[Upd, Oct 25] Volty Channel Stop Strategy

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[Upd, Oct 25] Volty Channel Stop Strategy

Postby Nikolay.Gekht » Fri Sep 17, 2010 10:50 am

This post contains latest version of strategy within all recent updates (Oct 04, Oct 12, Oct 14).
Please, see history of changes below.


The strategy is based on the Volty Channel Stop indicator:
viewtopic.php?f=17&t=893

The strategy sells when indicator switches up and buys when indicator switches down. The position is closed when indicator switches or when prices breaks the indicator line (i.e. indicator-based stop).

The strategy shows good result on long trends and usually loss when the indicator switches in range smaller than 3-7 bars.

The strategy works on completely closed candle, so the trade is opened or closed on the first tick of the candle, next to the bar at which signal to sell, buy or close appeared.

volychannel.png


Download strategy:
VoltiChannel_Stop_Strategy.lua
(19.3 KiB) Downloaded 2023 times


Please also download and install Volty Channel Stop indicator indicator. The strategy will not work without it.


Note. By default, the trading is disabled. Please set "Allow Strategy to Trade" parameter to "Yes". Please do not use the strategy on live accounts unless you carefully checked and implicitly decided that the strategy meets your trading goals. Please do not forget that you are solely and fully responsible for all the trades made by the strategy exactly like for the trades executed manually.

Changes history:
Oct 14, 2010
1) Incorrect index fix.

Oct 12, 2010
1) New option "Exit from position on non-confirmed signals" in the "Trading" section.
2) New section "Method and Schedule" in parameters.

Oct 04, 2010
1) Recurrent sound parameter for the signal is added
2) The moving average can be used to confirm the signal (see "Confirmation Parameters" section). By default the option is switched off.
3) The strategy does not enter twice in the same direction even in case the position exists at the moment of strategy start or when opposite signal appeared but was not confirmed.
4) The checking of the parameters is improved.
5) The strategy is written for (and, therefore requires) Autotrading patch installed.

Sep 22, 2010.
1) Fix the problem with double sell buy due to incorrect interpretation of the indicator.
2) Non-US clients now can specify limit and stop orders.


Please, do not hesitate to discuss any improvements this strategy right here.

The Strategy was revised and updated on January 19, 2019.
Nikolay.Gekht
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Re: Volty Channel Stop Strategy

Postby sho-me-pips » Fri Sep 17, 2010 12:14 pm

GREAT strategy!!

One improvement I would like.

"Check the trend before entering a trade. Check MVA current vs 10-20 bars back, of MVA of your choosing, to determine the direction of the trend and only trade in that direction."

I think I personally would use the 200EMA on any time frame. Others may want to use something different.

Nikolay you do us a great service here, thank you!
"A hundred pips a day keeps the collector away"
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Re: Volty Channel Stop Strategy

Postby Nikolay.Gekht » Fri Sep 17, 2010 2:13 pm

I'll do it the next week. Thank you for the idea!
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Re: Volty Channel Stop Strategy

Postby sho-me-pips » Mon Sep 20, 2010 12:03 pm

Nikolay,

I am getting double entries with this strategy. 2 buys or 2 sells.
"A hundred pips a day keeps the collector away"
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Re: Volty Channel Stop Strategy

Postby Nikolay.Gekht » Mon Sep 20, 2010 1:18 pm

Could you please give me a bit more details?

What kind of account do you use? U.S. (FIFO), non US (hedging), non US (non-hedging)? What currency did you use? On what timeframe? Does it happen in backtesting or on demo account?

... oups ... I guess it's backtesting! In the production release (both 082610 and 091010) there is a small problem with backtesting. It does not simulate properly netting close orders which are used in this strategy, so, it just does not close simulated positions. To see the simulation properly in the current release please replace the simulator file in TS with the file attached to this post.

To replace please do the following steps:
a) Close TS.
b) Go to the C:\Program Files\Candleworks\FXTS2\
c) Find signaltester.dll file and rename it (just to keep an original copy)
d) Save signaltester.dll file attached to this post to C:\Program Files\Candleworks\FXTS2\ folder.
e) Start TS back.

[Oct, 04, NG] This problem is completely solved by Autotrading patch, so, please, use it instead these steps.

I apologize for this inconvenience. Unfortunately we found a few such small nuances after the release. All these things will be fixed in upcoming "fast-login" release (I expect it in a few weeks).
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Re: Volty Channel Stop Strategy

Postby sho-me-pips » Tue Sep 21, 2010 8:21 pm

non US (hedging), DEMO, EUR/USD, One minute
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Re: Volty Channel Stop Strategy

Postby Nikolay.Gekht » Wed Sep 22, 2010 12:32 pm

Gotcha problem with double enter. Repeats when strategy is applied on the market and don't in backtesting. I also added stops and limits but look still for a good idea for filtering.
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Re: [Upd, Sep 22] Volty Channel Stop Strategy

Postby Nikolay.Gekht » Wed Sep 22, 2010 4:26 pm

Yep, found. The volti channel indicator can have both up and down channel sometimes. Fixed data interpretation, so double positions must not appear anymore. Thank you for reporting the problem.

Plus added stops and limits. On the back-test below I put very close stop, so you can see an arrows between the signals - it's stop order filling.
VoltiChannel_Stop_Strategy_4UK.png


For backtesting of the stop orders I recommend to choose smaller time frame, for example 1 minute for 15-minutes backtesting. Then apply bigger time frame version of volti stop indicator and choose the time frame you plan to backtest on, for example 15 minutes. After, when backtesting is applied set "Set the period of the ..." (second parameter) of backtester to no and choose 15 minutes in the strategy parameters. That's all. 1 minute is used to simulate ticks (so we have 45 ticks per 15 minutes candle), but indicator and strategy works in 15 minute time frame.
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Re: [Upd, Sep 22] Volty Channel Stop Strategy

Postby boursicoton » Thu Sep 23, 2010 4:25 pm

bug ?

between two lines , short is positive but on the test...line isn't move !
long is good, short isn't write on backtest.
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Re: [Upd, Sep 22] Volty Channel Stop Strategy

Postby Nikolay.Gekht » Thu Sep 23, 2010 10:49 pm

Have you updated signaltester.dll I attached to this post above viewtopic.php?f=31&t=2208#p4651? There is a bug in prod. version, the netting close order is not simulated properly.
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