HFT Fibonacci Bands Backtester

2020年7月12日

Default Settings are meant to be used in XBT/USD chart on 15 min time frame. If you want to use for another asset on another time frame YOU MUST CHANGE THE SETTINGS

This is a Fibonacci bands based trading strategy developed by HFT Research. It is a highly customizable strategy and provides endless opportunities to find profitable trades in the market.

Use Fib BB
This is the main decision maker of the strategy. Tuning the settings of this portion of the strategy will change the outcome the most. We have provided default settings. However, they are only good for 15min chart on Bitcoin . Please adjust accordingly.

Fib BB Length: This setting adjusts the middle line of your Fibonacci Bands. It is the moving average that you take it as base for your Fibonacci bands. Default value is currently 20.

Fib Level to Use for Entry: Here, you adjust which one of the Fibonacci Ratio levels you would like to use for your entry. You can only choose one of the following options.

Fibonacci Ratio 1
This is your Fib ratio level 1 and you can put any number here you would like

Fibonacci Ratio 2
This is your Fib ratio level 2 and you can put any number here you would like

Fibonacci Ratio 3
This is your Fib ratio level 3 and you can put any number here you would like

Please keep in mind that Ratio 1 should be higher than Ratio 2 and Ratio 2 should be higher than Ratio 3.

Use RSI
You can also turn on and off the RSI as well. Alternatively, there is an option to use RSI on a different time frame than you are currently on. For example, if you are looking at the 5min chart to use Bollinger bands but you would like to look at the RSI value on the 15min chart. You can do so by selecting the custom RSI timeframe as well as adjusting the Oversold and Overbought value.

Use CCI
Commodity Channel Index is an indicator developed by Donald Lambert. It is a momentum-based oscillator used to help determine when an investment vehicle is reaching conditions of being overbought or oversold. It also used to asses price trend direction and strength. Default settings are usually the safest and the best fit.

Use VWAP
VWAP stands for volume weighted average price . It is an extremely useful indicator when trading intra-day. It does reset every trading session which is at 00:00 UTC . Instead of looking at x number of candles and providing an average price, it will take into consideration volume that’s traded at a certain price and weigh it accordingly.

Use ADX
ADX stands for average directional index . It is an indicator that measures volatility in the market. Unfortunately, the worst market condition for this strategy is sideways market. ADX becomes a useful tool since it can detect trend. If the volatility is low and there is no real price movement, ADX will pick that up and will not let you get in trades during a sideways market. It will allow you to enter trades only when the market is trending.

Use MA Filters
Lookback: It is an option to look back x number of candles to validate the price crossing. If the market is choppy and the price keeps crossing up and down the moving average you have chosen, it will generate a lot of “noisy” signals. This option allows you to confirm the cross by selecting how many candles the price needs to stay above or below the moving average. Setting it 0 will turn it off.

MA Filter Type: There is a selection of moving averages that is available on TradingView currently. You can choose from 14 different moving average types to detect the trend as accurate as possible.

Filter Length: You can select the length of your moving average. Most commonly used length being 50,100 and 200.

Filter Type: This is our propriety smoothing method in order to make the moving averages lag less and influence the way they are calculated slightly. Type 1 being the normal calculation and type 2 being the secret sauce

Reverse MA Filter: This option allows you to use the moving average in reverse. For example, the strategy will go long when the price is above the moving average. However, if you use the reserve MA Filter, you will go short when the price is above the moving average. This method works best in sideways market where price usually retraces back to the moving average. So, in an anticipation of price reverting back to the moving average, it is a useful piece of option to use during sideway markets.

The backtester assumes the following;
- 1000$ capital
- 0.06% commission based on binance
- 1% risk meaning 100% equity on cross leverage
- Backtest results are starting from 2020

If you want to get access to this indicator please DM me or visit our website.