QuantNomad

PRP - Pivot Reversal + PSAR Strategy [QuantNomad]

PRP is a combination of Pivot Reversal and PSAR Strategy. With this strategy, I tried to be in a position for big moves in the market.
The strategy uses Pivot Reversal entries with an additional condition that TR of entry bar should be at least X ATRs . This allows to filter out some false signals.
For exits, I recoded the PSAR indicator as trailing stop loss. So I start PSAR Y ATRs below the Pivot level price crossed at entry. After that PSAR behaves as usual.
For stability and easier execution, I check conditions only on the close, no stop/limit orders are used.

Release Notes: Added Backtesting Range and Long/Short strategy side selection.
Release Notes: Added additional type of pivot points 'Pivot of Pivot', I have separate strategy for this type of pivots, you can check it if you're interested.
Also added an input for "Sign. Pivot Points ATR Mult." It allows you to filter out insignificant pivots. where high/low of pivot high/low point bar has less that this atr value to its neighbors.
Release Notes: Strategy is based on Pivot Points Reversal indicator.

In Strategy there are 2 types of Pivot Points Used:

Standard one with optional ATR filter. You can filter out pivot points where difference between PP high/low and neighbours high/low is lower then certain ATR value.
Pivot of Pivots. I use only pivots high/low points surrounded by 2 lower/higher pivot points.
Enrty happen when price closses above/below previous pivot high/low level. PSAR in that strategy works as a trailing stop loss. It starts exactly at the pivot high/low level or some distance from it (can set that in params)

Parameters:

ATR Length - ATR length will be used in strategy.
Type of Pivot Points - Standard or Pivots of Pivots
Pivot Left Bars - How many bars on the left from pivot point should have lower highs/ higher lows.
Pivot Right Bars - How many bars on the left from pivot point should have lower highs/ higher lows.
Sign. Pivot Points ATR Mult - Minimal difference from pivot point high/low and neighbors highs/lows
Entry Bar TR (in ATRs) - Require entry bars TR to be at least this abount of ATRs.
PSAR Start / Increment / Maximum - Standard PSAR Params
TSL Offset (In ATRs) - With what offset PSAR as TSL should start.
Strategy Side - You can select to see only Long/Short Side of Strategy
From/To Da/Month/Year - Backtesting Range for the strategy

Alerts for the strategy:

Release Notes: In addition to PSAR added few more types of TSLs: in percents, ATRs, absolute terms. So now you can choose one of them.
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Kommentarer

What's the reason of having it backtested on 100% of Equity instead of 5% or 10%? thanks!
Svara
QuantNomad EclipseBitcoin
@EclipseBitcoin, well, it depends on how do you usually trade. It's easier for me to understand how the strategy works on 100%. It's easier for me to understand drawdown, profit, performance over buy and hold, etc. You can always reduce sizing and check performance on smaller sizing you're going to use for trading.
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looks pretty good, solid performance. congrats
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backtest whit no fee?
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QuantNomad I.T.Analytics
@I.T.Analytics, yep the one you see here without. You can use fees/slippage corresponding to your exchange.
Svara
maybe trailing is better for this strategy?
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QuantNomad kaleboraciy
@kaleboraciy, Yep, maybe. Will add standard TSL to it at some point.
Svara
Hi, thanks for the script! quite interesting! sorry, but are there any small instructions for setting the parameters?
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QuantNomad Ser_Yevgenii
@Ser_Yevgenii, Hi, I will add some other features to the script by the end of the week, after that will add some details about parameters.
+3 Svara
Ser_Yevgenii QuantNomad
@QuantNomad, thanks!
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