Moving Regression Band Breakout strategy

Following the introduction of the Moving Regression Prediction Bands indicator (see link below), I'd like to propose how to utilize it in a simple band breakout strategy:

• Go long after the candle closes above the upper band. The lower band (alternatively, the lower band minus the 14-period ATR or the central line) will serve as a support line.
  
• Exit as soon as the candle closes below the support line.
  
• To manage the risk of false breakouts, a fixed stop loss is set to the value of the support line at the time of opening a position. When the support line moves above the position opening price, shift the stop loss to breakeven.
  

The same logic but in reverse applies to short positions.

As an option, it is possible to allow long entries only when the slope of the Moving Regression curve is positive (and short entries when the slope is negative).

Model parameters:

• Length and Polynomial Order define the lag and smoothness of the model.
  
• Multiplier specifies the width of the channel.
  

As the default model parameter values, I set those that I found to provide optimal risk / reward ratio on the daily timeframe (for both trending and range-bound market). However, the settings are very flexible and can be well-adjusted to particular market conditions. Feel free to play around and leave feedback in the comments!


Here's the original Moving Regression Prediction Bands script:

リリースノート:

corrected the way of how the user-defined backtest period is handled

リリースノート:

• By many requests, alert() function calls are made available. (For details: www.tradingview.com/...-are-live-now-18770/)
  
• The layout of the input window is improved.