Powerful swing or scalp strategy tuned for minimal drawdown and consistent results!
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- Опубликовано: 29 апр 2023
- This is the latest update on the RSI-Bollinger bandwidth strategy, now adapted to be used as either a swing or scalp on multiple timeframes. The indicators used are:
1. 30 period Bollinger bands
2. Bollinger bandwidth
3. RSI
4. ATR
Bollinger bandwidth greater than 0.3 for daily candles, greater than 0.15 for 30 minute candles.
Remember this is for education purposes only. This is not investment advice and I am not an investment advisor; I do not advocate for or against any particular trading strategy.
Finally!!! Data, facts, and practical insights. No weird click-bait, astonished expression thumbnails. Thanks, from a fellow statistician.
😮
This is a game changer for prop firm accounts. You could make some serious money with high predictive power of two to three bars combined with trade copiers. Well done man. Excellent work.
I have been watching and waiting for this update!! Thanks for all your hard work and diligence on this!
Thank you so much!
Would be great to have a discord chat group or virtual meet up for nerds into this kind of stuff … I kept watching these videos back to back!
Seconding!
3rd
Excellent -data driven stuff … I’m a huge fan !
Nice to see you back, thank for sharing
Love the new name, keep up the hard work brother!
Super helpful! It's so unnerving to blindly try any new strategy not knowing what the odds are for it to work. 'Can't wait to dive into more of your videos!
Hi Serious Backtester .. you have done a great job with step by step explanation and achieving the efficiency of the system.
Just found your channel. This is awesome stuff!! Just what i have been looking for. Thanks
Excellent, excellent channel! Thank you! I have been doing exactly what you are doing, testing out many different strategies over thousands of trades and many different timeframes, so it is really cool to see your approach. One thing I would like to mention: as you test on the lower timeframes (1, 3, 5, and even 15 minutes), the slippage can really start to eat into your profits. I was amazed to see strategies making 100% a year drop to well into the negatives once average slippage for the ticker was accounted for (which will hit you both on the buy and sell sides). I strongly, strongly suggest you add in slippage to your models!
Yes great point; part of the reason I don't even bother testing anything lower than 15 minute. What I've never had a good handle on is what would be a reasonable amount of slippage to build in. Also I've seen slippage go both ways, to result in a little more or less profit than anticipated, but your absolutely right, you have to be more skeptical of the ability to realize profits in lower time frames for sure
Just checked the previous strategy and already a new video!
Good to habe you back. Have been missing u
Great work as always 👍
Nice video, thank you! I’ve been backtesting with python for a while. If you don’t count in commissions then most strategies will be profitable. To prove that I tested a silly strategy, buy each minute the rsi is below 50 and sell each minute the rsi is above 50. Close each position after a minute. This strategy is very very profitable if there were no commissions:). Just as an example the cheapest commissions that I found are 4$ round turn if trading 1 lot.
have u tried that with forex/cypto cause those percentages are way lower
At last somebody whos testing the strats in real life ❤
Out of all youtube channels related to trading backtests yours is undoubtedly the greatest. With that said I presume that you are the only person that can go deep on the LPPLS model which is unfairly undervalued compared to regular (and pretty useless, IMO) indicators. Please, take a look at the log-periodic-power-law-singularity model, as backtesting it myself is far over my coding skills... Thanks
Came across your channel a couple of hours ago and have already watched more than 7 videos back to back. Your content is great. You use different tools and trade different markets than I do but so much of what you show is easily transferrable. I have some quick ideas if you could incorporate in your backtesting framework to see if they bring any benefits. The first is bringing trades to breakeven after they reach a certain price point - either based on ATR, fixed distance or based on market structure. Second is taking partial profits along the way. I tend to take a quarter or half of my trade off the table at the same time as I bring trades to break even. These are no silver bullets but make a huge difference to some strategies but also make some good performing strategies worse. It would be good to see what it does to strategies you have back tested so far.
You do the best analytical work on youtube by far. So basically this strategy, as you rightly pointed, out identifies assets that have been for whatever reason badly beaten down. I would use this strategy on the broad market, and then what we have is some news-driven gap down situation. What I've noticed, and something that I think could be addressed mathematically via divergence analysis, is that before an asset recovers, there is always a final push down before a turnaround occurs. I wonder if your results would improve and if you could improve your risk/reward ATR rules to avoid such dramatic drawdowns, if you could somehow take that into account. Essentially this means in terms of price action waiting for a re-test before entering the trade. It is a more conservative approach and you'd have fewer signals, but my guess is that it might improve the stats.
Great testing. Only thing to add would be realistic profits / losses for average trader who only catches 300 trades vs 1478 trades the computer catches. If on 30 min time frame average gain per trade is ~$8 then for 300 trades profit is around $2400 per year on a $10,000 account which is around 24% gain (this is excluding commissions)
Great strategy 👍
Thank you very much for sharing your backtesting. It's a huge factor in trading. I have not seen anybody sharing their work like this since Bulkowski...Please continue to post . It is so refreshing to find your independent repeatable work among all of the trading blather posted by newbies who have discovered 50 year old indicators and call them their own secret - without any proof that (or when) they work...LoL
Thank you very much for your backtesting. It would be really interesting to backtest after how many bars to sell on the daily timeframe. Thanks in advance!
Thanks very much.
Thank you!
glad to see you back. It would be nice to see different markets tested, such as futures and forex, bound by a specific trading session, NY session being the most commonly traded. It would provide more real world realistic results. since of course, nobody trades 24/7 unless automated. Would also be nice to see realistic scalping timeframes such as 1 min and 5 min.
What does he mean by $5000 trade size? To risk $5000 per trade?
@@vertigo2894 yes, they are risking $5000 per trade.
@@Dx_Ach Okay, do you know what indicator allows to set the take profit and stop loss atr entries? I don't see that with my indicator on trading view. It just says 'ATR BAND SCALE FACTOR'
@@vertigo2894you would need to code it into your strategy or EA
@@vertigo2894 use the "Trailing stop loss multiple of ATR" by bluephantom
Hi-I see a lot of videos showcasing the good ole ORB (30 min), I think this would be a fun study to take on. So, that's my suggestion for new ideas.
Finally, a scientific back tester!
On your next video, can you please go into a bit more detail on how you're screening for the stocks that you're choosing to trade? Thanks!
Hello, it would be super interesting to hear about this strategy on the 5-minute time frame in detail and how it can be improved. Thank you in advance!
Don’t trade 5 min lol
Great food for thought. Thanks for uploading a new one!
I wonder when moderate, (or even very cheap) commissions are factored in on a per trade basis, if profitability remains on the shortest TFs (daily seems adequate enough)? What is other's thoughts on this as well?
Excellent work, unlike anything out there. Is there any update on this wonderful work ?
Looks great! Could you maybe publish the code you used by any chance? I would enjoy backtesting it myself but I am not the best at coding :/
Great work, wondering how it would perform in ranging market vs directional market dataset
Hi @Serious Backtester.. Thank you for your video, im an audience from Singapore, which we dont have access to thinkorswim and its not really popular in here. We use TradingView most of the time, hence I have a few clarification need your help
1. In TradingView Bollinger Bands Width, I can only set the length and StdDev, may I ask is 30 for the length and 15 for the StdDev is correct for 30mins setup? And daily should be 30 length and 30 StdDev? Or it can be 30 length / 30 Std Dev for 30mins time frame as well? I personally like to trade with the 30 minutes time frame, but I see there is relatively lower opportunities to entry if I set the BBW as 30 length / 15 StdDev for 30mins. So wondering if my setup if correct or not.
2. Is there any recommend ATR Bands to use in Trading View? Because most of the ATR indicators in TradingView is not bands form, they are separate line graph indicators like the RSI one.
Appreciated if you can reply to me.
Thank you very much for producing this content. I hope that you continue to produce more. It appears that posing in Community is not enabled, so I am posting here. Maybe you could allow posting there as a way top communicate possible ideas to you? Or maybe form a Discord?
It is really helpful awesome video, awesome content... Thank u ❤
It would be really helpful if u do the set-up on trading view serious backtester (since Bollinger bandwidth for example never passes the 15 points mark, i assumed maybe there is a problem with the configuration, also the ATR bands configuration) and another question when u say 1000$ per trade, do u mean 1000$ lost if i hit the stop loss ? since the gains per trade don't seem too high as the risk (sorry i'm new)
Hey man just gotta say, LOVE WHAT YOUR DOING! and would it be possible to backtest the TTrades silver bullet strategy?
Excellent content!
Just a word of caution with regards to filtering trades. Such filtering may provide some good indications on restrictions to implement but you need to fully retest with the restrictions in place to get reliable results.
E.g., by filtering your trades for shorter holding durations ex-post you just exclude bad trades ignoring that you would need to close them at cutoff and they will likely produce negative returns on average.
This is good point. If u close trades at short periods(2-3bars), it will produce negative returns on average
Hi! Great video. Would be awesome to see this strategy applied to 5 minute trading
Hi, please keep posting videos!!!
You can't leave us like this lol! Please tell us how to read the bollinger bandwidth indicator with stocks other than the select few your 30 minute timeframe settings work on. Perhaps provide a list of stocks that work with those settings my friend. This is very promising and I want to at least know how to read it, thank you!
Hi Serious Backtester
Inspired by your video, I selected some shares from spx 500, and performed backtesting on your strategy for year 2023.
It seems to be performing very well on them. For example, TSLA 5M timeframe, best tp/sl ratio 0.8/1.8 * atr(14). 54 trades, strike rate 81 percent.
Moving on to see if the behaviour is the same in the past few years.
Hi sir, i want to test it out myself but im having trouble coding the condition. Would you mind sharing it with me? I can provide you my email or whatever work the best for you. Let me know, have a good one
Can you explain us in depth your methode of backtesting with the coding part. Would be really appreciated. You are really inspiring, good work sir.
Finally a SERIOUS BACKTESTER😂! A quick question: on how many stocks have you tested it? Thanks
When running your back test, do you filter out stocks with very low volume and penny stocks?
Finally found a backtest channel that actually makes quality analysis of these "90% winning" bs claims.
respect bro
Great job! Really appreciate it! Can you do the backtest for forex where the market is not only for long but also for short trades?
Hi there,
In trading view when i add Bollinger band width with 0.15 it doesnt show the movement at all in the 30 mins
Thank you @Serious Backtester! I successfully implemented your scan coding from the previous videos and am getting updates on my phone. One question, did you also test the “3 bar exit no matter what” strategy on a daily basis? I’m using the 1 year 1 day chart for the buy signal and am wondering if the 3 day rule generally still applies. I’m not trading on the 30 min timescale you tested.
Update on this strategy? Is it profitable?
Just to reconfirm. Does the green candle has to be bigger than the red candle? does it have to be Immediately after the red candle?
Because RSI uses Wilders smoothing.. a 14 period length is actually calculating 27 candles or (2*14 - 1) .
The other math seems to hold up though 👍
Hi, how do you know, that the backtest is not just 1 or 2 trades of 50% of the stocks at the same time?.
For examle if you make strategy that would take advantage of the covid crash pattern, it could seam you do 1000 trades, but it would be just 1 trade on 1000 stocks that has the proper correlation.
I'm trying to put together a decent strategy for a reversals at support or resistance levels. It looks to me that I can trade based on this simplified strategy, let me know if this sounds good to you. Mark out support and resistance levels on 1 hour time frame of the asset I'm trading. Wait for price to test those levels and jump to the 5 minute time frame. Look for a change of character or candlestick pattern or crossover of a moving average to indicate that price is going in the opposite direction before you take the trade for extra confluence. Let me know if there's anything I missed, Also, for EXTRA confirmation, which indicator(s) do you feel would perform the best at confirming the reversal? Thank you for your help and guidance my friend
Thanks for sharing. In your backtest, did you consider maximum of you capital invested at any given time (multiple simultaneous positions)?
If the backtesting engine is the same as the one provided in a more recent post, then no, as it loops through each buy signal per symbol sequentially. Was trying to work out how to do this but I'm going to use an established backtesting tool rather than try and aggregate the buy signal dataframes at the end
Could you provide an update or the script for the Bollinger Bandwidth indicator?
Thanks for the share! interesting strategy.
How would you go about executing the trades? Would you use it on the index? Which stocks would you focus on?
Again great video but can you share the histogram code (selecting n random trades)? Thanks!
Amazing work!, What would be the results in forex market?, EURUSD for example.
Hi, does anyone know what are the setting for the BB Width? It never seems to reach anywhere close to 0.15 on 30-5 minute charts with the default tradingview settings
This is excellent. One question, did you include data outside normal trading hours, like pre-market data?
Great question! This is regular market hours data only, as downloaded from Td Ameritrade or yahoo finance
More more more!
What if odte option are used at the extreme deviation? Can you test that? It would increase risk/reward. Stop would have to tighten though?
Would it be possible in part 4 of your coding tutorial to show how you are calculating the investment profit / year, as well as the other statistics? This would be incredibly helpful for further exploration. Thanks a lot Serious Backtester!
Greetings, thanks a lot for sharing your experience and findings. I tried to code this strategy in Tradingview reviewing all your data inputs, but i'm very far from your results as signals does not trigger very often with your parameters. I suspect im doing something wrong... can you please share the exact indicators parameters please ?
Why is the bullish / bearish engulfing chosen as a condition? Can other double or triple, bullish / bearish candle formations be chosen as an entry condition?
I coded this strategy in MQL4 and backtested it on multiple pairs. The profit was pretty much breakeven
he said it was a stock strategy no ?
@@1008Rayan Yes you're right this is a stock strategy, but I saw some other comments asking if this could be applied to forex and I was curious about it too so I decided to code it myself and test it.
could you do a backtest XAUUSD on the OANDA server using multiple ema 20 on (1-hour tf , 4-hour tf and daily). the entry rule is when the price is emerging up from the bottom of 4H ema and the 1H ema < 4H ema < daily (the short rule is the opposite). the SL is the last low or the 1.6 ATR. The TP is the last high of the 30-minute candle. when the order is on 1R, cut half of the order size. Thank you.
the other thing that I am curious about is, what kind of indicator do you suggest to determine the trend of the market (trending or sideways), it will really help if you can identify and switch the strategy mode.
you mentioned one of the conditions to enter is a red candle below lower band of bollinger bands. in the video you enter positions with no previous red candle dipping below lower band. can you explain?
Can you post the thinkscript for this strategy? So we canback test in think or swim. Thank you!
Hi SB. Would you consider sharing your Jupyter Notebook file so we can reproduce and peer review?
Mr backtester , I’m new to your channel and I like what you’re doing but I have some beef with your testing . On TradingView ( which is what a lot of people use ) the Bollinger band width doesn’t even go above 0.01 when the other conditions are in place. The only criteria that can be changed is the length , source and standard deviation . Is there something that needs to be changed to a different value ? You got me sold here , help me cross the finish line !!!
Absolutely amazing! Thanks for all you backtesting.
I’m so curious about what kind of trader are you? Scalper? Intraday? Swing?
Thanks! I’m equal opportunity investor…some investments I plan to hold for years, some for weeks or months, and what I’ve never made a video on is a separate system I’ve coded to do swing and day trading automated. All this backtesting, I really do it for myself, and making the videos about it is really more of a hobby or diversion
@@seriousbacktesterso… you have an even better scalping strategy that you’re holding out on us with??? 🤬
@@Sffker ha ha no these are the best backtests i've found so far... you're getting it in near real time with me as I'm excited to share it, i just haven't done any videos on the code i've written to execute trades and such
@@gavmarrio thanks! it's pretty technically straightforward to implement trades if your broker has an API do do that... td ameritrade does... the billion dollar question is whether these strategies will actually perform well in the future just because they tested well in the past... there is absolutely no guarantee, maybe they won't make one cent in the future, who knows, which is why i want to just present the data and not really encourage people to trade one way or another, because nobody really knows unfortunately
whats the difference between invested profit/year and gain on account/year ?
Incredible video i love ur work... Guys can u help me configurate the ATR bands on trading view ?!
Also the Bollinger Bandwidth
I’m so intrested in what you are doing,have a suggestion!y don’t u focus on just one asset and one timeframe,according to my experince all the strategies work on some asset’s chart much much better than the others.ex:apple or euro/usd or usd/jpy chart are much easier to find a pattern.
Where do I put the Wiidth Threshold on the TV indicator?
So if you risk 500 $ per trade, then the drawdown will be halved too? What if you want to compound winnings? How will this affect the drawdown % ?
Thank you this is amazing, do you code in pinescript, could this be made an indicator?
I've never coded in pinescript... i did make a thinkorswim indicator as you can see in the video that put an arrow at entry signals; i'm hoping maybe a viewer here that knows pinescript may run with this request!
Could you teach me how to set all this up so I could receive actionable alerts and maybe execute these trades on my life savings?
Can you provide more testing and selection for day traders?
Another question please: so your profit loss ration is 1:0.66 ?
Can you test the strategies from trader's landing and Jesse Livermore's one day reversal?
Do you take slippage into account?
hello, your backtesting system seems very efficient. the videos are very helpful. it would be good to see you revisit your past strategies, like the macd + stoch + rsi strategy.
I am having trouble with the Bollingerband Width. The threshold is ranging form 0.01 to 0.02 on the right and no further for the 30 minute candles. You said we need 0.15. What's going on? The values on the threshold don't allign.
@@vertigo2894 Same thing
@@gavmarrio The threshold for the BBW never crosses with any stock other than the one he selected and he hasn't provided settings for any other stock or indices. I think it only works on the stock he selected.
What would the final figures look like using 1% vs a fixed 1000 as the percentage would start building upon itself?
Great question! Theoretically it would be advantageous. I don’t run the simulation that way because it complicates my later random sampling to have trades of all different investment amounts, which would weight chronologically later trades heavier than earlier trades, but I think it makes sense for a real world practice
Hey bud, would it be possible for you to come up with a profitable 5 min scalping strategy on the SPY ETF? I'd really appreciate it 😊😊
Thank you. Just to verify: I assume that the results of Timeout trades are still expressed within annualized return? And please post content More frequently :) I have a bunch of quant/algo Channels booked on RUclips, but (coding and testing strategies myself) i have to say: yours are really the best in terms of thoughtfulness and robustness! Looking forward to watching and learning more soon! Best, Paul
Thanks! And yes absolutely, the gain or loss from every trade including the timeouts are included
can you please list all these channels that do quant/algo contentl?
i just started this journey and would very much like someone help and saves me months/years of time
Thank you very much!
@@MisterPDR Awesome suggestions man, really liked it. Of course I wanna know more, preferably all of that you know :D
@@donyxd3365 that‘s all i got. let me know if you come across some further good sources!
Can you pls tell me where will I get Bollinger band width in trading view
do backtest on option strategies for highest income
I would love if you can test Commodities instead of stocks....especially ag commodies! Wheat, soybeans, Gold, oil,
Do u have the code on ur patreon i don't mind giving money for it
Hi, do you have a way for me to send my back testing data to you? it is for my own strategy i use for trading XAUUSD on the 5 min TF....the strategy is my own which i refer to it as NBTS.....None Bias Trading Strategy.... it trades a negative RR with a very high win rate... i believe your skills can vastly improve on it.. I look forward to hearing from you. Chad. UK.
Hi - so you are filtering out stocks below $3/share, as well as filtering out stocks with less than 300,000 shares traded on average over the last 10 bars ? Thanks
Would you mind sharing your code for your condition, id like to backtest it myself but im having issues coding it. Thank you
Would you please do a backtest on EMA 5/8/13 Thank you 🏆🇺🇸
Hi, do you provide the code somewhere? Apologies if I missed it.
Hi, your videos are very interesting, and also you are really exhaustive on your methods. What I'm missing from your videos is some backtesting on crypto market. I have found myself that many strategies which work well on stocks, fail on crypto markets, and it would be great to know your opinion and some testing on this area.
Hello, did you find any strategy for crypto?
You should backtest on forex as well