Based in the model of Machine learning: Lorentzian Classification by @jdehorty, you will be able to get into trending moves and get interesting entries in the market with this strategy. I also put some new features for better backtesting results!
Backtesting context: 2022-07-19 to 2023-04-14 of US500 1H by PEPPERSTONE. Commissions: 0.03% for each entry, 0.03% for each exit. Risk per trade: 2.5% of the total account
For this strategy, 3 indicators are used:
Machine learning: Lorentzian Classification by @jdehorty
One Ema of 200 periods for identifying the trend
Supertrend indicator as a filter for some exits
Atr stop loss from Gatherio
Trade conditions:
For longs:
Close price is above 200 Ema
Lorentzian Classification indicates a buying signal
This gives us our long signal. Stop loss will be determined by atr stop loss (white point), break even(blue point) by a risk/reward ratio of 1:1 and take profit of 3:1 where half position will be closed. This will be showed as buy. The other half will be closed when the model indicates a selling signal or Supertrend indicator gives a bearish signal. This will be showed as cl buy.
For shorts:
Close price is under 200 Ema
Lorentzian Classification indicates a selling signal
This gives us our short signal. Stop loss will be determined by atr stop loss (white point), break even(blue point) by a risk/reward ratio of 1:1 and take profit of 3:1 where half position will be closed. This will be showed as sell. The other half will be closed when the model indicates a buying signal or Supertrend indicator gives a bullish signal. This will be showed as cl sell.
Risk management
To calculate the amount of the position you will use just a small percent of your initial capital for the strategy and you will use the atr stop loss or last swing for this. Example: You have 1000 usd and you just want to risk 2,5% of your account, there is a buy signal at price of 4,000 usd. The stop loss price from atr stop loss or last swing is 3,900. You calculate the distance in percent between 4,000 and 3,900. In this case, that distance would be of 2.50%. Then, you calculate your position by this way: (initial or current capital * risk per trade of your account) / (stop loss distance). Using these values on the formula: (1000*2,5%)/(2,5%) = 1000usd. It means, you have to use 1000 usd for risking 2.5% of your account. We will use this risk management for applying compound interest. > In settings, with position amount calculator, you can enter the amount in usd of your account and the amount in percentage for risking per trade of the account. You will see this value in green color in the upper left corner that shows the amount in usd to use for risking the specific percentage of your account. > You can also choose a fixed amount, so you will have to activate fixed amount in risk management for trades and set the fixed amount for backtesting.
Script functions
Inside of settings, you will find some utilities for display atr stop loss, break evens, positions, signals, indicators, a table of some stats from backtesting, etc.
You will find the settings for risk management at the end of the script if you want to change something or trying new values for other assets for backtesting.
If you want to change the initial capital for backtest the strategy, go to properties, and also enter the commisions of your exchange and slippage for more realistic results.
In risk managment you can find an option called "Use leverage ?", activate this if you want to backtest using leverage, which means that in case of not having enough money for risking the % determined by you of your account using your initial capital, you will use leverage for using the enough amount for risking that % of your acount in a buy position. Otherwise, the amount will be limited by your initial/current capital
I also added a function for backtesting if you had added or withdrawn money frequently:
Adding money: You can choose how often you want to add money (Monthly, yearly, daily or weekly). Then a fixed amount of money and activate or deactivate this function
Withdraw money: You can choose if you want to withdraw a fixed amount or a percentage of earnings. Then you can choose a fixed amount of money, the period of time and activate or deactivate this function. Also, the percentage of earnings if you choosed this option.
Some other assets where strategy has worked
BTCUSD 4H, 1D
ETHUSD 4H, 1D
BNBUSD 4H
SPX 1D
BANKNIFTY 4H, 15 min
Some things to consider
USE UNDER YOUR OWN RISK. PAST RESULTS DO NOT REPRESENT THE FUTURE. DEPENDING OF % ACCOUNT RISK PER TRADE, YOU COULD REQUIRE LEVERAGE FOR OPEN SOME POSITIONS, SO PLEASE, BE CAREFULL AND USE CORRECTLY THE RISK MANAGEMENT Do not forget to change commissions and other parameters related with back testing results!. If you have problems loading the script reduce max bars back number in general settings Strategies for trending markets use to have more looses than wins and it takes a long time to get profits, so do not forget to be patient and consistent !
Please, visit the post from @jdehorty called Machine Learning: Lorentzian Classification for a better understanding of his script! Any support and boosts will be well received. If you have any question, do not doubt to ask!
Nota Keluaran
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Bug related with Adding/withdrawing money function was solved. However, calculation could not be perfect in lowertimeframes. I am still looking for a solution for this.
Hello and thanks for the script. I just have a question, what is the difference between 'CS', 'TP', and 'EXIT'? If these are common terminologies then I'm not aware of them. Thank you.
StrategiesForEveryone
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@LuckyPanda2, CS for close short, TP for take profit and EXIT when stop loss is touched. TP appears also when stop is touched, but it´s because I have to use two positions for closing when tp is touched tp and closing the other half when appears a CL or CS signal :)
I want to thank you so much! I have not been so excited trying out a new indicator/strategy in years. This is amazing! I was getting great results with the 15 min indicator but your 1 hr results on US500 are super impressive! Do you have an option that I am missing to get out after 4 bars from entry in the strategy or adjustable to "x" bars? Do you have a paid version of the strategy that is even better? Lol. If anyone knows the answer to any of my questions, please comment. Thank you!
smartdigitals
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@brucef3, if you are interested in a custom strategy based on this formula, let me know
yoonline
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@smartdigitals, im interested, i cannot send private message
smartdigitals
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@yoonline, smartdigitals is also my username on gmail.