Hello to all!
I'm newbie on Quantopian, but find very good and interesting topics right here!
Shortly about myself: I'm 23 yo man from Ukraine, trading US futures market for 3 years by hands and working on automatization my system.
I have some interesting trouble with finding trend points. So why I created this topic.
So, what do I mean:
I have nice enter points, using z-score formula on instrument. It works nice and shows not bad results for finding enter (also exit points). But the problem I want to solve is give enters only by the trend.
The main thing is that I want to teach my system to recognize in what point of current trend we are.
I'm entering Long Position when the z-score goes to -2 and then backs >-2.
Short position when z-score goes higher 2 and backs <2.
I tried to use the next things:
- found trend with some Momemntums on different Timeframes and looking "Trend Power" depends on which value I got (like in this video: https://www.man.com/2/ahl-explains-momentum ) but using Custom timeframe.
- found trend with MA (the worst variant)
- looking trend with ZigZag indicator and finding zones where I need to Buy or Sell
(here is the screenshot of that zone (red - sell, green - buy): https://gyazo.com/064fc404a6a990657167a8fe8194bc47
But in all these variants I always getting some mistake which may resolve the problem and give very resultative trading strategy.
As you can see on the chart from this screenshot this z-score gives very nice intraday entries (and not only intraday):
https://gyazo.com/03d05f6602363538e89fc736f9467540
On this screenshot I pointed the enters I want to strategy works.
And on next I want to filter that enters, but don't have any more ideas how to do it:
https://gyazo.com/bfa1a6cfb1dda0e71b37ff5d8f804822
Daily charts:
Nice Enter Points:
https://gyazo.com/2dd679e257e5d4011b90e355e13115dd
Don't want to allow trades here:
https://gyazo.com/8234ff4dd6914b260e660ca47d15a356
The Main problem as I think:
Find the Trend Point in which we are right now and depends on it - allow or not enters into position.
I want to ask your help, guys! Maybe we can create something very usefull.
p.s.: Also forgot one more method I tried to use:
- using z-score signal from higher Timeframe (60 min or higher) for setting-up the trend - if we have the long signal - so we looking longs only on main Timeframe (f.e. 5 or 15 mins). The same with short trades.
