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The strategy implemented in the provided code is called "CombinedBinHAndClucV4." It utilizes two sub-strategies, namely "BinHV45" and "ClucMay72018," to generate buy and sell signals for trading. Here's a brief description of how the strategy works:
Bollinger Bands Calculation:
Bollinger Bands are calculated using the "bollinger_bands" function, which takes the stock price, window size, and number of standard deviations as inputs. The rolling mean and standard deviation are computed based on the stock price.
The lower band is determined by subtracting the product of the rolling standard deviation and the number of standard deviations from the rolling mean.
Indicator Population: The strategy populates various indicators on the input dataframe for further analysis.
For the "BinHV45" sub-strategy: The middle and lower bands of Bollinger Bands are calculated based on the closing price, and their deltas from the middle band are computed. The absolute difference between consecutive closing prices is calculated. The absolute difference between the closing price and the lowest price of the candle is determined. For the "ClucMay72018" sub-strategy: Bollinger Bands are computed based on the typical price, using a window size of 20 and 2 standard deviations. The lower, middle, and upper bands of Bollinger Bands are extracted. The exponential moving average (EMA) with a time period of 50 is computed. The rolling mean of volume with a window size of 30 is calculated. Buy Signal Generation: For the "BinHV45" sub-strategy: Several conditions need to be met for a buy signal to be generated. The previous lower band should be greater than 0. The delta between the middle band and the lower band should exceed 0.8% of the closing price. The absolute difference between consecutive closing prices should be greater than 1.75% of the closing price. The absolute difference between the closing price and the lowest price of the candle should be less than 25% of the delta between the middle band and the lower band. The closing price should be less than the previous lower band and less than or equal to the previous closing price. The volume should be greater than 0. For the "ClucMay72018" sub-strategy: Additional conditions are checked for a buy signal. The closing price should be below the EMA. The closing price should be below 98.5% of the lower Bollinger Band. The volume should be less than 20 times the previous rolling mean of volume and greater than 0. Sell Signal Generation: A sell signal is triggered when the closing price exceeds the upper Bollinger Band in multiple consecutive candles. The previous closing price and high prices are checked against the corresponding upper Bollinger Bands. The volume should be greater than 0. Additional Strategy Settings: The strategy defines a minimal return-on-investment (ROI) of 1.9% before triggering a sell signal. A stop-loss of -99% is set, effectively disabling it. The strategy operates on 5-minute timeframe data. Trailing stop-loss is enabled with a positive offset of 1% and a positive offset for trailing stops of 2.5%. A custom stop-loss function is implemented to manage losing trades and open room for better opportunities. The strategy requires a startup candle count of 50
The lower band is determined by subtracting the product of the rolling standard deviation and the number of standard deviations from the rolling mean.
Indicator Population: The strategy populates various indicators on the input dataframe for further analysis.
For the "BinHV45" sub-strategy: The middle and lower bands of Bollinger Bands are calculated based on the closing price, and their deltas from the middle band are computed. The absolute difference between consecutive closing prices is calculated. The absolute difference between the closing price and the lowest price of the candle is determined. For the "ClucMay72018" sub-strategy: Bollinger Bands are computed based on the typical price, using a window size of 20 and 2 standard deviations. The lower, middle, and upper bands of Bollinger Bands are extracted. The exponential moving average (EMA) with a time period of 50 is computed. The rolling mean of volume with a window size of 30 is calculated. Buy Signal Generation: For the "BinHV45" sub-strategy: Several conditions need to be met for a buy signal to be generated. The previous lower band should be greater than 0. The delta between the middle band and the lower band should exceed 0.8% of the closing price. The absolute difference between consecutive closing prices should be greater than 1.75% of the closing price. The absolute difference between the closing price and the lowest price of the candle should be less than 25% of the delta between the middle band and the lower band. The closing price should be less than the previous lower band and less than or equal to the previous closing price. The volume should be greater than 0. For the "ClucMay72018" sub-strategy: Additional conditions are checked for a buy signal. The closing price should be below the EMA. The closing price should be below 98.5% of the lower Bollinger Band. The volume should be less than 20 times the previous rolling mean of volume and greater than 0. Sell Signal Generation: A sell signal is triggered when the closing price exceeds the upper Bollinger Band in multiple consecutive candles. The previous closing price and high prices are checked against the corresponding upper Bollinger Bands. The volume should be greater than 0. Additional Strategy Settings: The strategy defines a minimal return-on-investment (ROI) of 1.9% before triggering a sell signal. A stop-loss of -99% is set, effectively disabling it. The strategy operates on 5-minute timeframe data. Trailing stop-loss is enabled with a positive offset of 1% and a positive offset for trailing stops of 2.5%. A custom stop-loss function is implemented to manage losing trades and open room for better opportunities. The strategy requires a startup candle count of 50
stoploss: -0.99 timeframe: 5m hash(sha256): 5b63903cd9dcc6419d511da922aefd58ee23ad6e44995e271b3562646b0ecf93
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last change: 2022-07-11 03:25:05