Grid-based intraday algorithm that works 50% in trend following and 50% in swing trading. Orders are executed on a grid of 10 levels. The grid levels are dynamic and calculated on the difference between the previous day's open and close. The algorithm makes only long trades based on the following logic:
1. The daily close of the previous day is analyzed, the first condition is met if the previous day was bullish, closing higher than the 'opening. 2. Must pass 'x' number of bars before placing market orders. 3. The range, as the difference between close and open of the previous day must be greater than 'x'.
If these three conditions are met then the algorithm will proceed to place long orders. On a total of 10 grid levels, up to five trades are executed per day.
If the current close is above level 1 of the grid (previous day's close) then trend following trading will take place, working on the upper 5 levels. In this case each order is placed starting at level 1 and closed at each level above.
If the current close is below level 1 of the grid (previous day's open) then swing trading will be carried out, working on the lower 5 levels. In this case each order is placed starting at level 2 and closed at the upper level.
If at the time of order execution the price is above or below the stop loss and take profit levels, the algorithm will cancel the orders and prevent trading. All orders are closed exclusively for two reasons: 1. If the stop loss or take profit level is confirmed. 2. If the daily session is ended.
UI Interface You can adjust: 1. Backtesting period 2. 'x' number of bars before placing orders at the market (remember to always add 2 to the number you enter in the user interface if you enter 2 then execution will occur at the market opening after the fourth bar). 3. Intercepted price range between close and open of the previous day, avoiding trading on days when the range is too low. 4. Stop loss, level calculated from the 'last lower grid, if the market breaks this level the grid is destroyed and closes all open positions. 5. Take profit, the level calculated from the last upper grid, if the market breaks this level the grid is destroyed and closes all open positions.
The backtesting you see in the example was generated on:
Is there any setting I need to set to keep the max drawdown low? I backtested it with btc TF 15 min in the past year with good results but the max drawdown is very high. It's as high as the net profit.
zhiming
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Brother, I have developed a grid strategy, for example, to specify a price of $30 for Ethereum, and then dynamically adjust the price to $30 based on a certain indicator. However, I have no idea about this certain indicator. Do you have any suggestions?
ecovalence
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Study Error Error on bar 0: WRONG TIMEFRAME: Please select an intraday timeframe when use this strategy backtesting
thequantscience
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@ecovalence, seem you are using a day or more timeframe. The strategy only works on intraday bar, please set a different timeframe mate. Thank you.
akarinl
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Worst explanation ever. What did you mean by above or below level1 comparing to the regarding pictures?
thequantscience
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@akarinl, I am sorry if you had difficulty understanding the script workflow. A detailed guide for each of our public scripts will be coming out soon. Please stay tuned for updates.