The golden trade hour strategy automatically determines the best hours to buy and sell each day by backtesting historical data. It utilizes the ROC indicator to calculate the rise and fall percentage of candlesticks in different hours and thereby evaluate the trading performance to find the optimal buy and sell hours.
Use the current time to get the current hour now_hour.
Use the ROC indicator to calculate the hourly rise and fall percentage of candlesticks indicator.
Calculate the cumulative product of indicator and now_hour as buy_hourXindicator_cum.
Calculate the cumulative sum of indicator as buy_indicator_cum.
The best buy hour buy_hour = buy_hourXindicator_cum / buy_indicator_cum.
Similarly calculate the best sell hour sell_hour.
Compare now_hour with buy_hour and sell_hour to determine if the current hour is the optimal buy or sell hour.
Send corresponding signals during the optimal buy and sell hours.
Use different background colors to display the optimal buy and sell hours in real time.
The biggest advantage of this strategy is the ability to automatically determine the best trading hours of the day. It saves a lot of time and effort from manually observing historical data to judge the optimal trading hours. Also, the strategy can adjust the optimal trading hours in real time based on live data to respond quickly to market changes. This strategy has more advantages compared to fixed trading hours.
In addition, the strategy makes good use of the ROC indicator. By calculating the hourly rise and fall percentage of candlesticks, it can more accurately judge the trading performance of different periods. The ROC indicator is sensitive to asymmetric fluctuations and can reflect market changes.
The biggest risk of this strategy lies in the limitations of the ROC indicator itself. ROC only considers price changes and is insensitive to changes in trading volume. Also, ROC does not perform well in range-bound markets with narrow bands. If encountering sideways range-bound markets, the effectiveness of the ROC indicator will be discounted.
In addition, the strategy uses backtesting of historical data to determine the optimal trading hours. But historical patterns may not apply to the current market. Structural changes may occur in the market, and original trading rules may no longer apply. This requires adjusting parameters based on current market conditions rather than purely relying on backtesting results.
To address this, we can consider combining other indicators such as trading volume to obtain a more comprehensive judgment of market conditions. Also we need to test parameter adjustments based on current market conditions to ensure trading signals align with new market states.
The strategy can be optimized in the following aspects:
Try other indicators to replace the ROC indicator, such as trading volume, to find more suitable indicators for calculating hourly strength and weakness.
Add other filtering conditions using moving averages, oscillators etc to judge local trends and avoid unreasonable trading.
Optimize the time period parameters and test the impact of different time periods on results.
Add stop loss mechanisms and set reasonable stop loss points to control trading risks.
Combine machine learning methods and larger data sets to solve the optimal trading hours.
In summary, the golden trade hour strategy is a feasible and effective approach. It uses the ROC indicator to automatically determine the optimal intraday buy and sell hours, saving much time and effort. But we should also note the limitations of the ROC indicator and historical backtesting, and adjust parameters based on current market conditions. Furthermore, there is still much room for improvement by optimizing this strategy in many aspects to generate more accurate and reliable signals. If used for live trading, it is recommended to strictly follow stop loss rules to control trading risks.
/*backtest
start: 2023-08-19 00:00:00
end: 2023-09-18 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © mablue (Masoud Azizi)
//@version=5
strategy("Trade Hour V3",overlay=false)
timezone = input.string("Europe/London",options=["America/New_York","America/Los_Angeles","America/Chicago","America/Phoenix","America/Toronto","America/Vancouver","America/Argentina" ,"America/El_Salvador","America/Sao_Paulo","America/Bogota","Europe/Moscow","Europe/Athens","Europe/Berlin","Europe/London","Europe/Madrid","Europe/Paris","Europe/Warsaw","Australia/Sydney","Australia/Brisbane","Australia/Adelaide","Australia/ACT","Asia/Almaty","Asia/Ashkhabad","Asia/Tokyo","Asia/Taipei","Asia/Singapore","Asia/Shanghai","Asia/Seoul","Asia/Tehran","Asia/Dubai","Asia/Kolkata","Asia/Hong_Kong","Asia/Bangkok","Pacific/Auckland","Pacific/Chatham","Pacific/Fakaofo","Pacific/Honolulu"] )
source = input.source(close)
tp = input.int(1,"ROC Timeperiod")
now_hour = hour(time,timezone)
indicator = ta.roc(source,tp)
buy_hourXindicator_cum = ta.cum(indicator* now_hour)
buy_indicator_cum = ta.cum(indicator)
buy_hour = buy_hourXindicator_cum/buy_indicator_cum
sell_hourXindicator_cum = ta.cum( (1/indicator ) * now_hour)
sell_indicator_cum = ta.cum(1/indicator)
sell_hour = sell_hourXindicator_cum/sell_indicator_cum
plot(buy_hour,color=color.green)
plot(sell_hour,color=color.red)
plot(now_hour,color=color.gray,display=display.none)
bool isLongBestHour = now_hour==math.round(buy_hour)
bool isShortBestHour = now_hour==math.round(sell_hour)
bgcolor(isLongBestHour ? color.new(color.green,80) : na)
bgcolor(isShortBestHour ? color.new(color.red,80) : na)
strategy.order("buy", strategy.long, when =isLongBestHour)
strategy.order("sell", strategy.short, when = isShortBestHour)