How to set the Volatility Breakthrough Rage Strategy in Trading View3!

In this post, we would like to reveal the variables of indicators that Quant Pick is using in practice! I don't think there is a right answer for the variable of the indicator. It is highly recommended that you use the backtest results to refer to the risks you can bear and conduct actual operation.

We strongly recommend that you refer to the variables used by Quant Pick and adjust the numbers that are right for you based on this. If you use the same variables as mine, your strategy's capacity will be limited and you may lose as well!

 

1. Click Set Indicator => Enter Variable!

- You must use the indicator or backtest settings button above the chart to edit the variables! The setting button is a gear icon, and please click the desired button to proceed.

 

(1) Volatility Breakthrough Strategy

- In this item, you can set the standard time, k value, and leverage ratio. You can set the base time for calculating the high and low prices of the previous day, which are used to create a breakout line. At the same time, if you change the standard time, you can also adjust the time cut time for selling when the time is right. According to Quant Pick's research, performance seems to be good in the order of 10 > 11 > 9 o'clock!

- The k value is a coefficient that calculates and multiplies the range (high - low) of the previous day. And a new breakout line is created on a daily basis by adding that value to the price at the time you set it as the base time. There is no right answer for the K value, but from what Quant Pick has studied, we recommend that you try to find a variable that suits you by adjusting +/- 0.2 based on 0.6.

- Leverage here means leverage used as a fixed multiple. If you enter '2', you are using 2x leverage on all positions. This will increase your return, but will also increase your loss rate. So, first, set it to '1' and set the volatility control technique in 'Fund Management' to flexibly control weight + leverage.

 

(2) noise

- Less noise = Trendy = Short upper and lower tails.

- The noise is large = Non-predominant = The length of the upper and lower tails is long.

Noise = 1 - abs(open-close)/(high-low)

- If you use this setting, a breakout line is dynamically created according to the noise of the previous day, rather than a breakout line is formed by setting the K value fixedly.

- Avoid the trap of over-optimization without being dependent on a specific K value. However, I prefer a fixed k-value over using a quantitative noise ratio.

 

(3) Money management

- The fund management technique is divided into 'limited variation (%)', 'limited investment proportion (%)' and 'fixed leverage'.

- Limited variation (%) = Refers to a volatility control technique that adjusts today's volatility based on the previous day's volatility. If you use the volatility control technique, you can manage risk by flexibly adjusting the weight.

- Investment weight limit (%) = When you want to be exposed to the desired volatility using the volatility control technique, use leverage if necessary, but set the maximum leverage in %.

- As an example, I have limited the fluctuation range (%) to 10%. By the way, it only moved 3.33% the previous day, so you would have to use 3x leverage to expose yourself to the 10% volatility. The 3x leverage was too burdensome, so we set the maximum to 200%, limiting the maximum leverage.

- Fixed Leverage = If you use the Fixed Leverage button, the position is set to enter or close a position as much as the leverage multiple set in the [Volatility Breakthrough Strategy] section. Quantpic does not recommend using this feature.

*** Click here to learn more about Noise & Money Management Techniques!

 

(4) Backtest

 - In the Backtest section, you can set the backtest period. However, some futures exchanges have just opened, so even if you set a longer period, there is no data, so only limited backtests are possible (Binas Futures). So, if you want to see the Kin time series, Quant Pick utilizes the Bybit Futures Exchange to validate the strategy.

- The indicator is set to be used only as a one-hour stick. I use the trading view premium version to access up to 20,000 candles of data. If you divide 20,000 candles by 24, it is about 833 days, a little over 2 years of data. Therefore, it is a bit disappointing that even if you backtest with the Bybit futures exchange, you can see the data from January 01, 2019.

- To secure this, Quantpick brings daily data from CoinMarketGap, tests the effectiveness of its strategy through data over 10 years, and optimizes it for the market in the short term.

- At the bottom, there are background color, data output, and alert output items for the backtest period. By clicking on the background color of the backtest period, a light green background is set to reduce eye strain. I think it's Kim Cheol-ho's consideration.

- Data output All set items can be monitored very easily by outputting a message to the breakthrough line. Alert output is a function that prints the message set inside the script, and we will guide you in more detail later in How to set up trading view alerts!

 

2. Quantpick reveals the variables actually used in Bitcoin automatic trading!

(1) Standard time is 10 o'clock, k value is 0.61.

- Momentum during the day was the most solid at 10 o'clock.

- The K value is a numerical value optimized based on data for the past 3 years.

(2) No noise ratio is used.

- Using the noise ratio increases the frequency of transactions.

- The higher the transaction frequency, the higher the transaction cost.

- The higher the transaction cost, the higher the return.

- Nevertheless, if the rate of return improves, it can be adopted, but the result is worse than when it was not used, so I do not use it.

(3) Limit fluctuation range is 7%, maximum leverage is 200%

- If you use 2x leverage, you will be forced to liquidate at -50%, and if you use 3x leverage, you will be forced to liquidate at -33%.

- The probability of being forced to liquidate with a huge loss within one day after entering a position by meeting the buying conditions is very low, but I don't think it is impossible at all.

- So, taking this into account, the higher the leverage ratio, the better the return, but set the maximum to 200%.

- There is no correct answer for the limit of variation. As a result of the backtest, it would be good to adjust it based on the MDD that you can handle. I adjusted the % of the volatility control technique based on the highest MDD -25% and 7% was found to be adequate.

 

Backtest results!

 

3. Correct transaction cost for accurate backtest results!!

- And what many people overlook is the transaction cost. If the transaction cost is not set conservatively, the gap between the backtest result and actual practice is very large.

- In practice, slippage often occurs due to insufficient liquidity or trading volume. In particular, the strategy we use is to trade at the market price, so you need to set it up more conservatively.

 

- To set it, edit 'Properties' => 'Commission'.

- By default, 0.075% is entered, which is the market price transaction fee for most futures exchanges. Quantpick recommends Binance Futures Exchange, which has a 0.04% Binance Futures exchange fee.

- Even though 0.04% is cheaper than 0.075%, I enter 0.15% commission. The reason is the slippage mentioned above.

- And 3 ticks of slippage are input at the bottom, but in practice, there may be a difference of 100 ticks. So, this was reflected by taking a large commission

 

Setup complete!

 

Above, we have provided guidance on how to set the Volatility Breakthrough Rage strategy in Trading View! From the next time, I will tell you how to create TVExtbot messages and set Trading View Alerts for automatic trading on the indicators you have set!