ALMA Envelope Reversion
ALMA Envelope Reversion is a strategy that trades USDCAD on 15-minute bars. It holds at most 1 open trade.
pending orders
strategy "ALMA Envelope Reversion"market: USDCADbars: 15mmax_open: 1input envelope_width = 0.4%env = envelope(alma(close, 21), 21, percent: envelope_width)when crosses_below(close, env.lower) and cci(hlc3, 20) < -150:buy limit: env.lower, risk: 0.5%, stop: env.lower - 1.5 * atr(14), target: env.middle, expires: 4 barswhen crosses_above(close, env.upper) and cci(hlc3, 20) > 150:sell limit: env.upper, risk: 0.5%, stop: env.upper + 1.5 * atr(14), target: env.middle, expires: 4 barschannel upper: env.upper, lower: env.lowerSample data. Not a result. The real AlgoBarsX engine ran this exact script on made-up bars, and this replays what it drew and did. It shows no profit or loss, and it says nothing about how the script would do in a real market.
Replay of this script on 150 sample bars: 2 trades.
ALMA Envelope Reversion is a strategy that trades USDCAD on 15-minute bars. It holds at most 1 open trade.
You can change one input: envelope_width (default 0.4%).
It calculates env as the moving average envelope (source the 21-bar ALMA of the close, length 21, percent envelope_width).
When the close crosses below env.lower and the 20-bar CCI of the typical price is below -150, it buys with a limit order at env.lower, risking 0.5% of the balance, with a stop at env.lower minus 1.5 × the 14-bar ATR, with a target at env.middle and expiring after 4 bars.
When the close crosses above env.upper and the 20-bar CCI of the typical price is above 150, it sells with a limit order at env.upper, risking 0.5% of the balance, with a stop at env.upper plus 1.5 × the 14-bar ATR, with a target at env.middle and expiring after 4 bars.
On the chart, it draws a channel.