This article explains in detail a quantitative trading strategy using the Gann Swing Oscillator. It determines market trend by calculating price extrema to generate trading signals.
I. Strategy Logic
The core indicator is the Gann Swing Oscillator. The main calculation steps are:
Calculate highest high and lowest low over a period.
Compare the last two bars’ highest high with the latest bar to identify bullish extremum.
Compare the last two bars’ lowest low with the latest bar to identify bearish extremum.
Calculate Gann Oscillator value based on extreme relationships.
Determine trend direction and generate signals according to the indicator value.
This identifies market reversal points and trends effectively through judging price extrema.
II. Advantages of the Strategy
The biggest advantage is the simplicity of the indicator, utilizing price extreme comparisons directly to determine trend direction.
Another advantage is the minimal parameter requirement of just one variable.
Lastly, trade signals are unambiguous being either long or short, avoiding overlapping positions.
III. Potential Risks
However, some potential issues exist:
Firstly, the indicator has lag in detecting breakout signals, causing missed best entries.
Secondly, the lack of stop loss and take profit fails to control risk per trade.
Finally, frequent signals require proper money management to limit losses.
IV. Summary
In summary, this article has explained a quantitative trading strategy using the Gann Swing Oscillator. It identifies market trends and reversals by judging price extrema. But improvements can be made such as adding stops and managing signal lag. Overall it provides a unique approach of using price comparisons to determine trends.
/*backtest
start: 2023-08-15 00:00:00
end: 2023-08-26 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 19/06/2017
// The Gann Swing Oscillator has been adapted from Robert Krausz's book,
// "A W.D. Gann Treasure Discovered". The Gann Swing Oscillator helps
// define market swings.
//
// You can change long to short in the Input Settings
// Please, use it only for learning or paper trading. Do not for real trading.
////////////////////////////////////////////////////////////
strategy(title="Gann Trend Oscillator")
Length = input(3, minval=1)
reverse = input(false, title="Trade reverse")
hline(0, color=gray, linestyle=hline.style_dashed)
xHH = highest(close, Length)
xLL = lowest(close, Length)
xGSO = iff(xHH[2] > xHH[1] and xHH[0] > xHH[1], -1,
iff(xLL[2] < xLL[1] and xLL[0] < xLL[1], 1, nz(xGSO[1],0)))
pos = iff(xGSO > 0, 1,
iff(xGSO < 0, -1, nz(pos[1], 0)))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1, 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
plot(xGSO, color=blue, title="GTO")