Hello fellow traders and Happy Easter!
¿Anybody is trading a Volatility Squeeze strategy? ¿What do you use to filter false signals?
In the following link I shared a primary version of the strategy. A volatility squeeze happens when Bollinger bands get confined inside a Keltner channel. When this happens a breakout is imminent. In this classic strategy a high crossing above the Upper Keltner band, when the BBUpper broke above during the last 3 bars, is a signal to go long.
The idea of this post is to collaborate in finding a filter (or many) to increase the accuracy of the entry signals.
Here is the link:
https://wealth-lab.com/Strategy/DesignPublished?strategyID=58
¿Anybody is trading a Volatility Squeeze strategy? ¿What do you use to filter false signals?
In the following link I shared a primary version of the strategy. A volatility squeeze happens when Bollinger bands get confined inside a Keltner channel. When this happens a breakout is imminent. In this classic strategy a high crossing above the Upper Keltner band, when the BBUpper broke above during the last 3 bars, is a signal to go long.
The idea of this post is to collaborate in finding a filter (or many) to increase the accuracy of the entry signals.
Here is the link:
https://wealth-lab.com/Strategy/DesignPublished?strategyID=58
Rename
Did you publish the strategy? The link you provided doesn't go to the strategy, it just goes to the My Strategy page, which may be because you didn't publish it. The only strategy I see published by you is "AR Champion 2022"
Thanks Paul for letting me know.
I corrected the post so now appears the link to the Volatility Squeeze
I corrected the post so now appears the link to the Volatility Squeeze
I did a CTRL-F5 in my browser to force a page refresh, and the strategy is still not on the Published Strategies page.
Perhaps some website maintenance is currently underway. Regardless of the strategy, when I attempt a backtest of any published strategy (using any dataset), the page just goes "blip" and no results are produced.
I can't see your settings.
Speaking of strategy.
I have been trying to retest same thing.
Problem is...if let's say you take every BB and Keltner crossover, price could be mean reverting for an extended period of time, where you could take one loss after another
on each fakeout.
I would use conditional filter from powerpack addon called "Price compared to entry bar" and set to "Price close is lower than entry bar's low 1 day ago"
in another words, you would stop out if price comes back below the breakout bar. (Usually the one that expands BBands and breaks upper Keltner channel)
Here they backtested the same strategy.
https://www.quantifiedstrategies.com/bollinger-band-squeeze-strategy/
I know there's a famous trader out there John Carter, who trades this strategy, but
1) he buys options, so his enemy is mostly Theta, and he can afford to be under water for some time.
2) he buys in the upper part of the range (before breakout) in anticipation of a squeeze.
With stock position is hard to set the stop-loss, and very often stock will test the lower end of range before/if its squeezing higher.
Speaking of strategy.
I have been trying to retest same thing.
Problem is...if let's say you take every BB and Keltner crossover, price could be mean reverting for an extended period of time, where you could take one loss after another
on each fakeout.
I would use conditional filter from powerpack addon called "Price compared to entry bar" and set to "Price close is lower than entry bar's low 1 day ago"
in another words, you would stop out if price comes back below the breakout bar. (Usually the one that expands BBands and breaks upper Keltner channel)
Here they backtested the same strategy.
https://www.quantifiedstrategies.com/bollinger-band-squeeze-strategy/
I know there's a famous trader out there John Carter, who trades this strategy, but
1) he buys options, so his enemy is mostly Theta, and he can afford to be under water for some time.
2) he buys in the upper part of the range (before breakout) in anticipation of a squeeze.
With stock position is hard to set the stop-loss, and very often stock will test the lower end of range before/if its squeezing higher.
@espodumenus, your strategy isn't published so nobody can access it.
Why is this?
I can see it both in WL8 and in the Strategies page when I logged, but I can't see it in the page when I am not logged.
Your Strategy is PRIVATE, it is not PUBLISHED.
Only you can see it.
Only you can see it.
Now it's published! :D
Ok, going back to the filter ideas:
I added a condition that Keltner Lower should be uptrending (New High of 2 bars) and profitability was increased with a 60% win rate.
There are still many trades so plenty of room for filtering signals. Any ideas?
Now you can test and modify the basic version (I published it).
Ok, going back to the filter ideas:
I added a condition that Keltner Lower should be uptrending (New High of 2 bars) and profitability was increased with a 60% win rate.
There are still many trades so plenty of room for filtering signals. Any ideas?
Now you can test and modify the basic version (I published it).
Updated the link in the first post.
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