BT Trend v2

ScottyA

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I want to share a cool, trend-following Study that I had developed a while ago. It's time that I dusted it off... (I may have a Strategy to accompany this. Will need to check).

BT was the nickname of a great trend-trader I used to work with. His secret sauce was the foundation of this Study. Entries and Exits are based on the position of price relative to the faster HMA and slower KAMA moving averages, plus in relation to being above or below VWAP.

Study Logic
Long Entries are calculated by the first bullish bar to close above VWAP and the KAMA, while the HMA and KAMA are increasing.
Short Entries are calculated by the first bearish bar to close below VWAP and the KAMA, while the HMA and KAMA are decreasing.
Long Exits are calculated by a close below VWAP, a close below the KAMA, or after three consecutive Bearish bars.
Short Exits are calculated by a close above VWAP, a close above the KAMA or after three consecutive Bullish bars.

I was never fully satisfied with the Entry/Exit logic because I wanted something that worked perfectly in all markets and not just trending markets. The most success I had backtesting was with NQ on 20-range bars, but that was a few years ago, pre-pandemic and when NQ was priced in the 7k to 8k. No telling what Range bars would work today.

If anyone is interested in fiddling with the logic more, let me know. Perhaps we may come up with something as a community!

ENQM22 - BT Trend v2 - Apr-21 1511 PM (5 min).png
 

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  • BT Trend v2.jar.zip
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igor.s

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Thanks Scotty. Nothing beats the simplicity of a trend following strategy :)


cheers.
 

Limitdown

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@ScottyA

Firstly, thanks for sharing the zip file and making the forum open to others work. Feel free to contact me and share notes, and I will also.

What I have found is a blending of the Volume analysis, that is essential, along with simplification of the chart so as not to be overwhelmed. skip, skip, skip all the verbage and in short using Vol Bars instead of some other methos (time, renko, range, tick, etc) properly represents sufficient volume analysis in the price candles that one can determine a huge amount of data with minimal overhead and confusion, congestion or rules.

Now, adding in your excellent work, certainly has its benefits. So, as a suggestion and since you're greatest familiar with these BT Trend features, may I suggest using pre-market Vol Bars in a two time frame configuration, where you have the larger outsized bars, especially for the NQ / MNQ in the 500 / 1k range and the 100 Vol bar as the smallest time frame. You will clearly see the inner micro-wave scalps as well as the larger, longer waves.

I would be fascinated to hear / see your results, if you care to respond, share.
 

Limitdown

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I was late to this thread, however, here are my two cents. You may want to ask for change..... (..)

Vol Bars, not Range bars, not Renko, not Time, not Tick bars or any other hybrid are working to an extreme degree of accuracy. Whatever is written, discussed or used is countered by the algorythmic trading logic of some of these very advanced systems. This is akin to the student (in elementary school) going up against the PhD professors and Grad students.

Vol Bars take into effect the sheer amount of volume, speed of tape, price action and force of Icebergs, as they sweep through the market or trading vehicle. Admittedly, the NQ, ES and Treasury contracts are some of the most volatile and particularly in the E-Micro contract size, over the E-Mini size; these deserve the target of your focus and test vehicles. Other slower moving vehicles (contracts, stocks, options, etf's, etc) would also apply.

The concept of this HMA over the KAMA is brilliant. Thanks for keeping it alive and stirring the pot.

I too have other trading buddies, long retired to the great beyond, that we had devleoped unique solutions appropriate to those market conditions, at that time, that I honor. The dynamic nature of the marketplace continues to bring the brightest minds both domestic US, and internationally to bear as opponents and cross trade allies. These market conditions both attrack and repel at the same time, however, the most well heeled traders last the duration. Size matters and following the Elephant footprints remains the topic dejour of the mouse family (of traders).

I might suggest incorporating techniques found in "dome trading" or "naked charts / naked price action" trading in using this method you have shared.

I might also suggest comparing the 3min interval to an equivalent volume bar interval against the 5min bar interval this is displayed in and originally designed for. This linear method would self adjust and self correct as well as highlight where this method is show its greatest accuracy.

Good speed in your efforts, and I will be helping along the way.

LimitDown
 
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