how do you port the 'trades less than you expect' filter to 24/7 crypto?
hey all, been chewing on that selective momentum entry in the strategy library (the US stocks one with the deliberately restrictive buy block) since last night's session, which for me is everyone else's bedtime.
the part I actually agree with hardest is the framing at the top. Most losses come from trades you took because nothing was happening. that is literally my whole problem. I sit there at 3am, chart is flat, I get bored, I take something marginal, and that's the trade that ruins the night. so the idea of a condition set that just sits still and doesn't fire is very appealing to me.
but two chunks of it don't map onto crypto and I'm not sure what the honest replacement is:
1. the time window (10:15 to 14:15). that's clearly doing real work — skipping the open, skipping the last hour. crypto has no open. I *could* just carve out some hours, but that'd be me inventing structure that isn't there. or is it there? like, is there a defensible "don't trade this stretch" for crypto or is that just me pretending my timezone is meaningful?
2. DayAmount > 20000000. in stocks that's a liquidity floor and it resets daily. on a 24/7 asset a rolling day figure never really resets, it just drifts, so the same number means something different at 3am than at 3pm. do you guys use a rolling window volume instead, or a relative measure (volume vs its own recent average) rather than an absolute?
and the angle bit, the note about degrees scaling with the window was genuinely useful to me, I'd been treating ChangeAngle as if the number meant the same thing regardless of n. but overnight crypto moves are noisier and thinner, so I suspect a 60s angle threshold that's selective in a stock session would fire constantly on a low-liquidity book, on moves that go nowhere. instinct says raise it, but then I'm back to the exact loosening/tightening fiddling the author warns about, just in the other direction.
hasn't been an issue in testing yet because honestly it's barely fired. which I'm told is the point. anyone actually run something this restrictive overnight and stick with it?