Multi-Timeframe V 1.6.2

1月29日

Multi Timeframe Z score normalized Strategy.

Scores are tallied and normalized with a gamma value and z-score method on a rolling window of time.

when signals reach over a certain threshold, the strat executes. Suitable for 5-15 minute Timeframe.

5天前

版本注释

Multi Timeframe Signal Normalization

This is a script that uses several indicators on several time frame. it collects data then create a statistical normalization. once the signal crosses over the threshold, an action is taken.

Working Logic
MACD is measured and scored for crossing or being in a position relative to signal
RSI is measured and another smoothed line is calculated. if the RSI crossed the smoothed RSI, a score is added.
when this happens on a certain level below or above a RSI value set in the input. another score is added.

ATR is measured and normalized on a rolling window to grasp the idea of volatility. the strategy only executes id the current ATR is above or below a set threshold.

MA conditions on 1 hour TF is evaluated and scores added depending on their positioning. it also acts as hard blocks to improve averages.

Score Grading

Scores are tallied to establish a skew towards buying and selling. then it is normalized on a range of 0-13. gamma adjustments are possible to increase or decrease the sensitivity.
once signal have a clear tally, it will push to execute an action, depending on the direction.

Taking Profits

Minimum profits are set where TP/SL activates.

TP and SL is based on ATR levels. it have two options :

• Based on ATR calculated by adding the highs and lows of x previous candles
  
• Based on percentage trailing
  

The SL and TP automatically adjusts to follow the movement this way, enhancing maximum profit sometimes way above the set minimum percentage point.

Each "distance" of TP and SL is updated while size == 0. and will trail until one of them is hit.

DCA
For Maximum effect, DCA is recommended to be 10-20 levels. exercise money management to ensure if the market shows volatility, the position has enough funds to cover the range of movement before taking profit.

Thank You, Discussions and Ideas is greatly anticipated.

5天前

版本注释

Edited Images.