Strategy Description
Described in the book "Street Smarts: High Probability Short-Term Trading Strategies" by Laurence A. Connors and Linda Bradford Raschke, this strategy is an extension of the
NR4 Contraction Momentum Trading Setup that we covered previously. The biggest difference is that historical volatility is used as a filter on the day. Specifically, the 6 day realized volatility is compared as a ratio to the 100 day realized volatility, and if below a certain threshold, a condition is satisfied. Then the strategy uses NR4 identification to wait for a momentum breakout in either direction.
Strategy Rules and Conditions
Historical volatility ratio of 6period to 100period is less than 0.50 (50%)
Inside Range day and smallest range day out of the last 4 must occur
Breakouts happen above the NR4 day's high or below the low on the following day
The Code
This code loads historical Bitcoin trading data from Binance using CryptoDataDownload, and applies a technical trading strategy. It calculates short-term (6-day) and long-term (100-day) realized volatilities, and forms a ratio to create a volatility indicator. The script identifies the smallest daily price range in the last four days and detects 'inside days' where the price range is within the previous day's range. Combining these factors, it generates buy and sell signals based on volatility and price range conditions. Finally, the processed data, along with the signals, is saved to a CSV file for further analysis. All code (
EVERY LINE) is fully commented! Feel free to modify to fit your purpose
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Notice: Information contained herein is not and should not be construed as an offer, solicitation, or recommendation to buy or sell securities. The information has been obtained from sources we
believe to be reliable; however no guarantee is made or implied with respect to its accuracy, timeliness, or completeness. Author does not own the any crypto currency discussed. The information
and content are subject to change without notice. CryptoDataDownload and its affiliates do not provide investment, tax, legal or accounting advice.
This material has been prepared for informational purposes only and is the opinion of the author, and is not intended to provide, and should not be relied on for, investment, tax, legal,
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THE PERFORMANCE OF TRADING SYSTEMS IS BASED ON THE USE OF COMPUTERIZED SYSTEM LOGIC. IT IS HYPOTHETICAL.
PLEASE NOTE THE FOLLOWING DISCLAIMER.
CFTC RULE 4.41: 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. U.S. GOVERNMENT REQUIRED DISCLAIMER: COMMODITY FUTURES
TRADING COMMISSION. FUTURES AND OPTIONS TRADING HAS LARGE POTENTIAL REWARDS, BUT ALSO LARGE POTENTIAL RISK.
YOU MUST BE AWARE OF THE RISKS AND BE WILLING TO ACCEPT THEM IN ORDER TO INVEST IN THE FUTURES AND OPTIONS MARKETS.
DON’T TRADE WITH MONEY YOU CAN’T AFFORD TO LOSE. THIS IS NEITHER A SOLICITATION NOR AN OFFER TO BUY/SELL FUTURES
OR OPTIONS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES
SIMILAR TO THOSE DISCUSSED ON THIS WEBSITE. THE PAST PERFORMANCE OF ANY TRADING SYSTEM OR METHODOLOGY IS NOT
NECESSARILY INDICATIVE OF FUTURE RESULTS.