4+ signal
✅ Good Setups:
Strength 4 at support/resistance
Strength 3-4 with strong delta
Liquidity grab + Strength 3+
⚠️ Caution (Wait for More):
Strength 2-3 in middle of nowhere
Against higher timeframe trend
Low volume (Rel Vol <1.5)
❌ Avoid:
Strength 2 only
During major news
Low liquidity hours
Against strong trend
Troubleshooting:
"Too many signals"
→ Increase Minimum Signal Strength to 4
→ Increase Volume Spike Multiplier to 2.5-3.0
"Too few signals"
→ Decrease Minimum Signal Strength to 2-3
→ Decrease Volume Spike Multiplier to 1.5
"Signals not working"
→ Check if you're trading during low volume hours
→ Verify you're using recommended timeframes
→ Make sure signals align with market structure
"Can't see liquidity zones"
→ Enable "Show Liquidity Zones" in settings
→ Adjust Swing Detection Length (try 7-15)
Resources for Further Learning:
Concepts to Study:
Order Flow Trading
Market Profile / Volume Profile
Smart Money Concepts (SMC)
Liquidity Sweeps and Stop Hunts
Institutional Order Flow
Wyckoff Method
Volume Spread Analysis (VSA)
Recommended Practice:
Study past signals on chart
Replay market using TradingView's bar replay feature
Join trading communities to share setups
Keep a detailed trading journal
Final Thoughts:
This indicator is a tool, not a crystal ball. It identifies high-probability setups where institutions are active, but still requires:
Proper risk management
Market context understanding
Patience and discipline
Continuous learning
Success Formula:
Right Tool + Proper Training + Risk Management + Discipline = Consistent Profits
Start slow, master the basics, and gradually increase complexity as you gain experience.
Good luck and trade smart! 📊📈
Position Sizing Calculator with ADR%, Account %, and RSILET ME KNOW IN COMMENTS IF YOU HAVE ANY ISSUES!
Overview
The Position Sizing Calculator with ADR% + RSI is a indicator that helps traders calculate position sizes based on risk management parameters (stop loss at low of day). It uses a fixed percentage of the account size, risk per trade, and stop loss distance (current price minus daily low) to determine the number of shares or contracts to trade. Additionally, it displays the Average Daily Range (ADR) as a percentage, the Relative Strength Index (RSI), and the price’s percentage distance from the daily low in a real-time table.
Features
Position Sizing: Calculates position size based on a fixed account percentage, risk per trade, and stop loss distance, ensuring the position value stays within the allocated capital.
ADR% Display: Shows the ADR as a percentage of the daily low, colored green if >5% or red if ≤5%.
RSI Display: Shows the RSI, colored green if oversold (<30), red if overbought (>70), or gray otherwise.
Distance from Low: Displays the current price’s percentage distance from the daily low for context.
Real-Time Table: Presents all metrics in a top-right table, updating in real-time.
Position Value Cap: Ensures the position value doesn’t exceed the allocated capital.
Minimum Stop Loss: Prevents oversized positions due to very small stop loss distances.
Customizable Parameters
Account Size ($): Set the total account balance (default: $1,000, min: $100, step: $100).
Risk Per Trade (%): The percentage of allocated capital to risk per trade (default: 1%, range: 0.1% to 10%, step: 0.1%).
Max % of Account: The fixed percentage of the account to allocate for the trade (default: 50%, range: 10% to 100%, step: 1%).
ADR Period: The number of days to calculate the ADR (default: 14, min: 1, step: 1).
RSI Length: The period for RSI calculation (default: 14, min: 1, step: 1).
Min Stop Loss Distance ($): The minimum stop loss distance to prevent oversized positions (default: $0.01, min: $0.001, step: $0.001).
Calculations
Stop Loss Distance: Current price minus daily low, with a minimum value set by the user.
Position Size: (Account Size * Max % of Account * Risk Per Trade %) / Stop Loss Distance, capped so the position value doesn’t exceed the allocated capital.
ADR%: 100 * (SMA(daily high / daily low, ADR Period) - 1), reflecting the average daily range relative to the low.
RSI: Calculated using the smoothed average of gains and losses over the RSI period, with special handling for zero gains or losses.
Distance from Low: (Current Price - Daily Low) / Daily Low * 100.
Table Display
Account Size: The input account balance.
Risk Per Trade: The risk percentage.
Stop Loss Distance: The price difference between the current price and daily low.
Distance from Low: The percentage distance from the daily low.
Account % Used: The fixed percentage of the account allocated.
Position Size: The calculated number of shares or contracts.
Position Value: The position size multiplied by the current price.
ADR %: The ADR percentage, colored green (>5%) or red (≤5%).
RSI: The RSI value, colored green (<30), red (>70), or gray (30–70).
Usage
Ideal for traders managing risk by allocating a fixed portion of their account and sizing positions based on stop loss distance.
The ADR% and RSI provide market context, with color coding to highlight high volatility or overbought/oversold conditions.
Adjust the customizable parameters to fit your trading style, such as increasing the risk percentage for aggressive trades or adjusting the ADR/RSI periods for different time horizons.
Kelly Position Size CalculatorThis position sizing calculator implements the Kelly Criterion, developed by John L. Kelly Jr. at Bell Laboratories in 1956, to determine mathematically optimal position sizes for maximizing long-term wealth growth. Unlike arbitrary position sizing methods, this tool provides a scientifically solution based on your strategy's actual performance statistics and incorporates modern refinements from over six decades of academic research.
The Kelly Criterion addresses a fundamental question in capital allocation: "What fraction of capital should be allocated to each opportunity to maximize growth while avoiding ruin?" This question has profound implications for financial markets, where traders and investors constantly face decisions about optimal capital allocation (Van Tharp, 2007).
Theoretical Foundation
The Kelly Criterion for binary outcomes is expressed as f* = (bp - q) / b, where f* represents the optimal fraction of capital to allocate, b denotes the risk-reward ratio, p indicates the probability of success, and q represents the probability of loss (Kelly, 1956). This formula maximizes the expected logarithm of wealth, ensuring maximum long-term growth rate while avoiding the risk of ruin.
The mathematical elegance of Kelly's approach lies in its derivation from information theory. Kelly's original work was motivated by Claude Shannon's information theory (Shannon, 1948), recognizing that maximizing the logarithm of wealth is equivalent to maximizing the rate of information transmission. This connection between information theory and wealth accumulation provides a deep theoretical foundation for optimal position sizing.
The logarithmic utility function underlying the Kelly Criterion naturally embodies several desirable properties for capital management. It exhibits decreasing marginal utility, penalizes large losses more severely than it rewards equivalent gains, and focuses on geometric rather than arithmetic mean returns, which is appropriate for compounding scenarios (Thorp, 2006).
Scientific Implementation
This calculator extends beyond basic Kelly implementation by incorporating state of the art refinements from academic research:
Parameter Uncertainty Adjustment: Following Michaud (1989), the implementation applies Bayesian shrinkage to account for parameter estimation error inherent in small sample sizes. The adjustment formula f_adjusted = f_kelly × confidence_factor + f_conservative × (1 - confidence_factor) addresses the overconfidence bias documented by Baker and McHale (2012), where the confidence factor increases with sample size and the conservative estimate equals 0.25 (quarter Kelly).
Sample Size Confidence: The reliability of Kelly calculations depends critically on sample size. Research by Browne and Whitt (1996) provides theoretical guidance on minimum sample requirements, suggesting that at least 30 independent observations are necessary for meaningful parameter estimates, with 100 or more trades providing reliable estimates for most trading strategies.
Universal Asset Compatibility: The calculator employs intelligent asset detection using TradingView's built-in symbol information, automatically adapting calculations for different asset classes without manual configuration.
ASSET SPECIFIC IMPLEMENTATION
Equity Markets: For stocks and ETFs, position sizing follows the calculation Shares = floor(Kelly Fraction × Account Size / Share Price). This straightforward approach reflects whole share constraints while accommodating fractional share trading capabilities.
Foreign Exchange Markets: Forex markets require lot-based calculations following Lot Size = Kelly Fraction × Account Size / (100,000 × Base Currency Value). The calculator automatically handles major currency pairs with appropriate pip value calculations, following industry standards described by Archer (2010).
Futures Markets: Futures position sizing accounts for leverage and margin requirements through Contracts = floor(Kelly Fraction × Account Size / Margin Requirement). The calculator estimates margin requirements as a percentage of contract notional value, with specific adjustments for micro-futures contracts that have smaller sizes and reduced margin requirements (Kaufman, 2013).
Index and Commodity Markets: These markets combine characteristics of both equity and futures markets. The calculator automatically detects whether instruments are cash-settled or futures-based, applying appropriate sizing methodologies with correct point value calculations.
Risk Management Integration
The calculator integrates sophisticated risk assessment through two primary modes:
Stop Loss Integration: When fixed stop-loss levels are defined, risk calculation follows Risk per Trade = Position Size × Stop Loss Distance. This ensures that the Kelly fraction accounts for actual risk exposure rather than theoretical maximum loss, with stop-loss distance measured in appropriate units for each asset class.
Strategy Drawdown Assessment: For discretionary exit strategies, risk estimation uses maximum historical drawdown through Risk per Trade = Position Value × (Maximum Drawdown / 100). This approach assumes that individual trade losses will not exceed the strategy's historical maximum drawdown, providing a reasonable estimate for strategies with well-defined risk characteristics.
Fractional Kelly Approaches
Pure Kelly sizing can produce substantial volatility, leading many practitioners to adopt fractional Kelly approaches. MacLean, Sanegre, Zhao, and Ziemba (2004) analyze the trade-offs between growth rate and volatility, demonstrating that half-Kelly typically reduces volatility by approximately 75% while sacrificing only 25% of the growth rate.
The calculator provides three primary Kelly modes to accommodate different risk preferences and experience levels. Full Kelly maximizes growth rate while accepting higher volatility, making it suitable for experienced practitioners with strong risk tolerance and robust capital bases. Half Kelly offers a balanced approach popular among professional traders, providing optimal risk-return balance by reducing volatility significantly while maintaining substantial growth potential. Quarter Kelly implements a conservative approach with low volatility, recommended for risk-averse traders or those new to Kelly methodology who prefer gradual introduction to optimal position sizing principles.
Empirical Validation and Performance
Extensive academic research supports the theoretical advantages of Kelly sizing. Hakansson and Ziemba (1995) provide a comprehensive review of Kelly applications in finance, documenting superior long-term performance across various market conditions and asset classes. Estrada (2008) analyzes Kelly performance in international equity markets, finding that Kelly-based strategies consistently outperform fixed position sizing approaches over extended periods across 19 developed markets over a 30-year period.
Several prominent investment firms have successfully implemented Kelly-based position sizing. Pabrai (2007) documents the application of Kelly principles at Berkshire Hathaway, noting Warren Buffett's concentrated portfolio approach aligns closely with Kelly optimal sizing for high-conviction investments. Quantitative hedge funds, including Renaissance Technologies and AQR, have incorporated Kelly-based risk management into their systematic trading strategies.
Practical Implementation Guidelines
Successful Kelly implementation requires systematic application with attention to several critical factors:
Parameter Estimation: Accurate parameter estimation represents the greatest challenge in practical Kelly implementation. Brown (1976) notes that small errors in probability estimates can lead to significant deviations from optimal performance. The calculator addresses this through Bayesian adjustments and confidence measures.
Sample Size Requirements: Users should begin with conservative fractional Kelly approaches until achieving sufficient historical data. Strategies with fewer than 30 trades may produce unreliable Kelly estimates, regardless of adjustments. Full confidence typically requires 100 or more independent trade observations.
Market Regime Considerations: Parameters that accurately describe historical performance may not reflect future market conditions. Ziemba (2003) recommends regular parameter updates and conservative adjustments when market conditions change significantly.
Professional Features and Customization
The calculator provides comprehensive customization options for professional applications:
Multiple Color Schemes: Eight professional color themes (Gold, EdgeTools, Behavioral, Quant, Ocean, Fire, Matrix, Arctic) with dark and light theme compatibility ensure optimal visibility across different trading environments.
Flexible Display Options: Adjustable table size and position accommodate various chart layouts and user preferences, while maintaining analytical depth and clarity.
Comprehensive Results: The results table presents essential information including asset specifications, strategy statistics, Kelly calculations, sample confidence measures, position values, risk assessments, and final position sizes in appropriate units for each asset class.
Limitations and Considerations
Like any analytical tool, the Kelly Criterion has important limitations that users must understand:
Stationarity Assumption: The Kelly Criterion assumes that historical strategy statistics represent future performance characteristics. Non-stationary market conditions may invalidate this assumption, as noted by Lo and MacKinlay (1999).
Independence Requirement: Each trade should be independent to avoid correlation effects. Many trading strategies exhibit serial correlation in returns, which can affect optimal position sizing and may require adjustments for portfolio applications.
Parameter Sensitivity: Kelly calculations are sensitive to parameter accuracy. Regular calibration and conservative approaches are essential when parameter uncertainty is high.
Transaction Costs: The implementation incorporates user-defined transaction costs but assumes these remain constant across different position sizes and market conditions, following Ziemba (2003).
Advanced Applications and Extensions
Multi-Asset Portfolio Considerations: While this calculator optimizes individual position sizes, portfolio-level applications require additional considerations for correlation effects and aggregate risk management. Simplified portfolio approaches include treating positions independently with correlation adjustments.
Behavioral Factors: Behavioral finance research reveals systematic biases that can interfere with Kelly implementation. Kahneman and Tversky (1979) document loss aversion, overconfidence, and other cognitive biases that lead traders to deviate from optimal strategies. Successful implementation requires disciplined adherence to calculated recommendations.
Time-Varying Parameters: Advanced implementations may incorporate time-varying parameter models that adjust Kelly recommendations based on changing market conditions, though these require sophisticated econometric techniques and substantial computational resources.
Comprehensive Usage Instructions and Practical Examples
Implementation begins with loading the calculator on your desired trading instrument's chart. The system automatically detects asset type across stocks, forex, futures, and cryptocurrency markets while extracting current price information. Navigation to the indicator settings allows input of your specific strategy parameters.
Strategy statistics configuration requires careful attention to several key metrics. The win rate should be calculated from your backtest results using the formula of winning trades divided by total trades multiplied by 100. Average win represents the sum of all profitable trades divided by the number of winning trades, while average loss calculates the sum of all losing trades divided by the number of losing trades, entered as a positive number. The total historical trades parameter requires the complete number of trades in your backtest, with a minimum of 30 trades recommended for basic functionality and 100 or more trades optimal for statistical reliability. Account size should reflect your available trading capital, specifically the risk capital allocated for trading rather than total net worth.
Risk management configuration adapts to your specific trading approach. The stop loss setting should be enabled if you employ fixed stop-loss exits, with the stop loss distance specified in appropriate units depending on the asset class. For stocks, this distance is measured in dollars, for forex in pips, and for futures in ticks. When stop losses are not used, the maximum strategy drawdown percentage from your backtest provides the risk assessment baseline. Kelly mode selection offers three primary approaches: Full Kelly for aggressive growth with higher volatility suitable for experienced practitioners, Half Kelly for balanced risk-return optimization popular among professional traders, and Quarter Kelly for conservative approaches with reduced volatility.
Display customization ensures optimal integration with your trading environment. Eight professional color themes provide optimization for different chart backgrounds and personal preferences. Table position selection allows optimal placement within your chart layout, while table size adjustment ensures readability across different screen resolutions and viewing preferences.
Detailed Practical Examples
Example 1: SPY Swing Trading Strategy
Consider a professionally developed swing trading strategy for SPY (S&P 500 ETF) with backtesting results spanning 166 total trades. The strategy achieved 110 winning trades, representing a 66.3% win rate, with an average winning trade of $2,200 and average losing trade of $862. The maximum drawdown reached 31.4% during the testing period, and the available trading capital amounts to $25,000. This strategy employs discretionary exits without fixed stop losses.
Implementation requires loading the calculator on the SPY daily chart and configuring the parameters accordingly. The win rate input receives 66.3, while average win and loss inputs receive 2200 and 862 respectively. Total historical trades input requires 166, with account size set to 25000. The stop loss function remains disabled due to the discretionary exit approach, with maximum strategy drawdown set to 31.4%. Half Kelly mode provides the optimal balance between growth and risk management for this application.
The calculator generates several key outputs for this scenario. The risk-reward ratio calculates automatically to 2.55, while the Kelly fraction reaches approximately 53% before scientific adjustments. Sample confidence achieves 100% given the 166 trades providing high statistical confidence. The recommended position settles at approximately 27% after Half Kelly and Bayesian adjustment factors. Position value reaches approximately $6,750, translating to 16 shares at a $420 SPY price. Risk per trade amounts to approximately $2,110, representing 31.4% of position value, with expected value per trade reaching approximately $1,466. This recommendation represents the mathematically optimal balance between growth potential and risk management for this specific strategy profile.
Example 2: EURUSD Day Trading with Stop Losses
A high-frequency EURUSD day trading strategy demonstrates different parameter requirements compared to swing trading approaches. This strategy encompasses 89 total trades with a 58% win rate, generating an average winning trade of $180 and average losing trade of $95. The maximum drawdown reached 12% during testing, with available capital of $10,000. The strategy employs fixed stop losses at 25 pips and take profit targets at 45 pips, providing clear risk-reward parameters.
Implementation begins with loading the calculator on the EURUSD 1-hour chart for appropriate timeframe alignment. Parameter configuration includes win rate at 58, average win at 180, and average loss at 95. Total historical trades input receives 89, with account size set to 10000. The stop loss function is enabled with distance set to 25 pips, reflecting the fixed exit strategy. Quarter Kelly mode provides conservative positioning due to the smaller sample size compared to the previous example.
Results demonstrate the impact of smaller sample sizes on Kelly calculations. The risk-reward ratio calculates to 1.89, while the Kelly fraction reaches approximately 32% before adjustments. Sample confidence achieves 89%, providing moderate statistical confidence given the 89 trades. The recommended position settles at approximately 7% after Quarter Kelly application and Bayesian shrinkage adjustment for the smaller sample. Position value amounts to approximately $700, translating to 0.07 standard lots. Risk per trade reaches approximately $175, calculated as 25 pips multiplied by lot size and pip value, with expected value per trade at approximately $49. This conservative position sizing reflects the smaller sample size, with position sizes expected to increase as trade count surpasses 100 and statistical confidence improves.
Example 3: ES1! Futures Systematic Strategy
Systematic futures trading presents unique considerations for Kelly criterion application, as demonstrated by an E-mini S&P 500 futures strategy encompassing 234 total trades. This systematic approach achieved a 45% win rate with an average winning trade of $1,850 and average losing trade of $720. The maximum drawdown reached 18% during the testing period, with available capital of $50,000. The strategy employs 15-tick stop losses with contract specifications of $50 per tick, providing precise risk control mechanisms.
Implementation involves loading the calculator on the ES1! 15-minute chart to align with the systematic trading timeframe. Parameter configuration includes win rate at 45, average win at 1850, and average loss at 720. Total historical trades receives 234, providing robust statistical foundation, with account size set to 50000. The stop loss function is enabled with distance set to 15 ticks, reflecting the systematic exit methodology. Half Kelly mode balances growth potential with appropriate risk management for futures trading.
Results illustrate how favorable risk-reward ratios can support meaningful position sizing despite lower win rates. The risk-reward ratio calculates to 2.57, while the Kelly fraction reaches approximately 16%, lower than previous examples due to the sub-50% win rate. Sample confidence achieves 100% given the 234 trades providing high statistical confidence. The recommended position settles at approximately 8% after Half Kelly adjustment. Estimated margin per contract amounts to approximately $2,500, resulting in a single contract allocation. Position value reaches approximately $2,500, with risk per trade at $750, calculated as 15 ticks multiplied by $50 per tick. Expected value per trade amounts to approximately $508. Despite the lower win rate, the favorable risk-reward ratio supports meaningful position sizing, with single contract allocation reflecting appropriate leverage management for futures trading.
Example 4: MES1! Micro-Futures for Smaller Accounts
Micro-futures contracts provide enhanced accessibility for smaller trading accounts while maintaining identical strategy characteristics. Using the same systematic strategy statistics from the previous example but with available capital of $15,000 and micro-futures specifications of $5 per tick with reduced margin requirements, the implementation demonstrates improved position sizing granularity.
Kelly calculations remain identical to the full-sized contract example, maintaining the same risk-reward dynamics and statistical foundations. However, estimated margin per contract reduces to approximately $250 for micro-contracts, enabling allocation of 4-5 micro-contracts. Position value reaches approximately $1,200, while risk per trade calculates to $75, derived from 15 ticks multiplied by $5 per tick. This granularity advantage provides better position size precision for smaller accounts, enabling more accurate Kelly implementation without requiring large capital commitments.
Example 5: Bitcoin Swing Trading
Cryptocurrency markets present unique challenges requiring modified Kelly application approaches. A Bitcoin swing trading strategy on BTCUSD encompasses 67 total trades with a 71% win rate, generating average winning trades of $3,200 and average losing trades of $1,400. Maximum drawdown reached 28% during testing, with available capital of $30,000. The strategy employs technical analysis for exits without fixed stop losses, relying on price action and momentum indicators.
Implementation requires conservative approaches due to cryptocurrency volatility characteristics. Quarter Kelly mode is recommended despite the high win rate to account for crypto market unpredictability. Expected position sizing remains reduced due to the limited sample size of 67 trades, requiring additional caution until statistical confidence improves. Regular parameter updates are strongly recommended due to cryptocurrency market evolution and changing volatility patterns that can significantly impact strategy performance characteristics.
Advanced Usage Scenarios
Portfolio position sizing requires sophisticated consideration when running multiple strategies simultaneously. Each strategy should have its Kelly fraction calculated independently to maintain mathematical integrity. However, correlation adjustments become necessary when strategies exhibit related performance patterns. Moderately correlated strategies should receive individual position size reductions of 10-20% to account for overlapping risk exposure. Aggregate portfolio risk monitoring ensures total exposure remains within acceptable limits across all active strategies. Professional practitioners often consider using lower fractional Kelly approaches, such as Quarter Kelly, when running multiple strategies simultaneously to provide additional safety margins.
Parameter sensitivity analysis forms a critical component of professional Kelly implementation. Regular validation procedures should include monthly parameter updates using rolling 100-trade windows to capture evolving market conditions while maintaining statistical relevance. Sensitivity testing involves varying win rates by ±5% and average win/loss ratios by ±10% to assess recommendation stability under different parameter assumptions. Out-of-sample validation reserves 20% of historical data for parameter verification, ensuring that optimization doesn't create curve-fitted results. Regime change detection monitors actual performance against expected metrics, triggering parameter reassessment when significant deviations occur.
Risk management integration requires professional overlay considerations beyond pure Kelly calculations. Daily loss limits should cease trading when daily losses exceed twice the calculated risk per trade, preventing emotional decision-making during adverse periods. Maximum position limits should never exceed 25% of account value in any single position regardless of Kelly recommendations, maintaining diversification principles. Correlation monitoring reduces position sizes when holding multiple correlated positions that move together during market stress. Volatility adjustments consider reducing position sizes during periods of elevated VIX above 25 for equity strategies, adapting to changing market conditions.
Troubleshooting and Optimization
Professional implementation often encounters specific challenges requiring systematic troubleshooting approaches. Zero position size displays typically result from insufficient capital for minimum position sizes, negative expected values, or extremely conservative Kelly calculations. Solutions include increasing account size, verifying strategy statistics for accuracy, considering Quarter Kelly mode for conservative approaches, or reassessing overall strategy viability when fundamental issues exist.
Extremely high Kelly fractions exceeding 50% usually indicate underlying problems with parameter estimation. Common causes include unrealistic win rates, inflated risk-reward ratios, or curve-fitted backtest results that don't reflect genuine trading conditions. Solutions require verifying backtest methodology, including all transaction costs in calculations, testing strategies on out-of-sample data, and using conservative fractional Kelly approaches until parameter reliability improves.
Low sample confidence below 50% reflects insufficient historical trades for reliable parameter estimation. This situation demands gathering additional trading data, using Quarter Kelly approaches until reaching 100 or more trades, applying extra conservatism in position sizing, and considering paper trading to build statistical foundations without capital risk.
Inconsistent results across similar strategies often stem from parameter estimation differences, market regime changes, or strategy degradation over time. Professional solutions include standardizing backtest methodology across all strategies, updating parameters regularly to reflect current conditions, and monitoring live performance against expectations to identify deteriorating strategies.
Position sizes that appear inappropriately large or small require careful validation against traditional risk management principles. Professional standards recommend never risking more than 2-3% per trade regardless of Kelly calculations. Calibration should begin with Quarter Kelly approaches, gradually increasing as comfort and confidence develop. Most institutional traders utilize 25-50% of full Kelly recommendations to balance growth with prudent risk management.
Market condition adjustments require dynamic approaches to Kelly implementation. Trending markets may support full Kelly recommendations when directional momentum provides favorable conditions. Ranging or volatile markets typically warrant reducing to Half or Quarter Kelly to account for increased uncertainty. High correlation periods demand reducing individual position sizes when multiple positions move together, concentrating risk exposure. News and event periods often justify temporary position size reductions during high-impact releases that can create unpredictable market movements.
Performance monitoring requires systematic protocols to ensure Kelly implementation remains effective over time. Weekly reviews should compare actual versus expected win rates and average win/loss ratios to identify parameter drift or strategy degradation. Position size efficiency and execution quality monitoring ensures that calculated recommendations translate effectively into actual trading results. Tracking correlation between calculated and realized risk helps identify discrepancies between theoretical and practical risk exposure.
Monthly calibration provides more comprehensive parameter assessment using the most recent 100 trades to maintain statistical relevance while capturing current market conditions. Kelly mode appropriateness requires reassessment based on recent market volatility and performance characteristics, potentially shifting between Full, Half, and Quarter Kelly approaches as conditions change. Transaction cost evaluation ensures that commission structures, spreads, and slippage estimates remain accurate and current.
Quarterly strategic reviews encompass comprehensive strategy performance analysis comparing long-term results against expectations and identifying trends in effectiveness. Market regime assessment evaluates parameter stability across different market conditions, determining whether strategy characteristics remain consistent or require fundamental adjustments. Strategic modifications to position sizing methodology may become necessary as markets evolve or trading approaches mature, ensuring that Kelly implementation continues supporting optimal capital allocation objectives.
Professional Applications
This calculator serves diverse professional applications across the financial industry. Quantitative hedge funds utilize the implementation for systematic position sizing within algorithmic trading frameworks, where mathematical precision and consistent application prove essential for institutional capital management. Professional discretionary traders benefit from optimized position management that removes emotional bias while maintaining flexibility for market-specific adjustments. Portfolio managers employ the calculator for developing risk-adjusted allocation strategies that enhance returns while maintaining prudent risk controls across diverse asset classes and investment strategies.
Individual traders seeking mathematical optimization of capital allocation find the calculator provides institutional-grade methodology previously available only to professional money managers. The Kelly Criterion establishes theoretical foundation for optimal capital allocation across both single strategies and multiple trading systems, offering significant advantages over arbitrary position sizing methods that rely on intuition or fixed percentage approaches. Professional implementation ensures consistent application of mathematically sound principles while adapting to changing market conditions and strategy performance characteristics.
Conclusion
The Kelly Criterion represents one of the few mathematically optimal solutions to fundamental investment problems. When properly understood and carefully implemented, it provides significant competitive advantage in financial markets. This calculator implements modern refinements to Kelly's original formula while maintaining accessibility for practical trading applications.
Success with Kelly requires ongoing learning, systematic application, and continuous refinement based on market feedback and evolving research. Users who master Kelly principles and implement them systematically can expect superior risk-adjusted returns and more consistent capital growth over extended periods.
The extensive academic literature provides rich resources for deeper study, while practical experience builds the intuition necessary for effective implementation. Regular parameter updates, conservative approaches with limited data, and disciplined adherence to calculated recommendations are essential for optimal results.
References
Archer, M. D. (2010). Getting Started in Currency Trading: Winning in Today's Forex Market (3rd ed.). John Wiley & Sons.
Baker, R. D., & McHale, I. G. (2012). An empirical Bayes approach to optimising betting strategies. Journal of the Royal Statistical Society: Series D (The Statistician), 61(1), 75-92.
Breiman, L. (1961). Optimal gambling systems for favorable games. In J. Neyman (Ed.), Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability (pp. 65-78). University of California Press.
Brown, D. B. (1976). Optimal portfolio growth: Logarithmic utility and the Kelly criterion. In W. T. Ziemba & R. G. Vickson (Eds.), Stochastic Optimization Models in Finance (pp. 1-23). Academic Press.
Browne, S., & Whitt, W. (1996). Portfolio choice and the Bayesian Kelly criterion. Advances in Applied Probability, 28(4), 1145-1176.
Estrada, J. (2008). Geometric mean maximization: An overlooked portfolio approach? The Journal of Investing, 17(4), 134-147.
Hakansson, N. H., & Ziemba, W. T. (1995). Capital growth theory. In R. A. Jarrow, V. Maksimovic, & W. T. Ziemba (Eds.), Handbooks in Operations Research and Management Science (Vol. 9, pp. 65-86). Elsevier.
Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-291.
Kaufman, P. J. (2013). Trading Systems and Methods (5th ed.). John Wiley & Sons.
Kelly Jr, J. L. (1956). A new interpretation of information rate. Bell System Technical Journal, 35(4), 917-926.
Lo, A. W., & MacKinlay, A. C. (1999). A Non-Random Walk Down Wall Street. Princeton University Press.
MacLean, L. C., Sanegre, E. O., Zhao, Y., & Ziemba, W. T. (2004). Capital growth with security. Journal of Economic Dynamics and Control, 28(4), 937-954.
MacLean, L. C., Thorp, E. O., & Ziemba, W. T. (2011). The Kelly Capital Growth Investment Criterion: Theory and Practice. World Scientific.
Michaud, R. O. (1989). The Markowitz optimization enigma: Is 'optimized' optimal? Financial Analysts Journal, 45(1), 31-42.
Pabrai, M. (2007). The Dhandho Investor: The Low-Risk Value Method to High Returns. John Wiley & Sons.
Shannon, C. E. (1948). A mathematical theory of communication. Bell System Technical Journal, 27(3), 379-423.
Tharp, V. K. (2007). Trade Your Way to Financial Freedom (2nd ed.). McGraw-Hill.
Thorp, E. O. (2006). The Kelly criterion in blackjack sports betting, and the stock market. In L. C. MacLean, E. O. Thorp, & W. T. Ziemba (Eds.), The Kelly Capital Growth Investment Criterion: Theory and Practice (pp. 789-832). World Scientific.
Van Tharp, K. (2007). Trade Your Way to Financial Freedom (2nd ed.). McGraw-Hill Education.
Vince, R. (1992). The Mathematics of Money Management: Risk Analysis Techniques for Traders. John Wiley & Sons.
Vince, R., & Zhu, H. (2015). Optimal betting under parameter uncertainty. Journal of Statistical Planning and Inference, 161, 19-31.
Ziemba, W. T. (2003). The Stochastic Programming Approach to Asset, Liability, and Wealth Management. The Research Foundation of AIMR.
Further Reading
For comprehensive understanding of Kelly Criterion applications and advanced implementations:
MacLean, L. C., Thorp, E. O., & Ziemba, W. T. (2011). The Kelly Capital Growth Investment Criterion: Theory and Practice. World Scientific.
Vince, R. (1992). The Mathematics of Money Management: Risk Analysis Techniques for Traders. John Wiley & Sons.
Thorp, E. O. (2017). A Man for All Markets: From Las Vegas to Wall Street. Random House.
Cover, T. M., & Thomas, J. A. (2006). Elements of Information Theory (2nd ed.). John Wiley & Sons.
Ziemba, W. T., & Vickson, R. G. (Eds.). (2006). Stochastic Optimization Models in Finance. World Scientific.
Breakouts with Trailing Stops V6 + AlertsBreakouts with Trailing Stops in Trading
Breakout trading is a strategy where traders aim to profit from an asset's price moving outside a defined support or resistance level, signaling a potential new trend. Trailing stops are a key risk management tool often used with breakouts to protect profits and limit potential losses.
What is a breakout?
A breakout occurs when an asset's price moves decisively above a resistance level (for a bullish breakout) or below a support level (for a bearish breakdown). This often signals increased momentum and potential for a significant price movement in the direction of the breakout.
Why use trailing stops with breakouts?
Trailing stops are particularly useful in breakout trading because they allow traders to capture potential profits as the price moves in their favor, while automatically adjusting to protect against sudden reversals.
How do trailing stops work with breakouts?
Initial Stop-Loss: When entering a breakout trade, a traditional stop-loss order is placed at a predetermined level to limit potential losses if the price reverses. For example, in a long position after a resistance breakout, the initial stop-loss might be placed below the former resistance level (which can now act as support).
Trailing Stop Activation: Once the price moves a favorable distance beyond the entry point, the trailing stop loss is activated. As highlighted by StoneX, it is a dynamic order that follows the price as it continues to move in the desired direction, maintaining a set distance below (for a long position) or above (for a short position) the current market price.
Profit Locking: If the price continues to rise (or fall for a short position), the trailing stop will move with it, "locking in" profits by raising the stop-loss level.
Exit Strategy: If the price reverses and hits the trailing stop, the position is automatically closed, ensuring that the trader retains a portion of the gains made while in the trade.
Advantages of using trailing stops with breakouts:
Locks in profits: Trailing stops help protect profits generated from successful breakout trades.
Automates exits: They automate the exit process, helping traders avoid emotional decision-making when the price reverses.
Allows for potential gains: They allow traders to stay in profitable trades as long as the trend continues.
Disadvantages of using trailing stops with breakouts:
Whipsaw risk: In volatile markets, the trailing stop may be triggered prematurely by minor price fluctuations.
Potential for missed gains: If the trailing stop is set too tightly, it may prevent the trader from capturing the maximum potential gains if the price experiences a minor pullback before continuing in the desired direction.
Tips for using trailing stops with breakouts:
Consider the asset's volatility: Adjust the trailing stop distance based on the asset's volatility to minimize the risk of premature stops.
Test different trailing stop methods: Experiment with different trailing stop methods to find what works best for your trading style and the specific asset you are trading.
Backtest your strategy: Before applying a trailing stop strategy to live trading, backtest it on historical data to evaluate its performance under different market conditions.
Combine with other indicators: Use other technical indicators, such as volume or momentum oscillators, to confirm the validity of breakouts and improve the effectiveness of your trailing stop strategy.
By carefully considering the market dynamics, using appropriate indicators, and implementing proper risk management techniques, traders can effectively utilize trailing stops with breakouts to capture potential profits while minimizing risk.
Have a good trade.
LotSize CalculatorLotSize Calculator Documentation
Overview
The LotSize Calculator is a powerful TradingView indicator designed to help traders calculate optimal position sizes based on risk management principles. It provides a visual representation of trade setups, including entry points, stop losses, and take profits, while calculating the appropriate lot size based on your risk preferences.
Key Features
Automatic lot size calculation based on risk amount
Support for multiple asset classes (forex, commodities, indices, etc.)
Visual R-multiple levels (1R to 5R)
Real-time position tracking with drawdown and run-up statistics
Customizable visual elements and display options
Input Parameters
Risk Management Settings
Risk Amount Type: Choose between risking a fixed amount in dollars ($) or a specific lot size.
Risk Amount: The amount you want to risk on the trade (in dollars if Risk Amount Type is set to $, or in lots if set to Lots).
Overwrite TP: Optional setting to automatically set take profit at a specific R-multiple (1R, 2R, 3R, 4R, or 5R).
Table Comments: Optional field to add personal notes to the position table.
Trade Setup Levels
Trigger Price: The price at which your trade will be entered.
Stop Loss: Your predetermined exit price to limit losses.
Take Profit: Your target price to secure profits.
Time Of Setup Start Bar: The starting time for your trade setup window.
Display Settings
Plot Position Labels: Toggle to show/hide position information labels on the chart.
Plot Position Table: Toggle to show/hide the position information table.
Show Money: Toggle to display monetary values ($) in the labels and table.
Show Points: Toggle to display point values in the labels and table.
Show Ticks: Toggle to display tick values in the labels and table.
Visual Appearance
Entry Color: Color for entry level line and labels.
Take Profit Color: Color for take profit level line and labels.
Stop Loss Color: Color for stop loss level line and labels.
Label Text Color: Color for text in the position labels.
Table Background: Background color for the position information table.
Table Text: Text color for the position information table.
R Labels: Color for the R-multiple level labels.
Table Position: Position of the information table on the chart (options: Bottom Right, Bottom Left, Bottom Middle, Top Right, Top Middle).
How to Use
Basic Setup
Set your entry price in the "Trigger Price" field.
Set your stop loss level in the "Stop Loss" field.
Set your take profit level in the "Take Profit" field.
Choose your risk amount type ($ or Lots) and enter the risk amount.
Optionally, select an R-multiple for automatic take profit calculation.
Understanding the Display
The indicator will show:
Horizontal lines for entry, stop loss, and take profit levels
Colored zones between entry and take profit (potential profit zone) and between entry and stop loss (potential loss zone)
R-multiple levels based on your risk (1R, 2R, 3R, 4R, 5R)
A table displaying:
Position type (long/short) and size
Original risk and reward figures
Maximum run-up and drawdown during the trade
Trade Monitoring
Once a trade is triggered (either by price crossing a stop entry or reaching a limit entry), the indicator tracks:
Current position value
Maximum run-up (highest profit seen)
Maximum drawdown (largest loss seen)
Trade outcome when take profit or stop loss is hit
Advanced Features
Asset Type Detection
The LotSize Calculator automatically detects the type of asset being traded (forex, commodity, index, etc.) and adjusts calculations accordingly to ensure accurate position sizing.
R-Multiple Visualization
R-multiples help visualize potential reward relative to risk. For example, 2R means the potential reward is twice the amount risked. The indicator displays these levels directly on your chart for easy reference.
Adaptive Position Labels
Position labels adjust their display based on trade direction (long or short) and include relevant information about risk, reward, and current position status.
Best Practices
Always confirm your risk is appropriate for your account size (typically 1-2% of account per trade).
Use the R-multiple visualization to ensure your trades offer favorable risk-to-reward ratios.
The indicator works best when used alongside your existing strategy for entry and exit signals.
Customize the visual appearance to match your chart theme for better visibility.
Troubleshooting
If position calculations seem incorrect, verify that the indicator is detecting the correct instrument type.
For forex pairs, ensure your broker's lot size conventions match those used by the indicator.
The indicator may need adjustment for certain exotic instruments or markets with unusual tick sizes.
Flux Charts - SFX Screener💎 GENERAL OVERVIEW
The SFX Screener by Flux Charts is a multi-timeframe market scanner that extracts and visually organizes key conditions detected by the SFX Algo indicator across multiple assets in real-time. It does not perform independent analysis or generate new signals—instead, it pulls data directly from the SFX Algo’s calculations to ensure full alignment across different timeframes and tickers.
The SFX Algo is a multi-factor trading indicator that integrates trend analysis, signal generation, market overlays, and take-profit/stop-loss levels into a single system. It evaluates multiple trend components, including EMA direction, momentum shifts, and volatility cycles, to determine market conditions. Signal generation is based on an Adjusted Weighted Majority Algorithm, filtering out weaker signals by prioritizing the most reliable market indicators. Market overlays, such as Volatility Bands and the Retracement Wave, provide dynamic support, resistance, exit points, and entry points. Its adaptable structure allows traders to customize settings based on strategy preferences, making it effective for scalping, swing trading, and long-term trend analysis.
The SFX Screener’s purpose is to give traders a dashboard view of these SFX Algo signals across multiple tickers and timeframes in real-time.
📌 HOW DOES IT WORK ?
The SFX Algo indicator employs an Adjusted Weighted Majority algorithm to generate "buy" and "sell" signals. It evaluates multiple market indicators ("experts"), including momentum, ATR trends, and EMA trends, and assigns weights based on their recent performance. The "Time Weighting" setting allows users to balance between using more historical data or prioritizing recent trends. Unlike traditional weighted majority methods, SFX also dynamically penalizes larger losses. Signals are confirmed based on the consensus of the most successful indicators within the selected time period, filtering out weaker signals during underperforming phases.
The SFX Screener extracts these calculated outputs and visually organizes them into a real-time dashboard. Each signal, status, and volatility condition displayed in the screener is a direct output from the SFX Algo indicator.
🚩 UNIQUENESS
Unlike traditional screeners that rely on preset filters or static conditions, the SFX Screener dynamically updates its dashboard based on live outputs from the SFX Algo’s adaptive algorithm.
Traditional Screeners → Use predefined filters like “price above EMA” or “RSI overbought.” They do not adjust to market dynamics.
SFX Screener → Displays outputs directly from an adaptive algorithm that continuously evaluates trends, volatility, and momentum changes.
The SFX Screener can show SFX Algo's status on 8 different tickers on different timeframes. Key factors that make it unique include:
✅ Real-time sync with SFX Algo → Displays live conditions, not static filters.
✅ Comprehensive Dashboard – This screener provides a complete and customizable dashboard designed to enhance traders' decision-making by consolidating crucial SFX Algo insights into one user-friendly interface.
✅ Multi-Ticker & Multi-Timeframe Analysis – With support for up to 8 tickers and timeframes, traders can effortlessly analyze the bigger market picture, identifying trends and opportunities across different assets and timeframes.
By combining multiple analytical elements in a single view, this screener empowers traders with the insights needed to navigate the market more effectively.
🎯 SFX SCREENER FEATURES:
SFX Algo Signals : This tool can detect SFX Algo signals across different tickers & timeframes.
Volatility Bands : Detection of Volatility Bands Status & Retests.
Retracement Wave : Detection of Retracement Wave Status & Retests.
Highly Configurable : Offers multiple parameters for fine-tuning detection settings.
Up to 8 Tickers : Allows traders to analyze multiple tickers & timeframes simultaneously for enhanced accuracy.
📊 SFX SCREENER DATA BREAKDOWN
Signal ->
Buy -> The latest signal is a buy signal.
Sell -> The latest signal is a sell signal.
The rating of the signal is shown after the signal type.
Δ⭐ ->
Shows the rating change (delta) after the signal is triggered. Positive values mean that the rating is increased after the signal is given, negative values mean that it's decreased.
Status ->
Displays the amount of time passed after the signal is given.
TP Targets ->
Shows the Take-Profit targets of the signal, if a target was achieved, there is a ✅ symbol near it and the next target it displayed.
V. Bands ->
The Volatility Bands dynamically adjust to market conditions, expanding during high volatility and contracting during low volatility. When the volatility bands are tight, or the upper and lower bands are close to each other, the market is not volatile. During periods of low volatility, it’s common for price to consolidate or move sideways. An early indication of a large price move can occur when the bands widen or open up after being tight. When the volatility bands are wide, it reflects a period of increased volatility, typically during strong price trends or after a breakout. The volatility bands can also act as support and resistance areas. The upper band acts as resistance while the lower band acts as support. These mark out good areas for potential reversals. Breakouts can also occur when price moves beyond the bands, signaling a potential trend in the breakout direction.
Outside -> The price is currently outside of the Volatility Bands.
Inside | Upper -> The price is currently inside the Upper Volatility Band.
Inside | Lower -> The price is currently inside the Lower Volatility Band.
R. Wave ->
The Retracement Wave is used to identify entry points during pullbacks in trending markets. It can also be used to find exit points for open trades. The wave is bullish when price is above it and bearish when the price is below it. The retracement wave can be used as an area to enter during a pullback in a trending market. The wave can also be helpful for managing risk and closing out positions.
Outside | Bullish -> The Retracement Wave is currently Bullish, and the price is outside of it.
Outside | Bearish -> The Retracement Wave is currently Bearish, and the price is outside of it.
Inside | Bullish -> The Retracement Wave is currently Bullish, and the price is inside of it.
Inside | Bearish -> The Retracement Wave is currently Bearish, and the price is inside of it.
Profit & Loss (P&L) ->
Shows the amount of profit or loss the position is currently in. All values are shown in terms of percentage, and positive values mean the position is in profit while negative values mean that the position is in loss.
⚠ Timeframe Restriction : The selected timeframes for analysis cannot be lower than the chart’s current timeframe to ensure proper data alignment.
⏰ ALERTS
This screener supports alerts, so you never miss a key market move. You can choose to receive alerts when a buy or sell signal is given, helping you spot potential trading opportunities. Additionally, you can enable alerts for take-profit or stop-loss levels, which notify you when the price achieves those levels. The alerts will work for each enabled ticker in the settings. You can also toggle webhook format for alerts, and choose to include ticker metadata in it.
⚙️ SETTINGS
1. Algorithm Settings
Sensitivity: The sensitivity setting is a key parameter that influences the frequency of signals the SFX Algo generates. By adjusting this parameter, you can control the frequency of signals produced by the algorithm. Using a lower sensitivity setting generates more frequent signals that are highly responsive to minor price fluctuations. Using a higher sensitivity setting reduces the frequency of signals, focusing on more significant price movements and filtering out minor fluctuations.
Signal Strength: The Signal Strength setting filters signals based on their quality, allowing traders to focus on the most reliable opportunities. This feature helps traders balance the quantity and reliability of the algorithm’s signals to suit their trading strategy. Using a lower signal strength will display more signals, including those with lower signal ratings, for broader market coverage. Using a higher signal strength will display fewer signals by prioritizing those with higher signal ratings, reducing market noise.
Time Weighting: The Time Weighting setting in the SFX Algo determines how historical market data is analyzed to generate signals.
a) Recent Trends
Focuses on the most recent movements for short-term analysis. This setting is good for scalpers and intraday traders who need to react quickly to market changes.
b) Mixed Trends
Balances recent and historical price movements for a comprehensive market view. This setting is well-suited for swing traders and those who want to capture medium-term opportunities by combining the benefits of short-term responsiveness with the reliability of long-term trends.
c) Long-term Trends
Relies on extended historical market data to identify broader market trends, making it an excellent choice for traders focused on long-term strategies.
Minimum Star Rating : The Minimum Star Rating setting allows you to filter signals based on their strength, showing only those that meet or exceed your chosen threshold. For instance, setting the minimum star rating to 3 ensures you only receive signals with a rating of 3 stars or higher.
2. Take Profit / Stop Loss Methods
Key Levels
The Key Levels method uses pivot points to set take profit and stop-loss levels. The TP and SL levels are shown when a new signal is generated.
Volatility Bands
This TP/SL method uses the Volatility Bands overlay to set dynamic TP and SL levels. These levels are not predetermined so they will not be shown in advance when a signal is generated.
Signal Rating
Sets take profit and stop-loss levels based on changes in a signal's rating strength. These levels are not predetermined so they will not be shown in advance when a signal is generated.
Auto Stop-Loss
The auto method can only be applied to the SL. The auto method allows the algorithm to detect SL automatically when a momentum shift is detected. You can adjust the risk tolerance of the Auto SL by adjusting the ‘Auto Risk Tolerance’ setting. You can choose between Low, Medium, and High. A high-risk tolerance will result in stop losses being triggered less often.
3. Tickers
You can set, then enable or disable up to 8 tickers in this section to get informed about their latest SFX Algo signal.
‼️ Important Notes
TradingView has limitations when running advanced screeners, resulting in the following restrictions:
Computation Errors:
The computation of using MTF features and viewing several tickers is very intensive on TradingView. This can sometimes cause calculation timeouts. When this occurs simply force the recalculation by modifying one indicator’s settings or by removing the indicator and adding it to your chart again.
Inconsistencies:
You may notice inconsistencies when viewing the screener on a chart with a specific symbol because screener tickers originate from different markets. Since the cryptocurrency market operates 24/7, while stock markets have defined opening and closing hours, the screener may return varying information depending on whether you're currently viewing a cryptocurrency, stock, or currency pair.
SMA + RSI + Volume + ATR StrategySMA + RSI + Volume + ATR Strategy
1. Indicators Used:
SMA (Simple Moving Average): This is a trend-following indicator that calculates the average price of a security over a specified period (50 periods in this case). It's used to identify the overall trend of the market.
RSI (Relative Strength Index): This measures the speed and change of price movements. It tells us if the market is overbought (too high) or oversold (too low). Overbought is above 70 and oversold is below 30.
Volume: This is the amount of trading activity. A higher volume often indicates strong interest in a particular price move.
ATR (Average True Range): This measures volatility, or how much the price is moving in a given period. It helps us adjust stop losses and take profits based on market volatility.
2. Conditions for Entering Trades:
Buy Signal (Green Up Arrow):
Price is above the 50-period SMA (indicating an uptrend).
RSI is below 30 (indicating the market might be oversold or undervalued, signaling a potential reversal).
Current volume is higher than average volume (indicating strong interest in the move).
ATR is increasing (indicating higher volatility, suggesting that the market might be ready for a move).
Sell Signal (Red Down Arrow):
Price is below the 50-period SMA (indicating a downtrend).
RSI is above 70 (indicating the market might be overbought or overvalued, signaling a potential reversal).
Current volume is higher than average volume (indicating strong interest in the move).
ATR is increasing (indicating higher volatility, suggesting that the market might be ready for a move).
3. Take Profit & Stop Loss:
Take Profit: When a trade is made, the strategy will set a target price at a certain percentage above or below the entry price (1.5% in this case) to automatically exit the trade once that target is hit.
Stop Loss: If the price goes against the position, a stop loss is set at a percentage below or above the entry price (0.5% in this case) to limit losses.
4. Execution of Trades:
When the buy condition is met, the strategy will enter a long position (buying).
When the sell condition is met, the strategy will enter a short position (selling).
5. Visual Representation:
Green Up Arrow: Appears on the chart when the buy condition is met.
Red Down Arrow: Appears on the chart when the sell condition is met.
These arrows help you see at a glance when the strategy suggests you should buy or sell.
In Summary:
This strategy uses a combination of trend-following (SMA), momentum (RSI), volume, and volatility (ATR) to decide when to buy or sell a stock. It looks for opportunities when the market is either oversold (buy signal) or overbought (sell signal) and makes sure there’s enough volume and volatility to back up the move. It also includes take-profit and stop-loss levels to manage risk.
3 EMA + RSI with Trail Stop [Free990] (LOW TF)This trading strategy combines three Exponential Moving Averages (EMAs) to identify trend direction, uses RSI to signal exit conditions, and applies both a fixed percentage stop-loss and a trailing stop for risk management. It aims to capture momentum when the faster EMAs cross the slower EMA, then uses RSI thresholds, time-based exits, and stops to close trades.
Short Explanation of the Logic
Trend Detection: When the 10 EMA crosses above the 20 EMA and both are above the 100 EMA (and the current price bar closes higher), it triggers a long entry signal. The reverse happens for a short (the 10 EMA crosses below the 20 EMA and both are below the 100 EMA).
RSI Exit: RSI crossing above a set threshold closes long trades; crossing below another threshold closes short trades.
Time-Based Exit: If a trade is in profit after a set number of bars, the strategy closes it.
Stop-Loss & Trailing Stop: A fixed stop-loss based on a percentage from the entry price guards against large drawdowns. A trailing stop dynamically tightens as the trade moves in favor, locking in potential gains.
Detailed Explanation of the Strategy Logic
Exponential Moving Average (EMA) Setup
Short EMA (out_a, length=10)
Medium EMA (out_b, length=20)
Long EMA (out_c, length=100)
The code calculates three separate EMAs to gauge short-term, medium-term, and longer-term trend behavior. By comparing their relative positions, the strategy infers whether the market is bullish (EMAs stacked positively) or bearish (EMAs stacked negatively).
Entry Conditions
Long Entry (entryLong): Occurs when:
The short EMA (10) crosses above the medium EMA (20).
Both EMAs (short and medium) are above the long EMA (100).
The current bar closes higher than it opened (close > open).
This suggests that momentum is shifting to the upside (short-term EMAs crossing up and price action turning bullish). If there’s an existing short position, it’s closed first before opening a new long.
Short Entry (entryShort): Occurs when:
The short EMA (10) crosses below the medium EMA (20).
Both EMAs (short and medium) are below the long EMA (100).
The current bar closes lower than it opened (close < open).
This indicates a potential shift to the downside. If there’s an existing long position, that gets closed first before opening a new short.
Exit Signals
RSI-Based Exits:
For long trades: When RSI exceeds a specified threshold (e.g., 70 by default), it triggers a long exit. RSI > short_rsi generally means overbought conditions, so the strategy exits to lock in profits or avoid a pullback.
For short trades: When RSI dips below a specified threshold (e.g., 30 by default), it triggers a short exit. RSI < long_rsi indicates oversold conditions, so the strategy closes the short to avoid a bounce.
Time-Based Exit:
If the trade has been open for xBars bars (configurable, e.g., 24 bars) and the trade is in profit (current price above entry for a long, or current price below entry for a short), the strategy closes the position. This helps lock in gains if the move takes too long or momentum stalls.
Stop-Loss Management
Fixed Stop-Loss (% Based): Each trade has a fixed stop-loss calculated as a percentage from the average entry price.
For long positions, the stop-loss is set below the entry price by a user-defined percentage (fixStopLossPerc).
For short positions, the stop-loss is set above the entry price by the same percentage.
This mechanism prevents catastrophic losses if the market moves strongly against the position.
Trailing Stop:
The strategy also sets a trail stop using trail_points (the distance in price points) and trail_offset (how quickly the stop “catches up” to price).
As the market moves in favor of the trade, the trailing stop gradually tightens, allowing profits to run while still capping potential drawdowns if the price reverses.
Order Execution Flow
When the conditions for a new position (long or short) are triggered, the strategy first checks if there’s an opposite position open. If there is, it closes that position before opening the new one (prevents going “both long and short” simultaneously).
RSI-based and time-based exits are checked on each bar. If triggered, the position is closed.
If the position remains open, the fixed stop-loss and trailing stop remain in effect until the position is exited.
Why This Combination Works
Multiple EMA Cross: Combining 10, 20, and 100 EMAs balances short-term momentum detection with a longer-term trend filter. This reduces false signals that can occur if you only look at a single crossover without considering the broader trend.
RSI Exits: RSI provides a momentum oscillator view—helpful for detecting overbought/oversold conditions, acting as an extra confirmation to exit.
Time-Based Exit: Prevents “lingering trades.” If the position is in profit but failing to advance further, it takes profit rather than risking a trend reversal.
Fixed & Trailing Stop-Loss: The fixed stop-loss is your safety net to cap worst-case losses. The trailing stop allows the strategy to lock in gains by following the trade as it moves favorably, thus maximizing profit potential while keeping risk in check.
Overall, this approach tries to capture momentum from EMA crossovers, protect profits with trailing stops, and limit risk through both a fixed percentage stop-loss and exit signals from RSI/time-based logic.
(Early Test) Weekly Seasonality with Dynamic Kelly Criterion# Enhancing Trading Strategies with the Weekly Seasonality Dynamic Kelly Criterion Indicator
Amidst this pursuit to chase price, a common pitfall emerges: an overemphasis on price movements without adequate attention to risk management, probabilistic analysis, and strategic position sizing. To address these challenges, I developed the **Weekly Seasonality with Dynamic Kelly Criterion Indicator**. It is designed to refocus traders on essential aspects of trading, such as risk management and probabilistic returns, thereby catering to both short-term swing traders and long-term investors aiming for tax-efficient positions.
## The Motivation Behind the Indicator
### Overemphasis on Price: A Common Trading Pitfall
Many traders concentrate heavily on price charts and technical indicators, often neglecting the underlying principles of risk management and probabilistic analysis. This overemphasis on price can lead to:
- **Overtrading:** Making frequent trades based solely on price movements without considering the associated risks.
- **Poor Risk Management:** Failing to set appropriate stop-loss levels or position sizes, increasing the potential for significant losses.
- **Emotional Trading:** Letting emotions drive trading decisions rather than objective analysis, which can result in impulsive and irrational trades.
### The Need for Balanced Focus
To achieve sustained trading success, it is crucial to balance price analysis with robust risk management and probabilistic strategies. Key areas of focus include:
1. **Risk Management:** Implementing strategies to protect capital, such as setting stop-loss orders and determining appropriate position sizes based on risk tolerance.
2. **Probabilistic Analysis:** Assessing the likelihood of various market outcomes to make informed trading decisions.
3. **Swing Trading Percent Returns:** Capitalizing on short- to medium-term price movements by buying assets below their average return and selling them above.
## Introducing the Weekly Seasonality with Dynamic Kelly Criterion Indicator
The **Weekly Seasonality with Dynamic Kelly Criterion Indicator** is designed to integrate these essential elements into a comprehensive tool that aids traders in making informed, risk-aware decisions. Below, we explore the key components and functionalities of this indicator.
### Key Components of the Indicator
1. **Average Return (%)**
- **Definition:** The mean percentage return for each week across multiple years.
- **Purpose:** Serves as a benchmark to identify weeks with above or below-average performance, guiding buy and sell decisions.
2. **Positive Percentage (%)**
- **Definition:** The proportion of weeks that yielded positive returns.
- **Purpose:** Indicates the consistency of positive returns, helping traders gauge the reliability of certain weeks for trading.
3. **Volatility (%)**
- **Definition:** The standard deviation of weekly returns.
- **Purpose:** Measures the variability of returns, providing insights into the risk associated with trading during specific weeks.
4. **Kelly Ratio**
- **Definition:** A mathematical formula used to determine the optimal size of a series of bets to maximize the logarithmic growth of capital.
- **Purpose:** Balances potential returns against risks, guiding traders on the appropriate position size to take.
5. **Adjusted Kelly Fraction**
- **Definition:** The Kelly Ratio adjusted based on user-defined risk tolerance and external factors like Federal Reserve (Fed) stance.
- **Purpose:** Personalizes the Kelly Criterion to align with individual risk preferences and market conditions, enhancing risk management.
6. **Position Size ($)**
- **Definition:** The calculated amount to invest based on the Adjusted Kelly Fraction.
- **Purpose:** Ensures that position sizes are aligned with risk management strategies, preventing overexposure to any single trade.
7. **Max Drawdown (%)**
- **Definition:** The maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained.
- **Purpose:** Assesses the worst-case scenario for losses, crucial for understanding potential capital erosion.
### Functionality and Benefits
- **Weekly Data Aggregation:** Aggregates weekly returns across multiple years to provide a robust statistical foundation for decision-making.
- **Quarterly Filtering:** Allows users to filter weeks based on quarters, enabling seasonality analysis and tailored strategies aligned with specific timeframes.
- **Dynamic Risk Adjustment:** Incorporates the Dynamic Kelly Criterion to adjust position sizes in real-time based on changing risk profiles and market conditions.
- **User-Friendly Visualization:** Presents all essential metrics in an organized Summary Table, facilitating quick and informed decision-making.
## The Origin of the Kelly Criterion and Addressing Its Limitations
### Understanding the Kelly Criterion
The Kelly Criterion, developed by John L. Kelly Jr. in 1956, is a formula used to determine the optimal size of a series of bets to maximize the long-term growth of capital. The formula considers both the probability of winning and the payout ratio, balancing potential returns against the risk of loss.
**Kelly Formula:**
\
Where:
- \( b \) = the net odds received on the wager ("b to 1")
- \( p \) = probability of winning
- \( q \) = probability of losing ( \( q = 1 - p \) )
### The Risk of Ruin
While the Kelly Criterion is effective in optimizing growth, it carries inherent risks:
- **Overbetting:** If the input probabilities or payout ratios are misestimated, the Kelly Criterion can suggest overly aggressive position sizes, leading to significant losses.
- **Assumption of Constant Probabilities:** The criterion assumes that probabilities remain constant, which is rarely the case in dynamic markets.
- **Ignoring External Factors:** Traditional Kelly implementations do not account for external factors such as Federal Reserve rates, margin requirements, or market volatility, which can impact risk and returns.
### Addressing Traditional Limitations
Recognizing these limitations, the **Weekly Seasonality with Dynamic Kelly Criterion Indicator** introduces enhancements to the traditional Kelly approach:
- **Incorporation of Fed Stance:** Adjusts the Kelly Fraction based on the current stance of the Federal Reserve (neutral, dovish, or hawkish), reflecting broader economic conditions that influence market behavior.
- **Margin and Leverage Considerations:** Accounts for margin rates and leverage, ensuring that position sizes remain within manageable risk parameters.
- **Dynamic Adjustments:** Continuously updates position sizes based on real-time risk assessments and probabilistic analyses, mitigating the risk of ruin associated with static Kelly implementations.
## How the Indicator Aids Traders
### For Short-Term Swing Traders
Short-term swing traders thrive on capitalizing over weekly price movements. The indicator aids them by:
- **Identifying Favorable Weeks:** Highlights weeks with above-average returns and favorable volatility, guiding entry and exit points.
- **Optimal Position Sizing:** Utilizes the Adjusted Kelly Fraction to determine the optimal amount to invest, balancing potential returns with risk exposure.
- **Probabilistic Insights:** Provides metrics like Positive Percentage (%) and Kelly Ratio to assess the likelihood of favorable outcomes, enhancing decision-making.
### For Long-Term Tax-Free Investors
This is effectively a drop-in replacement for DCA which uses fixed position size that doesn't change based on market conditions, as a result, it's like catching multiple falling knifes by the blade and smiling with blood on your hand... I don't know about you, but I'd rather juggle by the hilt and look like an actual professional...
Long-term investors, especially those seeking tax-free positions (e.g., through retirement accounts), benefit from:
- **Consistent Risk Management:** Ensures that position sizes are aligned with long-term capital preservation strategies.
- **Seasonality Analysis:** Allows for strategic positioning based on historical performance trends across different weeks and quarters.
- **Dynamic Adjustments:** Adapts to changing market conditions, maintaining optimal risk profiles over extended investment horizons.
### Developers
Please double check the logic and functionality because I think there are a few issue and I need to crowd source solutions and be responsible about the code I publish. If you have corrections, please DM me or leave a respectful comment.
I want to publish this by the end of the year and include other things like highlighting triple witching weeks, adding columns for volume % stats, VaR and CVaR, alpha, beta (to see the seasonal alpha and beta based off a benchmark ticker and risk free rate ticker and other little goodies.
VCBBDOVWAPSMA By Anil ChawraHow Users Can Make Profit Using This Script:
1. Volume Representation : Each candle on the chart represents a specific time period (e.g., 1 minute, 1 hour, 1 day) and includes information about both price movement and trading volume during that period.
2. Candlestick Anatomy : A volume candle has the same components as a regular candlestick: the body (which represents the opening and closing prices) and the wicks or shadows (which indicate the highest and lowest prices reached during the period).
3. Volume Bars : Instead of just the candlestick itself, volume candles also include a bar or histogram representing the trading volume during that period. The height or length of the volume bar indicates the amount of trading activity.
4. Interpreting Volume : High volume candles typically indicate increased market interest or activity during that period. This could be due to significant buying or selling pressure.
5. Confirmation : Traders often look for confirmation from other technical indicators or price action to validate the significance of a high volume candle. For example, a high volume candle breaking through a key support or resistance level may signal a strong market move.
6. Trend Strength : Volume candles can provide insights into the strength of a trend. A series of high volume candles in the direction of the trend suggests strong momentum, while decreasing volume may indicate weakening momentum or a potential reversal.
7. Volume Patterns : Traders also analyze volume patterns, such as volume spikes or divergences, to identify potential trading opportunities or reversals.
8. Combination with Price Action: Volume analysis is often used in conjunction with price action analysis and other technical indicators to make more informed trading decisions.
9. Confirmation and Validation: It's important to confirm the significance of volume candles with other indicators or price action signals to avoid false signals.
10. Risk Management : As with any trading strategy, proper risk management is crucial when using volume candles to make trading decisions. Set stop-loss orders and adhere to risk management principles to protect your capital.
How to script works :
1.Identify High Volume Candles: Look for candles with significantly higher volume compared to the surrounding candles. These can indicate increased market interest or activity.
2.Wait for Confirmation: Once you identify a high volume candle, wait for confirmation from subsequent candles to ensure the momentum is sustained.
3.Enter the Trade: After confirmation, consider entering a trade in the direction indicated by the high volume candle. For example, if it's a bullish candle, consider buying.
4.Set Stop Loss: Always set a stop loss to limit potential losses in case the trade goes against you.
5.Take Profit: Set a target for taking profits. This could be based on technical analysis, such as a resistance level or a certain percentage gain.
6.Monitor Volume: Continuously monitor volume to gauge the strength of the trend. Decreasing volume may signal weakening momentum and could be a sign to exit the trade.
7.Risk Management: Manage risk carefully by adjusting position sizes according to your risk tolerance and the size of your trading account.
8.Review and Adapt: Regularly review your trades and adapt your strategy based on what's working and what's not.
Remember, no trading strategy guarantees profits, and it's essential to practice proper risk management and have realistic expectations. Additionally, consider combining volume analysis with other technical indicators for a more comprehensive approach to trading.
**How Users Can Make Profit Using This Script:
**
DAYS OPEN LINE:
1.Purpose: Publishing a "Days Open Line" indicator serves to inform customers about the operational schedule of a business or service.
2.Visibility: It ensures that the information regarding the days of operation is easily accessible to current and potential customers.
3.Transparency: By making the operational schedule public, businesses demonstrate transparency and reliability to their customers.
4.Accessibility: The indicator should be published on various platforms such as the business website, social media channels, and physical locations to ensure accessibility to a wide audience.
5.Clarity: The information should be presented in a clear and concise manner, specifying the days of the week the business is open and the corresponding operating hours.
6.Updates: It's important to regularly update the "Days Open Line" indicator to reflect any changes in the operational schedule, such as holidays or special events.
7.Customer Convenience: Providing this information helps customers plan their visits accordingly, reducing inconvenience and frustration due to unexpected closures.
8.Expectation Management: Setting clear expectations regarding the business hours helps manage customer expectations and reduces the likelihood of disappointment or complaints.
9.Customer Service: Publishing the "Days Open Line" indicator demonstrates a commitment to customer service by ensuring that customers have the information they need to engage with the business.
10.Brand Image: Consistently .maintaining and updating the indicator contributes to a positive brand image, as it reflects professionalism, reliability, and a customer-centric approach.
SMA CROSS:
1.This indicator generates buy and sell signals based on the crossover of two Simple Moving Averages (SMA): a shorter 3-day SMA and a longer 8-day SMA.
When the 3-day SMA crosses above the 8-day SMA, it generates a buy signal indicating a potential upward trend.
Conversely, when the 3-day SMA crosses below the 8-day SMA, it generates a sell signal indicating a potential downward trend.
Signal Interpretation:
2.Buy Signal: Generated when the 3-day SMA crosses above the 8-day SMA.
Sell Signal: Generated when the 3-day SMA crosses below the 8-day SMA.
Usage:
3.Traders can use this indicator to identify potential entry and exit points in the market.
Buy signals suggest a bullish trend, indicating a favorable time to enter or hold a long position.
4.Sell signals suggest a bearish trend, indicating a potential opportunity to exit or take a short position.
Parameters:
5.Periods: 3-day SMA and 8-day SMA.
Price: Closing price is commonly used, but users can choose other price types (open, high, low) for calculation.
Confirmation:
6.It's recommended to use additional technical analysis tools or confirmatory indicators to validate signals and minimize false signals.
Risk Management:
7.Implement proper risk management strategies, such as setting stop-loss orders, to mitigate losses in case of adverse price movements.
Backtesting:
8.Before using the indicator in live trading, conduct thorough backtesting to evaluate its effectiveness under various market conditions.
Considerations:
9.While SMA crossovers can provide valuable insights, they may generate false signals during ranging or choppy markets.
Combine this indicator with other technical analysis techniques for comprehensive market analysis.
Continuous Optimization:
10.Monitor the performance of the indicator and adjust parameters or incorporate additional filters as needed to enhance accuracy over time.
BOLLINGER BAND:
1.Definition: A Bollinger Band indicator is a technical analysis tool that consists of a centerline (typically a moving average) and two bands plotted above and below it. These bands represent volatility around the moving average.
2.Purpose: Publishing a Bollinger Band indicator serves to provide traders and investors with insights into the volatility and potential price movements of a financial instrument.
3.Visualization: The indicator is typically displayed on price charts, allowing users to visualize the relationship between price movements and volatility levels.
4.Interpretation: Traders use Bollinger Bands to identify overbought and oversold conditions, potential trend reversals, and volatility breakouts.
5.Components: The indicator consists of three main components: the upper band, lower band, and centerline (usually a simple moving average). These components are calculated based on standard deviations from the moving average.
6.Parameters: Traders can adjust the parameters of the Bollinger Bands, such as the period length and standard deviation multiplier, to customize the indicator based on their trading strategy and preferences.
7.Signals: Bollinger Bands generate signals when prices move outside the bands, indicating potential trading opportunities. For example, a price breakout above the upper band may signal a bullish trend continuation, while a breakout below the lower band may indicate a bearish trend continuation.
8.Confirmation: Traders often use other technical indicators or price action analysis to confirm signals generated by Bollinger Bands, enhancing the reliability of their trading decisions.
9.Education: Publishing Bollinger Band indicators can serve an educational purpose, helping traders learn about technical analysis concepts and how to apply them in real-world trading scenarios.
10.Risk Management: Traders should exercise proper risk management when using Bollinger Bands, as false signals and market volatility can lead to losses. Publishing educational content alongside the indicator can help users understand the importance of risk management in trading.
VWAP:
1.Calculation: VWAP is calculated by dividing the cumulative sum of price times volume traded for every transaction (price * volume) by the total volume traded.
2.Time Frame: VWAP is typically calculated for a specific time frame, such as a trading day or a session.
3.Intraday Trading: It's commonly used by intraday traders to assess the fair value of a security and to determine if the current price is above or below the average price traded during the day.
4.Execution: Institutional traders often use VWAP as a benchmark for executing large orders, aiming to buy at prices below VWAP and sell at prices above VWAP.
5.Benchmark: It serves as a benchmark for traders to evaluate their trading performance. Trades executed below VWAP are considered good buys, while those above are considered less favorable.
6.Sensitivity: VWAP is more sensitive to price and volume changes during periods of high trading activity and less sensitive during periods of low trading activity.
7.Day's End: VWAP resets at the end of each trading day, providing a new reference point for the following trading session.
8.Volume Weighting: The weighting by volume means that prices with higher trading volumes have a greater impact on VWAP than those with lower volumes.
9.Popular with Algorithmic Traders: Algorithmic trading systems often incorporate VWAP strategies to execute trades efficiently and minimize market impact.
10.Limitations: While VWAP is a useful indicator, it's not foolproof. It may lag behind rapidly changing market conditions and may not be suitable for all trading strategies or market conditions. Additionally, it's more effective in liquid markets where there is significant trading volume.
Turtle Trader StrategyTurtle Trader Strategy :
Introduction :
This strategy is based on the well known « Turtle Trader Strategy », that has proven itself over the years. It sends long and short signals with pyramid orders of up to 5, meaning that the strategy can trigger up to 5 orders in the same direction. Good risk and money management.
It's important to note that the strategy combines 2 systems working together (S1 and S2). Let’s describe the specific features of this strategy.
1/ Position size :
Position size is very important for turtle traders to manage risk properly. This position sizing strategy adapts to market volatility and to account (gains and losses). It’s based on ATR (Average True Range) which can also be called « N ». Its length is per default 20.
ATR(20) = (previous_atr(20)*19 + actual_true_range)/20
The number of units to buy is :
Unit = 1% * account/(ATR(20)*dollar_per_point)
where account is the actual account value and dollar_per_point is the variation in dollar of the asset with a 1 point move.
Depending on your risk aversion, you can increase the percentage of your account, but turtle traders default to 1%. If you trade contracts, units must be rounded down by default.
There is also an additional rule to reduce the risk if the value of the account falls below the initial capital : in this case and only in this case, account in the unit formula must be replace by :
account = actual_account*actual_account/initial capital
2/ Open a position :
2 systems are working together :
System 1 : Entering a new 20 day breakout
System 2 : Entering a new 55 day breakout
A breakout is a new high or new low. If it’s a new high, we open long position and vice versa if it’s a new low we enter in short position.
We add an additional rule :
System 1 : Breakout is ignored if last long/short position was a winner
System 2 : All signals are taken
This additional rule allows the trader to be in the major trends if the system 1 signal has been skipped. If a signal for system 1 has been skipped, and next candle is also a new 20 day breakout, S1 doesn’t give a signal. We have to wait S2 signal or wait for a candle that doesn’t make a new breakout to reactivate S1.
3/ Pyramid orders :
Turtle Strategy allows us to add extra units to the position if the price moves in our favor. I've configured the strategy to allow up to 5 orders to be added in the same direction. So if the price varies from 0.5*ATR(20) , we add units with the position size formula. Note that the value of account will be replaced by "remaining_account", i.e. the cash remaining in our account after subtracting the value of open positions.
4/ Stop Loss :
We set a stop loss at 1.5*ATR(20) below the entry price for longs and above the entry price for shorts. If pyramid units are added, the stop is increased/decreased by 0.5*ATR(20). Note that if SL is configured for a loss of more than 10%, we set the SL to 10% for the first entry order to avoid big losses. This configuration does not work for pyramid orders as SL moves by 0.5*ATR(20).
5/ Exit signals :
System 1 :
Exit long on a 10 day low
Exit short on a 10 day high
System 2 :
Exit long on a 20 day low
Exit short on a 20 day high
6/ What types of orders are placed ?
To enter in a position, stop orders are placed meaning that we place orders that will be automatically triggered by the signal at the exact breakout price. Stop loss and exit signals are also stop orders. Pyramid orders are market orders which will be triggered at the opening of the next candle to avoid repainting.
PARAMETERS :
Risk % of capital : Percentage used in the position size formula. Default is 1%
ATR period : ATR length used to calculate ATR. Default is 20
Stop ATR : Parameters used to fix stop loss. Default is 1.5 meaning that stop loss will be set at : buy_price - 1.5*ATR(20) for long and buy_price + 1.5*ATR(20) for short. Turtle traders default is 2 but 1.5 is better for cryptocurrency as there is a huge volatility.
S1 Long : System 1 breakout length for long. Default is 20
S2 Long : System 2 breakout length for long. Default is 55
S1 Long Exit : System 1 breakout length to exit long. Default is 10
S2 Long Exit : System 2 breakout length to exit long. Default is 20
S1 Short : System 1 breakout length for short. Default is 15
S2 Short : System 2 breakout length for short. Default is 55
S1 Short Exit : System 1 breakout length to exit short. Default is 7
S2 Short Exit : System 2 breakout length to exit short. Default is 20
Initial capital : $1000
Fees : Interactive Broker fees apply to this strategy. They are set at 0.18% of the trade value.
Slippage : 3 ticks or $0.03 per trade. Corresponds to the latency time between the moment the signal is received and the moment the order is executed by the broker.
Pyramiding : Number of orders that can be passed in the same direction. Default is 5.
Important : Turtle traders don't trade crypto. For this specific asset type, I modify some parameters such as SL and Short S1 in order to maximize return while limiting drawdown. This strategy is the most optimal on BINANCE:BTCUSD in 1D timeframe with the parameters set per default. If you want to use this strategy for a different crypto please adapt parameters.
NOTE :
It's important to note that the first entry order (long or short) will be the largest. Subsequent pyramid orders will have fewer units than the first order. We've set a maximum SL for the first order of 10%, meaning that you won't lose more than 10% of the value of your first order. However, it is possible to lose more on your pyramid orders, as the SL is increased/decreased by 0.5*ATR(20), which does not secure a loss of more than 10% on your pyramid orders. The risk remains well managed because the value of these orders is less than the value of the first order. Remain vigilant to this small detail and adjust your risk according to your risk aversion.
Enjoy the strategy and don’t forget to take the trade :)
Alpha Candle Breakout Signal on Momentum from Support Resistance
Hello traders,
Let’s start with a brief description of what this strategy/indicator is and what it does and how we trade based on Alpha Candles.
The definition of an Alpha Candle is that it is mathematically calculated, and significantly bigger than the previous candles. This could be a green candle or a red candle, as long as the body is significantly bigger than the previous candles at the end of the calculation. All calculations are done in real time, we do NOT paint the candle sticks after the close of the candle and do not use offset values. This is extremely important. You will see the candle changing it's color as the body of the candle gets bigger with real time data feed. (Recalculate On Every Tick is ON by default). Now besides the mathematical calculations, an Alpha Candle also represents the emotion in the market for that stock in that moment. We can also say that an Alpha Candle is a change in the momentum.
Now that we’ve identified the Alpha candle, the second step is, to have a look at the chart and identify if the Alpha candle is breaking to a new high / low from a consolidation period, or from a good chart pattern (ascending / descending triangle , pennant , sideways consolidation) or a sudden direction change of the stock (bounce). Remember, the script will paint all Alpha candles regardless.
NVAX day trading example
Forex
Crypto
PLUG (Bounce example)
The script will identify the Alpha candles that are breaking to a new high / low from a user input look back period (default is 20 bars back, but this can be changed by the user input). An Alpha candle that breaks the look back period, will have a stop loss line below for Green Alpha or above for Red Alpha Candle and reward targets, like target1 or target2 (both are user input fields, can be adjusted to personal R values, default values are 2R and 3R)
A 2R means two times the reward (profit) of a 1-unit risk. If you are comfortable of loosing $50 per trade which will be considered 1-unit, then 2R means $100 reward (profit) target and a 3R is $150 reward (profit) target. Those R values will be plotted and/or labelled on the chart with dollar amounts if desired. You can change your R values from the user input area, even with decimal points, like 2.5R or 3.75R. If you shoot for at least 2R, you could be wrong 6 times out of 10, and still make 2R profit, as long as the other 4 trades give you a total of 8R. This is a basic trading concept. It will force the new traders to focus on risk/reward rather then a gambling attitude.
The script is meant to work with candle stick chart patterns only, it is NOT meant to work with ranges, line charts or point and figure charts. It will work with time frames like (seconds,1,2,3,5,10 minute or any minutes, daily, weekly). If you are trading IPOs , there might not be enough data for the script to do the calculation, so just be aware.
The script will identify the candles if they are Green Alpha (going up, bullish ) or Red Alpha (going down, bearish ). In order to see them clearly, we’ve greyed out the rest of the candles, and made Green Alpha candles white, and Red Alphas are left as red. You can change the colors from the user input area.
There is also a look back period, between 1-55 and the initial value is 20 for Green Alpha and 10 for Red Alpha. So, if the Alpha Candle breaks this look back period, it will be considered as an opportunity to take the trade. The code will put the stop loss area, possible target1 and target2 areas with a blue diamond and will draw the resistance/support lines for that Alpha candle. Depending on the individual’s risk tolerance, a label on the right side of the screen will show the risk tolerance (user input value) and the number of shares to be traded based on the risk tolerance (# of shares will be for the last Alpha Candle that is formed, it will constantly update itself with the new Alpha Candle)
For those who might be familiar with the three-bar play, we implemented something similar, so the code will find them in real time. Once an Alpha Candle is formed, if the following candle is a very small candle, also called pin bar , it will be painted to orange, so you can see it clearly. This pin bar is significantly smaller than the previous candles and formed right after an Alpha Candle.
Like anything in life, nothing is free. Meaning you have to work for it. So if you are looking to buy/sell blindly based on some indicators and signals, please do not consider this script. However, once you start using it, you will see how patterns repeat, when they repeat and how they repeat. It will identify the action, but you have to check the validity from the charts, so user discretionary is advised. As an example, if the Alpha candle is breaking from a consolidation period at $10. Let’s assume stop loss is at $9 so the 2R target will be $12, but if there is a possible resistance at $11, then the trader has to decide to take the trade for a possible 1R return, or skip the trade.
We try to approach the trading as a set of rules and processing the trades one by one, with a calculated risk and reward. This script will give you the Candle stick formation that is worth consideration and will draw the Stop Loss area (you can tweak this to your liking), will draw the 2-3R Targets, and will calculate the number of shares to be purchased based on the Risk Tolerance user entered in the user input area. The rest is to let the trade take care of it self.
Charts and patterns work better, when there is enough volume in a particular stock. If the stock is trading very low in volume , things will not work as expected. So, we must focus on the abnormal stocks, like gap gainers, volume gainer stocks, or heavily traded stocks (for intraday trading). For swing or long-term traders, one could look for a Green Alpha candle, assess the risk and possible return and trade the plan on a daily chart pattern (long term), or 15,30,60 min charts for swing trades.
If you are looking to short a stock, look for stocks that are weak (gap downs), so look for Red Alpha formations in that stock.
Once the back testing is turned on, code will generate buy/sell signals, otherwise it will work as an indicator. But please keep in mind….. For day trading, the stock has to be abnormally trading, so the chart patterns and the Alpha Candles work correctly. Volume has to be more than usual. It is the best way to have predictable results for day trading. If the volume of the stock is 2-5 times or more than the average of 20 days period (early in the morning), and even more later in the day, it is a good indication that the stock is trading on an abnormal volume with some news (pre-market abnormality is a good sign for possible abnormality for that stock).
For back testing, user can select from the user input area :
• Long or Short Trades or both or use the script as an indicator
• Close any open position if an Alpha candle forms in the opposite direction
• Pyramid the trades up to 4 levels (allow to buy/sell 4 times in the same direction every time another Alpha Candle forms)
• Breakout/breakdown look back period (every time an Alpha Candle forms and breaks this look back period, it will be a trade opportunity)
• Target Reward areas
• Stop Loss area
• Time frame (change the time frame and observe which time frame made good profit. Test the plan for future trades. Test it in as many abnormal stocks for the day they were behaving abnormal as possible). Time frame is not a user input field, just the time frame of the chart, 2,5,10 min, 1 hour etc.
• Selective date testing (between two dates/times). This is very important as most of the good opportunities comes from abnormal price action with volume . If you back test with the maximum amount of data for that abnormal stock on that day, it will produce unrealistic results, because the stock will have a normal course of trend before the news. Remember, we are looking for stocks that are trading abnormal in both price and volume or stocks like AAPL , TSLA which are trading heavily on each day. It is also a good way to learn, how and when to buy/sell, where to put stop losses by observing the chart with the Alpha Candles showing the results.
• All the above values will have an impact on the total profit / loss.
F (Ford Motors)
Now that we’ve covered what the script does, let’s plan the trade and trade the plan.
Side Note:
-------------
We started coding this as an indicator to show the Alpha Candles to find opportunities in the market. Later in the development, we implemented it as a Strategy, to be able to back test the ideas, to tweak some rules for entry/exit and see the effects on our profit/loss percentages in general. We kept the original idea being an Indicator, to show us the Alpha Candles in real time. This requires the option “Indicator Mode” is to be selected from the User Input area, and leaving the “Recalculate On Every Tick” is selected from the Properties tab of the strategy (as of Pine Script v5). Strategy is turning this “On” by default.
Disclaimer: This script is an educational and personal use only tool and should be used accordingly. User can not publish any images created with this code. Do your own due diligence, do not buy / sell stocks based on any indicator, always use stop losses. We do not make any promises as this indicator or any indicator will make you a profitable trader. Trading and technical analysis is difficult, it takes time to build confidence and experience. Study the charts and candlestick formations. Study support/resistance areas and how to identify them. This will help you to tweak the script’s stop loss areas and 2R-3R targets. Do not invest any money you are not comfortable loosing.
This is an invite only strategy. We will give ample time to test it out. After that you will need to subscribe. To get access to this strategy trader can send me an email from the links below.
All the Best
Happy Trading
Risk Management Tool [LuxAlgo]Good money management is one of the fundamental pillars of successful trading. With this indicator, we propose a simple way to manage trading positions. This tool shows Profit & Loss (P&L), suggests position size given a certain risk, sets stop losses and take profit levels using fixed price value/percentage/ATR/Range, and can also determine entries from crosses with technical indicators which is particularly handy if you don't want to set an entry manually.
1. Settings
Position Type: Determines if the position should be a "Long" or "Short".
Account Size: Determines the total capital of the trading account.
Risk: The maximum risk amount for a trade. Can be set as a percentage of the account size or as a fixed amount.
Entry Price: Determines the entry price of the position.
Entry From Cross: When enabled, allows to set the entry price where a cross with an external source was produced.
1.1 Stop Loss/Take Profit
Take Profit: Determines the take profit level, which can be determined by a value or percentage.
Stop Loss: Determines the stop loss level, which can be determined by a value or percentage.
2. Usage
One of the main usages of position management tools is to determine the position size to allocate given a specific risk amount and stop-loss. 2% of your capital is often recommended as a risk amount.
Our tool allows setting stop losses and take profits with different methods.
The ATR method sets the stop loss/take profit one ATR away from the entry price, with the ATR period being determined in the drop-down menu next to the selected methods. The range method works similarly but instead of using the ATR, we use a rolling range with a period determined in the drop-down menu next to the selected methods as well.
Unlike the available position management tool on TradingView, the entry can be determined from a cross between the price an an external source. The image above shows entries from the Volatility Stop indicator. This is particularly useful if you set positions based on trailing stops.
