ML Trading Bot with Dynamic ATR Filters

3 hari lalu

The Enhanced ML Trading Bot with Dynamic ATR Filters is a streamlined trading strategy centered around two primary components: Geometric Moving Averages (GMAs) for trend identification and a dynamic ATR-based volatility filter. By combining these technical signals, the script seeks to capture high-probability trades while filtering out extremes in market volatility. Additionally, it plots a series of predefined price lines for both long and short entries, offering a clear roadmap for potential trade setups.

Key Features
Dual GMAs (Geometric Moving Averages)

Long & Short Calculation
Computes two separate GMAs—one designated as “long” and the other as “short”—using the log of price data. This approach enhances smoothness in trend detection compared to standard moving averages.
Directional Bias
Bullish Bias if the “long” GMA is above the “short” GMA.
Bearish Bias if the “short” GMA is above the “long” GMA.
This ensures the strategy remains aligned with the prevailing market momentum.
Dynamic ATR Volatility Filter

Adaptive Window
Calculates the Average True Range (ATR) over a user-defined period, then expresses ATR as a percentage of price. Only trades are allowed if this ATR% stays within a specified minimum and maximum range, effectively avoiding overly flat or excessively volatile conditions.
ATR Multipliers
Uses an ATR Multiplier to automatically position stop-loss and take-profit levels, ensuring the strategy adapts to changing volatility without manual intervention.
Predefined Horizontal Entry Lines

Embedded Long & Short Levels
The script plots a series of green lines on the chart for potential long entries and red lines for potential short entries. These are hard-coded but can be adjusted within the script to align with personal support/resistance zones.
Directional Confirmation
Even if price crosses one of these lines, an entry only triggers if the relevant GMAs confirm the trend bias (long or short) and the ATR filter deems volatility appropriate.
Stop-Loss & Take-Profit Management

Automated Risk Control
For every trade entry, the bot calculates both stop-loss and take-profit levels based on the ATR Multiplier. This dynamic placement offers protection against sudden adverse moves and helps lock in gains.
Positive Risk-Reward Emphasis
By positioning exit levels at a consistent distance (in ATR terms) from the entry, the script encourages balanced or favorable risk-reward setups.
How the Strategy Works
Geometric Moving Averages

The script logs the price data and applies a simple moving average to these log values.
This approach reduces the impact of large price jumps, enhancing the smoothness and reliability of the GMAs.
When the long GMA crosses above the short GMA, it signals a potential upward trend; if the short GMA is above the long GMA, the bias shifts to bearish.
Dynamic ATR-Based Validation

ATR Calculation: Measures the average range of price movement over a user-selected period (default is 7 bars).
Volatility Window: Trades are permissible only if ATR%, defined as (ATR / Close), resides between the user-defined Min ATR (% of Price) and Max ATR (% of Price).
Stop-Loss & Take-Profit: Set using the ATR Multiplier, ensuring each trade’s risk is proportionate to recent market volatility.
Horizontal Price Levels

The bot comes pre-loaded with specific long entry prices (plotted in green) and short entry prices (plotted in red).
Entry Execution: If price is eligible (i.e., meets GMA and ATR conditions) and crosses below a long level (in an uptrend) or above a short level (in a downtrend), the script issues the relevant market entry (long or short).
Trade Management

Automated Entries & Exits: Once a trade is initiated, the strategy automatically sets the corresponding stop-loss and take-profit levels.
Ongoing Volatility Checks: With each bar update, the ATR filter re-evaluates whether conditions remain within acceptable bounds, giving you consistent real-time protection against unstable price swings.
Setup and Configuration
Add the Strategy

Go to TradingView’s Indicators/Strategies panel, search for “Enhanced ML Trading Bot with Dynamic ATR Filters,” and add it to your chart.
Select Symbol & Timeframe

Ideally suited for liquid crypto pairs (e.g., ETH/USDT).
Works across various timeframes (e.g., 1-minute for scalping or 1-hour for broader swings).
Adjust Inputs

GMA Lengths (Long, Short): Determine how quickly each geometric average responds to price shifts.
ATR Length: Affects how many bars are considered in volatility calculations.
Min/Max ATR (% of Price): Defines the acceptable volatility window.
ATR Multiplier: Scales your stop-loss and take-profit distances.
Personalize Entry Lines

If you prefer different thresholds or have identified your own support/resistance zones, you can modify the arrays (long_entries and short_entries) within the script accordingly.
Backtesting Recommendations
Extended Backtest Window

On lower timeframes (e.g., 1-minute), gather at least 3 months of data for robust results.
For higher timeframes, consider an even larger historical sample to capture different market cycles.
Statistical Reliability

Aim for 50+ closed trades to get a reasonable estimate of win rate, drawdown, and net profit.
Always note that fewer trades make for less reliable metrics.
Iterative Optimization

Experiment with various GMA lengths, ATR ranges, and multiplier settings.
Make small adjustments and re-run backtests to see how they impact the strategy’s overall performance.




By combining log-based GMAs for trend direction and an ATR-driven volatility filter, the Enhanced ML Trading Bot with Dynamic ATR Filters provides a balanced approach to capturing market moves while mitigating the risk of false signals and sudden price swings. Its straightforward integration of pre-set horizontal entry lines—coupled with automated stop-loss and take-profit placements—makes it a practical yet powerful tool for traders seeking to adhere to disciplined trading principles.

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Nota Keluaran

The Enhanced ML Trading Bot with Dynamic ATR Filters is a streamlined trading strategy centered around two primary components: Geometric Moving Averages (GMAs) for trend identification and a dynamic ATR-based volatility filter. By combining these technical signals, the script seeks to capture high-probability trades while filtering out extremes in market volatility. Additionally, it plots a series of predefined price lines for both long and short entries, offering a clear roadmap for potential trade setups.

Key Features
Dual GMAs (Geometric Moving Averages)

Long & Short Calculation
Computes two separate GMAs—one designated as “long” and the other as “short”—using the log of price data. This approach enhances smoothness in trend detection compared to standard moving averages.
Directional Bias
Bullish Bias if the “long” GMA is above the “short” GMA.
Bearish Bias if the “short” GMA is above the “long” GMA.
This ensures the strategy remains aligned with the prevailing market momentum.
Dynamic ATR Volatility Filter

Adaptive Window
Calculates the Average True Range (ATR) over a user-defined period, then expresses ATR as a percentage of price. Only trades are allowed if this ATR% stays within a specified minimum and maximum range, effectively avoiding overly flat or excessively volatile conditions.
ATR Multipliers
Uses an ATR Multiplier to automatically position stop-loss and take-profit levels, ensuring the strategy adapts to changing volatility without manual intervention.
Predefined Horizontal Entry Lines

Embedded Long & Short Levels
The script plots a series of green lines on the chart for potential long entries and red lines for potential short entries. These are hard-coded but can be adjusted within the script to align with personal support/resistance zones.
Directional Confirmation
Even if price crosses one of these lines, an entry only triggers if the relevant GMAs confirm the trend bias (long or short) and the ATR filter deems volatility appropriate.
Stop-Loss & Take-Profit Management

Automated Risk Control
For every trade entry, the bot calculates both stop-loss and take-profit levels based on the ATR Multiplier. This dynamic placement offers protection against sudden adverse moves and helps lock in gains.
Positive Risk-Reward Emphasis
By positioning exit levels at a consistent distance (in ATR terms) from the entry, the script encourages balanced or favorable risk-reward setups.
How the Strategy Works
Geometric Moving Averages

The script logs the price data and applies a simple moving average to these log values.
This approach reduces the impact of large price jumps, enhancing the smoothness and reliability of the GMAs.
When the long GMA crosses above the short GMA, it signals a potential upward trend; if the short GMA is above the long GMA, the bias shifts to bearish.
Dynamic ATR-Based Validation

ATR Calculation: Measures the average range of price movement over a user-selected period (default is 7 bars).
Volatility Window: Trades are permissible only if ATR%, defined as (ATR / Close), resides between the user-defined Min ATR (% of Price) and Max ATR (% of Price).
Stop-Loss & Take-Profit: Set using the ATR Multiplier, ensuring each trade’s risk is proportionate to recent market volatility.
Horizontal Price Levels

The bot comes pre-loaded with specific long entry prices (plotted in green) and short entry prices (plotted in red).
Entry Execution: If price is eligible (i.e., meets GMA and ATR conditions) and crosses below a long level (in an uptrend) or above a short level (in a downtrend), the script issues the relevant market entry (long or short).
Trade Management

Automated Entries & Exits: Once a trade is initiated, the strategy automatically sets the corresponding stop-loss and take-profit levels.
Ongoing Volatility Checks: With each bar update, the ATR filter re-evaluates whether conditions remain within acceptable bounds, giving you consistent real-time protection against unstable price swings.
Setup and Configuration
Add the Strategy

Go to TradingView’s Indicators/Strategies panel, search for “Enhanced ML Trading Bot with Dynamic ATR Filters,” and add it to your chart.
Select Symbol & Timeframe

Ideally suited for liquid crypto pairs (e.g., ETH/USDT).
Works across various timeframes (e.g., 1-minute for scalping or 1-hour for broader swings).
Adjust Inputs

GMA Lengths (Long, Short): Determine how quickly each geometric average responds to price shifts.
ATR Length: Affects how many bars are considered in volatility calculations.
Min/Max ATR (% of Price): Defines the acceptable volatility window.
ATR Multiplier: Scales your stop-loss and take-profit distances.
Personalize Entry Lines

If you prefer different thresholds or have identified your own support/resistance zones, you can modify the arrays (long_entries and short_entries) within the script accordingly.
Backtesting Recommendations
Extended Backtest Window

On lower timeframes (e.g., 1-minute), gather at least 3 months of data for robust results.
For higher timeframes, consider an even larger historical sample to capture different market cycles.
Statistical Reliability

Aim for 50+ closed trades to get a reasonable estimate of win rate, drawdown, and net profit.
Always note that fewer trades make for less reliable metrics.
Iterative Optimization

Experiment with various GMA lengths, ATR ranges, and multiplier settings.
Make small adjustments and re-run backtests to see how they impact the strategy’s overall performance.




By combining log-based GMAs for trend direction and an ATR-driven volatility filter, the Enhanced ML Trading Bot with Dynamic ATR Filters provides a balanced approach to capturing market moves while mitigating the risk of false signals and sudden price swings. Its straightforward integration of pre-set horizontal entry lines—coupled with automated stop-loss and take-profit placements—makes it a practical yet powerful tool for traders seeking to adhere to disciplined trading principles.