Pine Script Volatility Stop

Volatility Stop using Average True Range written in PineScript.

Performance of Algorithm:

• Model is fit to work with the BTC/USD trading pair (High performance).
• Moderate performance with large market capitalization pairs (ex. ETH/USD, XRP/USD).
• Poor performance with cryptocurrencies under the top 5 market cap.
• Poor performance in a down-trending cryptocurrency market.
  • Only trade on signals when trending upwards for maximum profitability (trade at your own discretion).
• Has not been thoroughly tested with equities markets.

How to Use:

a. How to run bitcoin_volstop_v1.txt

• Register with or login to TradingView at https://www.tradingview.com in order to run custom scripts.
• Copy ENTIRE bitcoin_volstop_v1.txt file
• Visit https://www.tradingview.com/symbols/BTCUSD/
• Select button "Full-featured chart"
• Select tab "Pine Editor" found on toolbar at the bottom of the screen
• Click within script editor panel (i.e. click on any line of code)
• Press "CTRL" + "A" to select all text in the panel
• Press "CTRL" + "V" to paste bitcoin_volstop_v1 script into editor
• Select "Add to Chart" on the upper right section of the script panel
• Select tab "Strategy Tester" found at same toolbar as the previous "Pine Editor" tab

b. Changing inputs

• On the leftmost toolbar at the very bottom, select the square with two bent lines beneath it ("Object Tree" menu)
• Locate BTC VolStop Signals(...). On the right side of the entry, select the middle button shaped like a gear
• Set beginning of backtest time period using "From" inputs and end of backtest time period using "To" inputs
• Set the average true range multiplier factor with "ATR Multiplier"
• Set the number of bars included in average true range with "ATR Lookback Period"
• Set Risk Reward Ratio with "Risk To Reward Multiplier"
• Set number of standard deviations applied to stops with "Stop Deviations"
• Set number of bars before standard deviation stoploss becomes trailing stoploss with "Bars Before Trailing Stop"

c. Inputs for (overfit?) 3200 % retuns Aug 2013 - Nov 2018

• ATR Multiplier = 4
• ATR Lookback Period = 7
• Risk to Reward Multiplier = 4
• Stop Deviations = 2
• Bars before trailing stops = 20