Smoothed Pivot Reversal Strategy [QuantNomad]

10 ביוני 2020

With this strategy trying to rethink the standard pivot reversal strategy.
Don't like the idea that for 10/10 pivot you have to wait for 10points to confirm it. So I used multiple pivot levels and calculated the average line. This way when we have a new high level approaching it smoothly.
This way you can have a bit better price for entries but the risk of fake entries bit bigger as well.
I'm using the usual trailing stop loss as an exit for this strategy.

Parameters for this strategy is pretty simple:

Left/Right bars for pivot points.
Additional smoothing - you can additionally smooth pivot lines with EMA
% for Traling SL

18 ביוני 2020

הערות שחרור

Did some changes to the strategy:

• Left only 1 input for left/right parameter for pivots. So for the fixed "left' bars from input I smooth it with different "right" bars parameters up to input value.
  
• Added different smoothed types, which points have more weights in smoothed pivot.
  
• - Equal. All pivots points have similar weight.
  
• - Closest. Pivots with lower "right" params have more weight.
  
• - Farthest. Pivots with higher "right" params have more weight.
  
• - Increased max value for left/right parameter to 50
  

20 ביוני 2020

הערות שחרור

Added backtesting range and strategy side selection

20 ביוני 2020

הערות שחרור

Minor code cleaning