Original Strategy - Backtest & Alerts [AlgoRider]

2022年10月22日

█ OVERVIEW


This indicator simulates an efficient trading strategy developed by our team in a simple and effective way, the primary objective when designing it was to make its reading and use as simple as possible for TradingView users. The Backtesting feature has been designed to keep only the most essential information to obtain clear and precise results directly on the graph. The settings interface has also been designed for ergonomic and simplified use. The user is free to customize the parameters as he wishes and according to his trading profile by having the choice, for example, of using options to reduce the risk of loss, to increase the win rate, to optimize profits. Automation is made possible and facilitated thanks to preconfigured alert conditions.



█ CONCEPTS


How the strategy works :

When the price is close to its equilibrium (represented by an exponential moving average - EMA) and it starts to take an upward or downward direction the script will issue Long or Short entry orders. If the price turns and goes to the opposite direction, the script quickly cuts the position by issuing a Stop Loss order. When the price takes a real clear direction, this is where the script will be able to accumulate profits.

What makes this script unique is :

  •   That it is entirely developed by us, inspired by a strategy that is little known and little used in the trading world, in particular because it often involves a greater number of losing trades than winning trades.

  •  Its ease of reading and use. The backtesting feature was designed to clearly display the most important information in a data table directly on the chart. The user is not lost with dozens of superfluous data and can directly access the most essential information to see how the strategy has performed in the past.

  •   Its ease of configuration and customization. Once in the configuration window, again the user is not lost, because there is only one main parameter to modify, it is the length of the EMA, which will influence the timing of entries and exits trades. Then there are a few other non-mandatory parameters to fine-tune risk management and maximize profits. (Detailed description of the settings further down the page)

  •   Strategy automation made easy and fast thanks to several types of alerts which are differentiated for entries, for auto-exits and for Custom TP and SL. These alerts can be configured to send the messages by email or via Webhooks.

  •   The indicator has several custom options allowing its user to go further than the basic strategy. Several confirmations for entries are available as well as the possibility of adding or not a personalized TP and/or SL.

  •   There is no repaint, once an entry/exit symbol or drawing is displayed it doesn't change anymore. The Short, Long and auto-Exit signals appear only at the open of the candles, just after the signal was confirmed at the close of the previous candle. The custom TP and custom SL signals can appear when a candle is not yet finished, but once displayed they don't change.



█ HOW TO PROCEED


 1 —  Once the script is applied to your chart, it already works with its default settings. You can already see the performance of the strategy in the data table directly on the chart (in the top right corner by default).

 2 —  You can customize the strategy and influence the results/performance by modifying its parameters. 3 types of parameters are present and can be modified.

 3 —  This strategy is designed for the cryptocurrency market in priority, but you can also try it on other types of assets. It works on Futures but you can also try it on Spot market mainly for LONG trades.

 4 —  You can apply the script in every timeframe. We do not recommend using it below m30 because in most cases the statistics are unfavorable largely because of the fees. (This is not a financial advice but only for the use of the indicator)



█ FEATURES



Screenshot on EGLDUSDT Bybit Futures, H1, with default parameters, from 2022-01-01 to 2022-09-27, to show the settings window


• Settings For Backtesting


  - Strategy :   Choose from a drop-down list if the strategy should execute only Long trades or only Short trades or both. Default Both.

  - Invest.   :   Choose the amount you want to invest in the simulation. Default 10000.

 -  Position  :   Choose the amount of the position (Size order) that will be used during the simulation. This will be the $ amount staked/involved for each trade entry.
Ex: If you put 20000 in position and 10000 in Invest. We consider that you use at least a leverage x2. Default 10000.

  - Slipp. TP :   Choose the amount in percentage of average slippage for Take Profits. This parameter makes it possible to predict a potential gap between the theoretical exit price for each TP (On the graph) and the real exit price on an exchange when implementing the strategy for real (slippage may be due to a time lag of a few seconds from execution time of the order on the exchange and/or due to the execution of a market order).
Ex: If a TP exit order of a Long trade, with entry $19000 (on BTCUSDT), is carried out in theory on the chart at $20000, in practice on the exchange the script have indeed sent an exit order at 20000 , but if the true exit price is 20050, the TP slippage is then +0.25%. Default 0.

  - Slipp. SL :   Choose the amount in percentage of average slippage for Stop Losses. This parameter makes it possible to predict a potential gap between the theoretical exit price for each SL (On the graph) and the real exit price on an exchange when implementing the strategy for real.
Ex: If an SL exit order of a Long trade, entry $19000 (on BTCUSDT), is carried out in theory on the chart at $18000, in practice on the exchange the script have indeed sent an exit order at 18000 $, but if the true exit price is 17950, the slippage SL is then +0.278%. Default 0.

  - Fees %  :   Choose the percentage amount of fees applied to each trade to simulate the application of the strategy on the exchange of your choice. Applies to the entry and exit of each trade. Ex: For Binance Futures: 0.04; For Bybit futures: 0.06; For Ftx Futures: 0.075. Default 0.

  -  Cumulate Trades  :   If you check this, the Backtest will use 100% of the balance as Order Size (Position) for All or in the next X consecutive trades. Default not checked.
⚠️ Be Careful please, this option is available to show the full extent and possibilities of the algorithm when pushed to its limits thanks to the accumulation of profits (cumulative earnings), but it is a strategy that involves great risk. If a bad trade suffers a -50% loss, 50% of the account balance is lost, if the position is liquidated, the entire account balance is lost.

  - All          :   If you check this All trades will be accumulated. Default not checked.

  - Consecutive Trades :   Choose the number of trades to accumulate. After X consecutive trades, the algorithm reassigns the initial order size to the current one and starts again for X consecutive trades. Minimum Value 2, Default 2.


• Settings To Optimize Performances and Risk Management


  - (Main Parameter) EMA Length :  Choose the length of the EMA. This value will determine the exponential moving average plot (blue line) that represents the equilibrium in this strategy. Depending on the positioning of the price around this equilibrium, the algorithm will decide to trigger Long or Short entry alerts, and exit alerts. Default 200.

  -  1 - Confirm (After X Bar(s))  :  If you check this, when the algorithm will detect an entry, it will wait for the number of bars you have entered to actually trigger the entry alert. Default not checked.

  - Nb Bar             :  Enter here the number of bar you want, will be taken into account only if you check (1) Confirm (After X Bar(s)). Default 2.

  -  2 - Confirm (Trend)       :  If you check this, when the algorithm will detect an entry, it will check that the trend is similar to the direction of the trade, if not, it will wait that the trade goes in the same direction as the trend to actually trigger the entry alert. Default not checked.

 -  OR/AND             :  This choice is taken into account only if you tick both confirmations. If you choose OR: The first of the 2 confirmations to be validated will trigger the entry alert. If you choose AND : once confirmation (1) is validated, the algorithm waits for confirmation (2) to be validated to actually trigger the entry alert. Default OR.

  - Use TP / Use SL         :  If you check these, the algorithm will trigger personalized trade exit alerts when the price evolution has reached the amounts indicated since the trade entry. Default not Checked.

 -  % TP - SL            :  Indicate here the personalized amount in percentage that you want for your Take Profit and Stop Loss of each trade. Default 15-5.


• Settings For Appearances


  - Small-size Data Table  : If you check this, the data table will become smaller to free up more space on the chart to make it visually more pleasing. Default not checked.

       Hide Table  /
  -   Hide Labels /     : You can check these to get a cleaner chart and focus only on what interests you in the indicator. Default not checked.
   Hide Risk-Reward Areas



█ MAIN PARAMETERS TO USE


  •   In the default settings none of the box settings are checked. Basic strategy is made to be applied this way.

  •   The main parameter (the length of the EMA) is by default 200 because it is a known value that many traders rely on in many trading strategies. Moreover in this strategy it works in many cases and on different timeframes.

  •   To go further the user of the indicator is free to modify the parameters of the category "Leading Parameters - Risk Management" to reduce risks and to optimize profits.

  •  You can find below our recommendations for the EMA length value corresponding to the main timeframes.

    m30 —  EMA Length = 400 | 800

    H1   —  EMA Length = 200 | 400

    H2   —  EMA Length = 200 | 250

    H4   —  EMA Length = 100 | 200

    D   —  EMA Length =  20 | 40

  ⚠️ We have chosen to recommend these settings because they will work in most cases, on most cryptoassets, but of course they will not work 100% of the time on all assets and will not always give positive results in the backtest, and they are not the most optimized parameters either. The user of the indicator is free to optimize the asset on which he wants to trade in his own way. Just as we do not give financial advice, we do not encourage to trade any asset in particular.



█ STATISTICS


The statistics presented below are an example of the results that the strategy can provide. (Reminder: These statistics are made over a past period and there is no guarantee that the same performance will reproduce in the future).

For the demonstration we chose to apply the strategy on the Top 5 marketcap cryptos in September 2022. They are not the most favorable coins for this strategy but at least this way we don't take the most suitable assets to show wonderful and biased results. Likewise for the parameters used which are the default ones and which are not the most optimized parameters, much better results are possible. We chose Binance because it has the highest volumes and liquidity and the most historical data. We chose H1 because it is one of the most used timeframes.

                                BTC

Screenshot on BTCUSDTPERP Binance Futures, H1, with default parameters (EMA : 400), from 2022-01-01 to 2022-09-27

                                ETH

Screenshot on ETHUSDTPERP Binance Futures, H1, with default parameters (EMA : 400), from 2022-01-01 to 2022-09-27

                                BNB

Screenshot on BNBUSDTPERP Binance Futures, H1, with default parameters (EMA : 400), from 2022-01-01 to 2022-09-27

                                XRP

Screenshot on XRPUSDTPERP Binance Futures, H1, with default parameters (EMA : 200), from 2022-01-01 to 2022-09-27

                                ADA

Screenshot on ADAUSDTPERP Binance Futures, H1, with default parameters (EMA : 400), from 2022-01-01 to 2022-09-27


To show the potential of the indicator and push it to its limits, here is an example of the strategy applied for about 2 years (Up to the maximum of historical data available).
⚠️ It must be taken into account that during the period of this backtest the last Bullrun took place and it was a very favorable period for the strategy and for this altcoin (FTM), nothing ensures that it will happen again. ⚠️

                                FTM

Screenshot on FTMUSDTPERP Binance Futures, H4, with default parameters (without cumulative earnings) and EMA : 400, start on 2020/12/03 to 2022/09/27


✅ All of the above statistics are verifiable by anyone using the indicator's backtesting system.



█ LIMITATIONS


  •   Despite the fact that we can see good performances when we backtest the strategy, we must take into account the fact that these are results performed in the past and that in no case does this guarantee that these same performances will be repeated again in the future.

  •   The automation of this strategy is made possible and is facilitated by alerts, but you must be aware of the fact that if you decide to put this strategy into practice in real life, you are solely responsible for the results that you will be able to obtain and you must be aware of the possibility at all times of partial or even total losses of your invested capital.

  •   Keep in mind that generating profits in trading is difficult. A strategy can perform very well at one time in the past during a period that is favorable to it, then from one day to the next it can give really bad results for several months or years.

  •   When backtesting a strategy, there are many factors to consider, not just trade entries to which you add a Take Profit and sometimes a Stop Loss. You must at least take into account the size of the position in relation to the capital you want to invest, the trading fees, the slippages (which can be really important depending on the exchange on which you are trading and depending on the asset you are trading), trading frequency, risk management, momentum, volumes and even more.

  •   This indicator has been optimized for crypto, you can try to use it on other type of assets but again, at your own risk.



The information published here on TradingView is not prohibited, doesn't constitute investment advice, and isn't created solely for qualified investors.



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Important to note : our indicators with the same backtesting system are published in separate publications, because putting them together in a single script would considerably slow down the execution of the script. In addition each indicator, even when it is based on a simple technical indicator, has several options, parameters and entry/exit conditions specific to the underlying technical indicator. Finally, we want to keep the simplicity of use, configuration and understanding of our indicator by not mixing strategies that have nothing to do with each other.

2022年10月27日

版本注释

UPDATE: Improved confirmation [Trend] + cumulative strat

2022年11月21日

版本注释

Optimization of exit alerts

2023年5月12日

版本注释

UPDATE: V2.0 of the algorithm.
We Introduce:
✅ Add Multi/Partial TP
✅ Add SL to Breakeven auto
✅ Add SL Follows Targets auto
✅ Add 2 Types of 'Trailing Stop'. 1 Trailing Stop with a custom EMA and/or 1 Trailing Stop with a Deviation %
✅ Add Pre-Set configuration (with efficient settings that we choose after several month of Backtesting)
✅ Better handling of 'Negative Slippage'
✅ Redesign of boxes for better clarity
✅ Redesign of Small Tab feature
✅ Redesign of the parameters window
✅ Better handling of Appareance parameters (For Tabs, Labels, Boxes)
✅ Redisign Alert conditions (All alert conditions trigger at the opening of candles)
✅ New alert system 'In-script' using the alert() function. It's now possible to use 1 slot of alert to trigger 6 type of alerts (Entry Long, Entry Short, Exit Long, Exit Short, Edit SL Long, Edit SL Short)
✅ Add the possibility to define Targets for TP and SL with ATR(Lenght 14) instead of Percent.

2023年5月12日

版本注释

UPDATE: Fix on function Alert()

2023年5月18日

版本注释

UPDATE: Fix Exit Alert + Trailing Deviation Percent value

2023年7月12日

版本注释

UPDATE: New version V2.1 with the last version of our Backtesting Engigne + Add Full Auto-Pilot Mode and Auto Modes