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Voss Strategy (Filter + Trend Indicator) [Bitduke]

Created strategy based on Voss Predictive Filter, implemented by TradingView user e2e4mfck.

Voss Predictive Filter

This is a relatively new filter from John F. Ehlers’ article, “A Peek Into The Future .” Ehlers describes the calculation of a new filter that could help signal cyclical turning points in markets.

But filter has a negative group delay and while an indicator based on it cannot actually see into the future, it may provide the trader with signals in advance of other indicators.

In mentioned article he tested filter on SPY and at one point in time "it went into a trend mode in January 2019, and the cycle signal failed miserably, signaling a short position during the runup. <...> The only way to minimize the impact of this condition is to employ an additional trend detector."

Thus I've added another Ehlers' based trend based indicator Instantaneous Trendline (thanks to LazyBear for implementation) to minimize the impact of the trend mode and got a good results on XBTUSD pair 4h.

Backtest:
> Range: 2016 - 2020
> XBTUSD
> 4h
> ~20% drawdown
> Sharpe (0.361, not too impressive)

I think it can be improved with Risk Management system and experimenting with various trend following indicators.
开源脚本

本着真正的TradingView精神,该脚本的作者将其开源发布,因此交易者可以理解和验证它。为作者加油! 您可以免费使用它,但是在发布中重复使用此代码受网站规则的约束。您可以收藏它以在图表上使用。

想在图表上使用此脚本?
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评论

Nice work i will try it with additional backtests!
+1 回复
Bitduke Kunzat
@Kunzat, thanks!
回复
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