Point of possible Reversal (PPR): forex Strategy

2021年4月4日

point of possible Reversal, PPR :
in this strategy I have tried to find out the possible Reversal points in the forex pairs. It’s the most resisted levels from where the trend takes up a particular direction. These PPR can lead the price in any direction depending upon the time zone its happening in.

In this strategy once the code finds a PPR it then checks for suitable time zone then it checks for the RSI confirmation, it checks for the Parkinson Volatility, it checks for internal Bar Strength (refer below for more information)
The following setting details will help you in the understanding the strategy and indicator used:

This indicator contains the following setting:
1.Fixed trading sessions for Long and Short
i. Fixed trading session for long trades (long position can be taken in that period of time only)
ii. Fixed trading session for short trades (Short position can be taken in that period of time only)

The concept behind restricting the time to go long or short is because in forex the particular pair move in a particular direction depending upon the currency and time zones.
This strategy works on different forex pairs, you need to find the best settings. I will be providing the best settings which works for this strategy and different pairs.


2.Setting for back test selection date range you can check the beck test of a particular time range.


3.You can check Long and Short positions performance separately, by unchecking the “Go_long” option it will remove all long positions from back test. Vice versa for “Go_short "option


4.Internal Bar Strength
IBS is simply an indicator where you buy on weakness and sell on strength, the cornerstone of any mean-reverting strategy.
It oscillates from zero to one and measures the relative position of the closing price relative to the High and Low.
IBS = (Close – Low) / (High – Low)

In the input setting the you can disable enable the IBS option from the strategy.


5. Parkinson volatility
Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day (can be changed in the setting, instead of day it can be set to any bar length)
The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price.

In the setting you have three option
1. Enter Volatility Threshold
If the Parkinson volatility value is greater than the the threshold value then it lets the trade happen.
2.Set the high/low bar time frame for calculating Parkinson volatility. ( Set 60m by default)

Formula used as below:
high_=security(syminfo.ticker, input("60"), high)
low_=security(syminfo.ticker, input("60"), low)
hourlyRangeSquared = pow((log(high_) - log(low_)), 2)
dailyParkinsonVol = sqrt(sum(hourlyRangeSquared, 24) / (4 * log(2)))


6. "Enter no of contract size"
This setting helps you to set the contract size , by default it is set to 100000.


7.This setting is for the PPR, in this you can change the search of PPR in another time frame, you can add higher timeframe PPR in the chart, by default the PPR is set to search for current time frame PPR.


8.Futrther confirmation of trade is done through the RSI criteria. In this I have provided four kind of RSI confirmation you can test all by selecting any one of the four.

1. filter trade on the basis of BB of RSI (as shown in the image)
2. filter trade on the basis of RSI Levels (RSI>50 for long, vice versa for short)
3. filter trade by rsi>basis of BB of RSI(for long) & rsi<50(for short)
4. filter trade by rsi>50(long) & rsi< basis of BB of RSI(short)

SELECT ONLY ONE OF THE ABOVE IN SETTING.


9.For Exiting the trade I have used the trailing SL you can change it in setting.
You can exit the trade using two targets (two take profit) using different size for editing the trade.

If you want to take only on target then you have to make QANTITY of shares for 1st Exit as 100. Then you will exit all your position in the first target achieved.


A big thanks to kodify.net there articles are very helpful kodify.net/tradingview-programming-articles/
Thanks to stack overflow community for clearing the doubts.
Thanks to Mickey for providing assistance.
Trading view official documentation on V4 of pine script also helped me.

2021年9月9日

版本注释

major update
Better Input section

2023年5月6日

版本注释

minor update