Breakout Trend Trading Strategy - V2

13 Okt 2020

This is an alternate version of Breakout Trend Trading Strategy - V1

Only difference is, this strategy places stop orders based on calculated targets whereas V1 waits for price to close target levels and then places market orders. Hence, you will receive the target prices before trade executes in strategy.

Parameters are same as that of Breakout Trend Trading Strategy - V1

There is one additional parameter on Trade Type - which permits user to allow only breakout, pullback or reverse trading or combination of all.

Backtesting parameters remain same :

Capital and position sizing : Capital and position sizing parameters are set to test investing 2000 wholly on certain stock without compounding.

Initial Capital : 2000
Order Size : 100% of equity
Pyramiding : 1

Test cases remain same :

Positive : AAPL , AMZN , TSLA , RUN, VRT , ASX:APT
Negative Test Cases: WPL , WHC , NHC , WOW, COL, NAB (All ASX stocks)
Special test case: WDI

Negative test cases still show losses in back-testing. I have attempted including many conditions to eliminate or reduce the loss. But, further efforts has resulted in reduction in profits in positive cases as well. Still experimenting. Will update whenever I find improvements. Comments and suggestions welcome :)

13 Okt 2020

Nota Keluaran

Remove allowImmediateCompound option as this is causing some issues even without compounding

18 Okt 2020

Nota Keluaran

Updates:

• Optimized stops and trailing is done upon reaching compound instead of on every bar
  
• Added compound multiplier to enable different levels for compound.
  
• Tougher entry conditions for instruments making loss and lenient entry conditions for ones doing good.
  
• Updated target level display type. Stop and compound updated after each bar if there is open position.
  

18 Okt 2020

Nota Keluaran

Enhancements

• Corrected line color and description for stop and compound lines.
  
• Added condition to identify ranging market and exit strategy in ranging market
  

If stop and compound lines do not move for rangeBars, then it is considered as ranging market. Two different exit strategies are available during the ranging market.

• ExitOnSignal : This is only applicable when regular ExitOnSignal is disabled. Selecting this option conditionally enables exiting on signal during ranging market.
  
• TrailStopLoss : Stop loss is allowed to move up and compound is allowed to move down if this mode is selected. Either case will result in tightening of stop loss.
  
• Disabled : This is selected by default as backtesting did not yield considerable improvements in either of exit strategies. Might need to fine tune rangeBars further.
  

21 Okt 2020

Nota Keluaran

Tightening negative test cases. This may reduce profit on positive tests. But, idea is to come up with generic algo which can reduce loss on negative items as well.

21 Okt 2020

Nota Keluaran

Added percent rank to entry condition, made MA Alignment settings available in input

22 Nov 2020

Nota Keluaran

Added optional monthly, weekly supertrend filter. These are disabled at present as it is not achieving better results. But, there is room for optimization.