Session Breakout Scalper Trading Bot

21 déc. 2023

Hi Traders !

Introduction:

I have recently been exploring the world of automated algorithmic trading (as I prefer more objective trading strategies over subjective technical analysis (TA)) and would like to share one of my automation compatible (PineConnecter compatible) scripts “Session Breakout Scalper”.

The strategy is really simple and is based on time conditional breakouts although has more ”relatively” advanced optional features such as the regime indicators (Regime Filters) that attempt to filter out noise by adding more confluence states and the ATR multiple SL that takes into account volatility to mitigate the down side risk of the trade.

What is Algorthmic Trading:

Firstly what is algorithmic trading? Algorithmic trading also known as algo-trading, is a method of using computer programs (in this case pine script) to execute trades based on predetermined rules and instructions (this trading strategy). It's like having a robot trader who follows a strict set of commands to buy and sell assets automatically, without any human intervention.

Important Note:

For Algorithmic trading the strategy will require you having an essential TV subscription at the minimum (so that you can set alerts) plus a PineConnecter subscription (scroll down to the .”How does the strategy send signals” headings to read more)

The Strategy Explained:

1. Is the Time input true ? (this can be changed by toggling times under the “TRADE MEDIAN TIMES” group for user inputs).
   
2. Given the above is true the strategy waits x bars after the session and then calculates the highest high (HH) to lowest low (LL) range. For this box to form, the user defined amount of bars must print after the session. The box is symmetrical meaning the HH and LL are calculated over a lookback that is equal to the sum of user defined bars before and after the session (+ 1).
   
3. The Strategy then simultaneously defines the HH as the buy level (green line) and the LL as the sell level (red line). note the strategy will set stop orders at these levels respectively.
   
4. Enter a buy if price action crosses above the HH, and then cancel the sell order type (The opposite is true for a stop order).
   
5. If the momentum based regime filters are true the strategy will check for the regime / regimes to be true, if the regime if false the strategy will exit the current trade, as the regime filter has predicted a slowing / reversal of momentum.
   

The image below shows the strategy executing these trading rules ( Regime filters, "Trades on chart", "Signal & Label" and "Quantity" have been omitted. "Strategy label plots" has been switched to true)



Other Strategy Rules:

1. If a new session (time session which is user defined) is true (blue vertical line) and the strategy is currently still in a trade it will exit that trade immediately.
   
2. It is possible to also set a range of percentage gain per day that the strategy will try to acquire, if at any point the strategy’s profit is within the percentage range then the position / trade will be exited immediately (This can be changed in the “PERCENT DAY GAIN” group for user inputs)
   

Stops and Targets:

The strategy has either static (fixed) or variable SL options. TP however is only static. The “STRAT TP & TP” group of user inputs is responsible for the SL and TP values (quoted in pips). Note once the ATR stop is set to true the SL values in the above group no longer have any affect on the SL as expected.

What are the Regime Filters:

The Larry Williams Large Trade Index (LWLTI): The Larry Williams Large Trade Index (LWTI) is a momentum-based technical indicator developed by iconic trader Larry Williams. It identifies potential entries and exits for trades by gauging market sentiment, particularly the buying and selling pressure from large market players. Here's a breakdown of the LWTI:

LWLTI components and their interpretation:
Oscillator: It oscillates between 0 and 100, with 50 acting as the neutral line.
Sentiment Meter: Values above 75 suggest a bearish market dominated by large selling, while readings below 25 indicate a bullish market with strong buying from large players.
Trend Confirmation: Crossing above 75 during an uptrend and below 25 during a downtrend confirms the trend's continuation.

The Andean Oscillator (AO) : The Andean Oscillator is a trend and momentum based indicator designed to measure the degree of variations within individual uptrends and downtrends in the prices.

Regime Filter States:

In trading, a regime filter is a tool used to identify the current state or "regime" of the market.

These Regime filters are integrated within the trading strategy to attempt to lower risk (equity volatility and/or draw down). The regime filters have different states for each market order type (buy and sell). When the regime filters are set to true, if these regime states fail to be true the trade is exited immediately.

For Buy Trades:

1. LWLTI positive momentum state: Quotient of the lagged trailing difference and the ATR > 50
   
2. AO positive momentum state: Bull line > Bear line (signal line is omitted)
   

For Sell Trades:

1. LWLTI negative momentum stat: Quotient of the lagged trailing difference and the ATR < 50
   
2. AO negative momentum state: Bull line < Bear line (signal line is omitted)
   

How does the Strategy Send Signals:

The strategy triggers a TV alert (you will neet to set a alert first), TV then sends a HTTP request to the automation software (PineConnecter) which receives the request and then communicates to an MT4/5 EA to automate the trading strategy.

For the strategy to send signals you must have the following

1. At least a TV essential subscription
   
2. This Script added to your chart
   
3. A PineConnecter account, which is paid and not free. This will provide you with the expert advisor that executes trades based on these strategies signals.
   

For more detailed information on the automation process I would recommend you read the PineConnecter documentation and FAQ page.

Dashboard:

This Dashboard (top right by defualt) lists some simple trading statistics and also shows when a trade is live.

Important Notice:

- USE THIS STRATEGY AT YOUR OWN RISK AND ALWAYS DO YOUR OWN RESEARCH & MANUAL BACKTESTING !
- THE STRATEGY WILL NOT EXHIBIT THE BACKTEST PERFORMANCE SEEN BELOW IN ALL MARKETS !