I finally had a few free moments since the BASH to rewatch Ryan's presentation of Al Fyfe's use of the RhinoHMA indiciator and his method of trading the SPY options. The file with the VBA and the Profile is found on the BASH site for the 2019 BASH.
I thought, "This looks like something you could create a strategy around and potentially make it a mechanical strategy". Has anyone tried to do this?
Here's what my first attempt looks like. I can't say it works because I don't see any signals on the 39-minute Renko chart. But I used the Profile from the Bash file, set the Period to Range - 1ATR(14)/39 Minute. You will see the order of all the data periods at the bottom of the screen shot.
Next, I created a strategy using the included sysRhinoHMA system with it using the Current time period.
I then added confirmation of the 39 minute chart with the 20 minute chart (Current - 1) in Confirm1. I allow it to look back 4 bars for a signal.
I added in a second system for confirmation against the Daily timeframe (Current - 2). This is a custom system I use that creates a kind of volatility indicator and issues signals when the value crosses over a moving average.
Here's also a look at one of the confirm blocks.
Next, the Filter Block. I kind of combined Al's method with Ron lewis's confirmation method (also from the BASH) where Ron was using information from the WoodiesCCI and MACD_HIST. When I looked at those against the points Al's method would say "enter the trade", they looked like they were good confirmation signals and avoided a few spots where things just moved sideways. So, for a mechanical system, I added them (for now). I simply wanted to see that they were both either above zero or if below zero, they were at least moving higher.
Finally the TradePlan block. I started with the Long Option plan and added a profit target stop since Al would take profits at $1,000 (on 10 ITM Calls on the SPY). The best I could do there was say exit on 50% profit since there isn't a $ profit target that I found. My reasoning was that if you buy 10 calls at $2, then @ 50% profit, you have $1,000. I know, not perfect, but it is a starting point.
You will also notice that I set the Option Search Settings to be a Fixed Loss Stop on the position instead of the underlying because the video mentioned Al uses a "tight stop". That means to me, he is only watching the value of the Option, not the SPY.
Now for a few questions:
1) Has anyone created a strategy that uses multiple timeframes for confirmation similar to this? Any advice on how to do it better or correctly?
2) Any thoughts on the Trade Plan and how to make it use an absolute profit target?
3) Any experience in using Renko timeframes with the multiple timeframes? Is this really possible?
4) Any thoughts, recommendations, things to explore...?
I've attached the Strategy in case anyone is interested. You'll have to delete the VIXFlip system and confirmation block -- I'm sure that will cause you problems.
[Edited by Jeff Brown on 1/21/2020 10:47 AM]
Attached file : 2-Rhino-Strategy.png (27KB - 956 downloads)
Attached file : 3-Rhino-Confirm.png (59KB - 939 downloads)
Attached file : 4-Rhino-Filter.png (11KB - 983 downloads)
Attached file : 5-Rhino-TP.png (64KB - 933 downloads)
Attached file : 6-Rhino-TP-FPS.png (46KB - 932 downloads)
Attached file : RhinoHMA.ots (1636KB - 122 downloads)
Attached file : 1-Rhino-Timeframes.png (184KB - 902 downloads)