This market-first trading strategy gives BUY, SHORT, and CLOSE signals based on volume, trend, and relative strength or weakness to the market (SPY by default, can be customized). This indicator is useful for signaling day-trade entries and exits for tickers that are strong (or weak) against the market.
Stocks that are showing relative strength (or weakness) to the market, are trending, and have decent movement generate a buy (or short) signal.
When the trend runs out, a CLOSE signal is fired.
Potential profit (based on ATR) and actual profit is calculated, predicting the type of move expected
Unique 'stay in trade' logic helps prevent unnecessary CLOSE signals if a trend is likely to continue
A colored plot indicates the strength of the current trend and turns orange/red when the strength is weakened.
Crypto traders can uncheck 'Trade during market hours' for 24-hour trading, and should change the comparison ticker from SPY to BTCUSD or
something similar for their market.
Enjoy!
KEY CONCEPTS
The three- and five-minute timeframes are used to establish and verify trend ( ADX /DI with custom logic)
Entries and exits are based on Parabolic SAR and confirmed on multiple timeframes, trend, and relative volume
Relative strength /weakness to the market compares ticker to SPY
Chop is avoided at all costs. I've experimented with choppiness indicator below 38, but found that the ADX DI+/- readings work even better.
Trend is established using ADX DI+/- readings over 20, confirmed by EMA 5/13 crossover and EMA5 slope
Signals will fire only if the average volume for the current 5-min bar is above normal
Only tickers with a five-bar / 13 period ATR of 1% the ticker's price generate signal.
Only longs above daily-anchored VWAP , shorts below daily-anchored VWAP
Signals fire on bar close to prevent repainting / look-ahead bias
Indicator labels and alerts generated
SIGNALS
BUY: up-trending tickers showing relative strength are bought on the three-minute PSAR
SELL: when the close price falls below the 1, 3, and 5-minute PSAR, or the ADX DI- falls below 20
SHORT: down-trending tickers with relative weakness are shorted on the three-minute PSAR
COVER: when the close price moves above the 1, 3, and 5-minute PSAR, or the ADX DI- falls below 20
ALERTS Alerts are generated on BUY, SELL, SHORT, and COVER signals, as well as optional LOST RELATIVE STRENGTH and LOST RELATIVE WEAKNESS
INPUTS
Use relative strength /weakness comparison with the market: trigger trades based on the ticker's strength or weakness to the selected comparison ticker (usually SPY for equities or BTCUSD for crypto) [*]Comparison Ticker for relative strength /weakness: Ticker to compare against for relative strength /weakness
Trade during market hours only: Take buy/sells during specified hours. Disable this for crypto trading. [*]Market hours (market time): Customize market hours - defaults to 9:30 to 16:00 EST [*]"Only trade very strong trends": take trades only if an established trend is very strong ( ADX over 40 ) (DEFAULT = ON)
"Limit trade direction to VWAP": Long trades only above VWAP , shorts below (DEFAULT = ON)
"Limit trade direction to Market direction": Long trades only if SPY (or selected comparison ticker) is up, shorts if the market is down. (DEFAULT= ON)
"Limit trades based on a ticker's green/red status for the day": Long trades if the ticker is green for the day, shorts if red. (DEFAULT = ON)
Nota Keluaran
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Slight tweaks to strategy
Nota Keluaran
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Bolstered entry/exit signals with Heiken Ashi reversals and continuations for better breakout detection and faster exits when a trend ends
Added Bollinger Band width slope check for entries (weeds out entry on a dying trend)
Nota Keluaran
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Tempered Chop indicator check, allow a buy during choppy time if ADX indicates a sharp trend is starting
Removed 'relative strength to spy' slop check
Fixed up some issues with strategy signals firing twice
Nota Keluaran
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(fixed chart type, adjusted it back to standard candle)
Nota Keluaran
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Smaller Buy/Short/Close labels by default (larger size with more detail can be enabled in settings)
Hi glst0rm, I used this with success this morning. I traded the futures mnq's using your indicator, and used the spy as your default comparison. I wish i took a screen pic of the short/buy popups, it was pretty good. The mnq's pretty much follow the spy but lack the trading volume so definitely have to be super careful, but I say it was a great program. thanks, g.
glst0rm
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@jacdan1018, that's incredible to hear! The edge in the strategy is from relative strength/weakness to a market, so you might not have quite the same edge as when trading equities. I'm thrilled it worked so well for you. I trade stocks all day with it and it's eerie how accurate it is. Thx for the feedback :)