Expert Advisor Volatility Breakout tfmt5

Buy Volatility Breakout tfmt5 Expert Advisor in the store selling algo trading systems

Using the width between the Bollinger Bands called Band­Width, this sys­tem finds times of low volatil­i­ty also known as a squeeze. It is called a squeeze because as the bands com­press, they tend to expand again into high­er volatil­i­ty and the price can trend along the upper or low­er band. This sys­tem finds low volatil­i­ty and enters a new posi­tion when the price moves to the upper or low­er Bollinger Bands.

The SMA used to cre­ate the Bollinger Bands is used as a trail­ing exit. After the price fol­lows the upper or low­er band, it returns to the mid­dle of the bands to the mov­ing aver­age and the EA exits the posi­tion. This EA uses Per­cent Volatil­i­ty posi­tion siz­ing to be able to treat any sym­bol or tick val­ue the same to keep loss­es small with a fixed risk per­cent­age as the lot size is cal­cu­lat­ed with the stop.

If the price moves in favor of your posi­tion, addi­tion­al lots are added (option­al via input) as the sys­tem pyra­mids. This EA will only close posi­tions that it has opened (only match­es to its mag­ic num­ber). John Bollinger men­tions the squeeze in his book, Bollinger on Bollinger Bands, and on his web­site. There are times when the Band­Width can be low and the price moves to one band but then quick­ly moves to the oth­er band. John calls this a head­fake as it caus­es a whip­saw with the squeeze.

Note: The default input val­ues are not opti­mized. Demo the EA and adjust the inputs to find the opti­mized com­bi­na­tion for your risk tol­er­ance and to max­i­mize prof­itabil­i­ty. Trend Fol­low­ing sys­tems are designed around long term prob­a­bil­i­ties. Although Trend Fol­low­ing sys­tems have low­er win rates, prof­itabil­i­ty comes from large trends as Trend Fol­low­ing cuts loss­es short and lets win­ners run. Test on a port­fo­lio of sym­bols as prof­its from trend­ing sym­bols will off­set the small loss­es and pro­vide prof­its when oth­er sym­bols are not trending.

Entries and Pyramiding:

As the Bollinger Bands squeeze in low volatil­i­ty, this EA enters a new posi­tion when the Band­Width is with­in the BandWidth_Percent thresh­old and the price equals or exceeds the upper or low­er Bollinger Band. Using the BandWidth_Bars input, you spec­i­fy how many bars back to find the low­est Band­Width val­ue. Using the BandWidth_Percent input, you spec­i­fy how close the Band­Width needs to be to the low­est Band­Width to allow a new entry. If you set the Max_Units input above 1, addi­tion­al entries will occur and pyra­mid in ATR incre­ments spec­i­fied by the ATR_between_Pyramids input.

Exits:

Exits are trail­ing with the sim­ple mov­ing aver­age in the mid­dle of the Bollinger Bands. For long posi­tions, the EA exits when the price goes below the mov­ing aver­age. For short posi­tions, the EA exits when the price goes above the mov­ing aver­age. The exit is only active when the Band­Width is out­side of the entry squeeze thresh­old. By hav­ing this addi­tion­al Band­Width cri­te­ria, it pre­vents exit when the price is mov­ing in the close range of the squeeze when only the stop is need­ed if the price moves against the position.

Posi­tion Siz­ing and Stops:

This EA cal­cu­lates the posi­tion siz­ing using the Per­cent Volatil­i­ty method which is direct­ly tied to the stop. The stop uses the ATR_Periods and Stop_Range_ATR inputs to cal­cu­late the ATR and then mul­ti­ply the two val­ues to set the stop dis­tance from the entry price. Stops are not cod­ed into the posi­tion but this EA clos­es out the posi­tion if the price reach­es the stop val­ue. As addi­tion­al units are added through pyra­mid­ing, the stop moves to cor­re­spond to the lat­est entry price. Using the stop val­ue, the Risk_Percent input, and your account infor­ma­tion (tick size, lot size, dig­its, etc.), the posi­tion siz­ing uses the mon­e­tary val­ue of the dis­tance from entry to stop and keeps the num­ber of lots lim­it­ed to the per­cent­age you spec­i­fy. This allows every sym­bol, price, volatil­i­ty to be treat­ed equal­ly. As your account size changes through prof­its or draw­downs, the posi­tion siz­ing will account for the change.

Inputs:

  • MA_Periods: The num­ber of bars used to cal­cu­late the sim­ple mov­ing aver­age in the mid­dle of the Bollinger Bands.
  • Devi­a­tions: The num­ber of stan­dard devi­a­tions used to cal­cu­late the upper and low­er Bollinger Bands.
  • BandWidth_Bars: The num­ber of bars back to find the low­est Band­Width value.
  • BandWidth_Percent: The per­cent­age to add to the low­est Band­Width val­ue. If you want the squeeze thresh­old line to be 20% above the low­est Band­Width val­ue, enter 20 to this input.
  • Risk_Percent: The per­cent risked per posi­tion if the price reach­es the stop. Exam­ple: If you want 2% of your equi­ty to be risked per posi­tion, enter 2 to this input.
  • ATR_Periods: The num­ber of bars to use in the ATR calculation.
  • Stop_Range_ATR: This val­ue will be mul­ti­plied by the ATR to deter­mine where the stop will be from the entry price. Exam­ple: If you want your stop to be set at 2* ATR from the price, enter 2 to this input.
  • Max_Units: The max­i­mum num­ber of entries (includ­ing the ini­tial entry) as the posi­tion gains prof­its and the EA adds pyra­mid positions.
  • ATR_between_Pyramids: This val­ue will be mul­ti­plied by the ATR to use for cal­cu­lat­ing when to add the next posi­tion through pyra­mid­ing. Exam­ple: Set this to 1.5 and the next pyra­mid posi­tion would be added when the price reach­es your entry plus ( 1.5 * ATR ) for long posi­tions or entry minus ( 1.5 * ATR ) for short positions.
  • Slip­page: Amount of allow­able slip­page when enter­ing position.
  • Reduction_Percent: Enter an amount by which to reduce your equi­ty for the posi­tion siz­ing cal­cu­la­tion. Exam­ple: If you are in a draw­down peri­od you can enter 20 to this input and the posi­tion size will be 20% less than with­out the reduc­tion. The posi­tion siz­ing cal­cu­la­tion would treat your equi­ty as 80% of what it real­ly is to low­er your risk until the draw­down is over.

The chart screen­shot shows the Bollinger Bands in pink. Our Band­Width Squeeze indi­ca­tor is also shown in the sec­ondary chart win­dow with the squeeze thresh­old line in yel­low and the Band­Width in green when the EA can open a new posi­tion as the price reach­es the upper or low­er band. The exam­ple trades show a whip­saw, a head­fake where the price moves to the oppo­site band, and the third time has a prof­itable trend.

Dis­claimers: Trad­ing is spec­u­la­tive in nature and not appro­pri­ate for all investors. Investors should only use risk cap­i­tal that they are pre­pared to lose as there always exists the risk of sub­stan­tial loss. Investors should ful­ly exam­ine their own per­son­al finan­cial sit­u­a­tion before trad­ing. Past per­for­mance does not guar­an­tee future results. Hypo­thet­i­cal or sim­u­lat­ed per­for­mance results have cer­tain lim­i­ta­tions. Unlike an actu­al per­for­mance record, sim­u­lat­ed results do not rep­re­sent actu­al trad­ing. Also, since the trades have not been exe­cut­ed, the results may have under-or-over com­pen­sat­ed for the impact, if any, of cer­tain mar­ket fac­tors, such as lack of liq­uid­i­ty. Sim­u­lat­ed trad­ing pro­grams in gen­er­al are also sub­ject to the fact that they are designed with the ben­e­fit of hind­sight. No rep­re­sen­ta­tion is being made that any account will or is like­ly to achieve prof­it or loss­es sim­i­lar to those shown.

Volatility Breakout tfmt5 

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