rob thijssen
e479351d82
Creates assets/strategy/<name>/ folders for all 13 strategies following the emmanuel-ma/mtf pattern: versioned JSON files and a readme per strategy. Tier 1 — DSL improvements (7 strategies get a new version): - simple-trend v2: ADX(14) > 25 regime gate - buy-2-factors v2: ADX(14) > 20 completes the originally-intended 3-factor gate - ichimoku v2: Chikou Span check + cloud-colour filter (Span A > Span B) - bull-market-support-band v2: event_count bull confirmation (≥35/50 bars above SMA100) - supertrend v3: ADX(14) > 25 regime gate - gaussian-channel v3: cross_over/cross_under replaces persistent compare on band breaks - stochastic-keltner v3: proper cross_over(stoch_k, 20) replaces manual two-bar simulation Tier 2 — folders + readmes only, no revision needed (6 strategies): hodl, momentum-cascade, money-line, trend-detector, hull-suite, supertrend-fusion common.rs updated with 7 new seed functions using include_str! for the revised versions; existing inline json!() seeds unchanged for historical comparison. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
1.6 KiB
1.6 KiB
Gaussian Channel
Based on the Gaussian Channel indicator (DonovanWall). A true Gaussian filter is approximated by applying EMA through itself four times (4-pole EMA), then adding ATR-based bands above and below.
Versions
| Version | File | Notes |
|---|---|---|
| v2 | v2.json | Persistent compare for band break (holds while above upper band) |
| v3 | v3.json | Uses cross_over/cross_under — signals only on the transition bar |
Logic
4-pole EMA (period 20): EMA(EMA(EMA(EMA(close, 20), 20), 20), 20)
Upper band: 4-pole-EMA + 1.6 × ATR(14)
Lower band: 4-pole-EMA − 1.6 × ATR(14)
Entry (v2): close > upper_band AND 4-pole-EMA rising (slope positive). Holds
while these conditions remain true — re-enters after any exit if price is still above band.
Entry (v3): close cross_over upper_band AND 4-pole-EMA rising. Single-bar
transition only — avoids re-entry while price stays above the band.
Exit (both): close < lower_band OR 4-pole-EMA declining (slope negative).
Indicators
EMAapplied 4× (Gaussian approximation), period 20 at each poleATR(14)— band width
Data requirements
- 1h candles recommended.
- Minimum warmup: ~80 candles for 4-pole EMA (4 × 20).
Known limitations
- 4-pole EMA is a Gaussian approximation, not a true Gaussian filter (which would require a convolution kernel not expressible in the DSL).
- ATR-based bands are symmetric; volatility asymmetry is ignored.