This strategy specifically trades the weekend price swings by determining long/short direction based on pre-set percentage bands. It is a typical range trading system.
Strategy Logic:
Set percentage bands based on previous Friday close, e.g. 4.5% up/down.
Enter short if price exceeds upside band, enter long if below downside band.
Add positions when reaching new bands in existing direction.
Take profit when accumulated gains reach threshold, such as 10%.
Allow maximum two simultaneous positions, one in each direction. Close all before Monday open.
Advantages:
Fixed percentage bands allow mechanical trading.
Multi-tier entries achieve better cost basis.
Periodicity is stable, unaffected by fundamentals.
Risks:
Unable to limit single trade loss size, risks large losing trades.
Fixed parameters fail to adapt changing volatility across periods.
Periodicity may change over time, invalidating the model.
In summary, this strategy frequently trades the weekend cycle but faces challenges locking in profits consistently. Exercise caution on parameter failure and outsized losses when applying.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-12 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
//Copyright Boris Kozak
// strategy("XBT Weekend Trade Strategy", overlay=true, default_qty_type=strategy.percent_of_equity,)
strategy.initial_capital=50000
leverage = input(10,"Leverage")
profitTakingPercentThreshold = input(0.10,"Profit Taking Percent Threshold")
//****Code used for setting up backtesting.****///
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(12, "Backtest Start Month")
testStartDay = input(10, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2025, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(30, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
// A switch to control background coloring of the test period
testPeriodBackground = input(title="Color Background?", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FFFF : na
bgcolor(testPeriodBackgroundColor, transp=50)
testPeriod() => true
//****END Code used for setting up backtesting.****///
//*** Main entry point is here***//
// Figure out how many days since the Friday close
days_since_friday = if dayofweek == 6
0
else
if dayofweek == 7
1
else
if dayofweek == 1
2
else
if dayofweek == 2
3
else
if dayofweek == 3
4
else
if dayofweek == 4
5
else
6
// Grab the Friday close price
fridaycloseprice = security(syminfo.ticker,'D',close[days_since_friday])
plot(fridaycloseprice)
// Only perform backtesting during the window specified
if testPeriod()
// If we've reached out profit threshold, exit all positions
if ((strategy.openprofit/strategy.initial_capital) > profitTakingPercentThreshold)
strategy.close_all()
// Only execute this trade on saturday and sunday (UTC)
if (dayofweek == 7.0 or dayofweek == 1.0)
// Begin - Empty position (no active trades)
if (strategy.position_size == 0)
// If current close price > threshold, go short
if ((close>fridaycloseprice*1.045))
strategy.entry("Short Entry", strategy.short, leverage)
else
// If current close price < threshold, go long
if (close<(fridaycloseprice*0.955))
strategy.entry("Long Entry",strategy.long, leverage)
// Begin - we already have a position
if (abs(strategy.position_size) > 0)
// We are short
if (strategy.position_size < 0)
if ((close>strategy.position_avg_price*1.045))
// Add to the position
strategy.entry("Adding to Short Entry", strategy.short, leverage)
else
if ((close<strategy.position_avg_price*0.955))
strategy.entry("Adding to Long Entry",strategy.long,leverage)
// On Monday, if we have any open positions, close them
if (dayofweek==2.0)
strategy.close_all()