Volatility ATR - Track Breakthrough Strategy

Strategy name: Volatility ATR Track Breakthrough Strategy

Data Cycle: 15M, 30M, etc.

Support: Commodity Futures, Digital Currency Spot, Digital Currency Futures

  • Main chart:
    medium track, formula: MIDLINE ^^ MA ((H + L + C) / 3, LENGTH1);
    up track, formula: UPBAND ^^ MIDLINE + NATR;
    low track, formula: DOWNBAND ^ ^ MIDLINE - NATR;
  • Secondary chart:
    Volatility, formula: ATR:= MA (TR, LENGTH2);
(*backtest
start: 2018-07-01 00:00:00
end: 2018-09-17 00:00:00
period: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["LENGTH2",30],["LENGTH1",100],["ContractType","rb888",126961]]
*)

TR:=MAX(MAX((H-L),ABS(REF(C,1)-H)),ABS(REF(C,1)-L));
ATR:=MA(TR,LENGTH2);

MIDLINE^^MA((H + L + C)/3,LENGTH1);
UPBAND^^MIDLINE + N*ATR;
DOWNBAND^^MIDLINE - N*ATR;


BKVOL=0 AND C>=UPBAND AND REF(C,1)<REF(UPBAND,1),BPK;
SKVOL=0 AND C<=DOWNBAND AND REF(C,1)>REF(DOWNBAND,1),SPK;

BKVOL>0 AND C<=MIDLINE,SP(BKVOL);
SKVOL>0 AND C>=MIDLINE,BP(SKVOL);
AUTOFILTER;

Backtest on FMZ Quant to know more

Source Codehttps://www.fmz.com/strategy/128252

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