This strategy is the best of the legendary trader Larry Williams. The strategy is described in the book longer term secret for short term trading. Volatility Breakthrough Trading allows you to backtest and perform real system trading with just a few lines of code, and the performance is also very good. This strategy tends to work well in volatile and less efficient markets (eg, the KOSDAQ and cryptocurrency markets, where individuals are heavily weighted).

 

Understanding the Principles of Strategy

 

Volatility can be understood as the movement or range of price movements. Volatility has two characteristics. These are volatility cycles and volatility clustering cycles.

 

Large group of volatility

 

If Bitcoin surged yesterday, it also means that it is highly likely to ride the trend today and rise further. Short-term trading can be costly due to fees and slippage, no matter how good a strategy is. So, you can offset these costs by trading in a period with high volatility, such as short-term surges or plummets.

 

Volatility Cycle

 

While the low volatility section continues, there comes a time when the volatility rises again. Conversely, the logic is that if the period in which volatility increases, it will return to the period in which it becomes smaller at some point.

 

If the logic of volatility clustering and circulation is used in trading, you can enter a position at that moment, take profit, and rob, while not trading in a low volatility state. A strategy that captures that moment is a volatility breakout trading strategy.

 

Actual system trading code I use

 

Strategy: Volatility Breakthrough Strategy

Exchange: Binance

Asset class: Bitcoin (Bitcoin)

Period: 2017.08~2020.07

Buy: ((All High - Previous Low ) * K) + Buy when the current market price is exceeded

Sell: Sell all at the market price the next day.

 

***K values are multiplied by 0.5 to 1.0. The implication of the K value is to add 0.5 to 1 times the previous day's volatility to the market price and buy when it breaks through, otherwise don't buy. This strategy creates a strong trend in the short term, but takes a time-cut at the opening price before falling again due to the effect of the mean regression falling back over time and then wiping out. Simply put, it is a strategy to buy high and sell more expensive.

 

Real trading log: https://coinpick.com/daily_quant

 

Notice

 

1. The win rate is about 50-55%. This means that 1 out of 2 times you will lose.

 

2. In the long term, there is a sector where there is a downward trend, but a loss section for 3-6 months. You have to stick with it and do it in principle. There are few people who know concrete logic and logic, but even if they do, it is difficult to maintain them unless they overcome them psychologically.

 

3. It is unreasonable to use this strategy for cryptocurrency directly by hand trading. It is not always possible to monitor the 24-hour market.

 

If you want to study in more detail, please refer to systrader79's article.

 

systrader79: Volatility Breakthrough Trading Guidelines

 

Do not trust your will or determination.

 

Investing begins with humility to the market.

 

Real trading trading log: https://coinpick.com/daily_quant

 

2. Volatility Breakthrough Time Distribution

 

The time dispersion strategy to break through volatility is different from the existing basic strategy.

 

This is an upgraded indicator so that the base time can be set flexibly.

 

There are two methods that can be used through this indicator.

 

1. A method of distributing strategies by time period to lower transaction costs and increase strategy capacity

 

2. There is a thing that selects and operates the time that works best.

 

https://coinpick.com/quant_program/13842

 

Working in progress~~

 

3. Volatility Breakthrough Fury

 

The Volatility Breakthrough Fury strategy means time frame variance + noise ratio + money management.

 

After mounting the timeframe variance in the volatility breakout basic strategy

 

By using the noise ratio, the k value can be dynamically adjusted automatically.

 

What is Noise Ratio?

 

There is a volatility control technique for money management techniques.

 

What is a Volatility Control Technique?

 

Here, leverage is used to maximize returns.

 

https://coinpick.com/quant_program/39857

 

Working in progress~~