Percentage Channel Strategy

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Announcements Percentage Channel Strategy

Percentage Channel Strategy

2022-06-02 08:17:38 UTC 20490 Read

[//]:content-type-MARKDOWN-DONOT-DELETE
## 1.Brief introduction

1. The percentage channel is represented by the drawn channel lines that are based on the closing price, although other prices may also serve as the channel basis in the future. Specifically, a new channel is drawn when the current price crosses above or below the upper or lower band of the channel from the previous moment. Otherwise, the current channel will continue to remain effective. The calculation is as follows:

#### 1.1 Input parameters

period = 2 * The calculation period of the EMA of the indicator, which generally ranges from 2 to 10
percent = 400 * The percentage used in the percentage channel, in the units of 0.01%, namely, 0.0001,

*percent = 400, equivalent to 4%. The parameter will vary substantially depending on the value of the transaction target. The larger the trading target's value, the higher the parameter.

First, calculate the EMA of the closing price according to the period parameter, and then calculate the price channel. The principles are as follows:

**（1）Calculate the multipliers of upper and lower bands according to the percent parameter:**

Upper band multiplier: plus_value = 1 + percent / 100 / 100
Lower band multiplier: minus_value = 1 - percent /100 /100

**（2）Calculate the middle line of the channel**

Principle one
If the product of the closing price at the latest moment multiplied by minus_value is greater than the middle line value at the previous moment, the middle line value will be updated. Otherwise, the current middle line value will maintain.

Principle two
If the product of the closing price at the latest moment multiplied by minus_value is smaller than the middle line value at the previous moment, the middle line value will be updated. Otherwise, the current middle line value will maintain.
![](https://gimg2.gateimg.com/image/article/16805960231.png)

**（3）Calculate the upper and lower bands value of the channel**

The upper band of the channel is equal to the product of the middle line value of the channel, multiplied by plus_value; the lower band value is equal to product of the middle line value of the channel multiplied by minus_value.
![](https://gimg2.gateimg.com/image/article/16805960482.png)

2. Trend Range Indicator

The Oscillator Indicator forms a histogram that can reflect three market states: trend, moderate trend or declining trend, and a horizontal price movement.
![](https://gimg2.gateimg.com/image/article/16805960763.png)

The bars are trend indicators. The blue line is the standard deviation of trend strength, and the red line is 0.5 times the standard deviation. When the trend indicator (bar line) is higher than the standard deviation (blue line), it indicates a strong trend. When the trend indicator (bar) is higher than 0.5 times standard deviation (red line), it means a moderate trend. When the trend indicator (bar line) is below 0.5 times standard deviation (red line), it signals the market is in horizontal price movement.

#### 2.1 Input parameters
period = 10 *calculation period for the standard deviation of trend strength.
deviation = 1 *multiplier for the standard deviation of the trend strength.
#### 2.2  Index calculation
（1）Calculation of trend strength
The trend strength at the current moment is equal to the product of the difference between the highest price and the lowest price at the current moment multiplied by the trading volume at that moment, detailed as follows:
![](https://gimg2.gateimg.com/image/article/16805961154.png)

（2）Calculation of standard deviation of trend strength
First, calculate the average value of the trend strength according to the parameter period. Then calculate the standard deviation at the current moment, and then calculate the trend strength standard deviation and 0.5 times standard deviation according to the parameter deviation, detailed as follows:
<img src="https://gimg2.gateimg.com/image/article/1707010574screenshot-20240204-093414.png" alt="" width="620"  />

## Conditions for opening and closing positions

#### 2.1 Conditions for opening a long position
(1) The closing price crosses below the lower band of the percentage channel.
(2) The market is experiencing a horizontal price movement. That is, the trend strength bar (trend) is smaller than the red line (flat).

#### 2.2 Conditions for opening a short position
(1) The closing price crosses above the upper band of the percentage channel.
(2) The market is experiencing a horizontal price movement. That is, the trend strength bar (trend) is smaller than the red line (flat).

#### 2.3 Conditions for closing a long position
(1) The price reaches the take-profit level of the long position
(2) The price reaches the stop-loss level of the long position
(3) The price crosses above the middle line of the percentage channel.

#### 2.4 Conditions for closing a short position
(1) The price reaches the take-profit level of the short position
(2) The price reaches the stop-loss level of the short position
(3) The price falls below the middle line of the percentage channel.

## 2.How to access the percentage channel trading

Head to "Navigation Bar" - "Copy Trading" - "Create a Strategy" - "Futures CTA " - "Percentage Channel" - then click "Create Strategy". In the pop-up window, select "Settlement Method", then "Trading Pair", and click "Configuration Parameters", then click "Create". As shown below:
![](https://gimg2.gateimg.com/image/article/16805961626.png)

**How to backtest your strategy :**

Click the "Backtest" button, fill in the parameters on the parameters configuration page, click "Backtest" at the bottom, and the system will automatically backtrack the performance data of the strategy (by default, the backtested period will be the past month). Select the "Percentage Channel (perpetual future)", click "Create", fill in the corresponding parameters, and then click the "Create" button to create backtest data which can be checked in the "Backtest Record".

![](https://gimg2.gateimg.com/image/article/16805961897.png)

## 3.Configuration parameters explained
![](https://gimg2.gateimg.com/image/article/16805962038.png)

**Leverage multiple: **Set by users and is mainly used to calculate the number of orders placed.
**Total investment:** Refers to the total amount of user's investment, used as a margin for trading.
**Auto stop-loss ratio:** When the loss of the investment reaches this ratio, the strategy will liquidate positions and exit.
**Trend indicator period:** required value, must be an integer which ranges between [2,100], set to be 3 by default
**Standard deviation of trend strength indicator:** required value, accurate to 1 decimal place, range between [1.0, 5.0], set to be 1.0 by default
**Percent Channel Period:** required value, must be an integer which ranges between [2,100], set to be 9 by default
**Channel width percentage:** required value, accurate to 1 decimal place, range between[0.1, 100.0], set to be 4.5 by default
**Period:** MA parameter. Required value that can be set as 1 minute, 5 minutes, 15 minutes, 30 minutes, 1 hour, 4 hours, 8 hours, 1 day. By default, it is set to 1 hour. 
**Number of orders placed:**  The number of orders placed after the ATR strategy is triggered. It is an optional value and is empty by default.
**Default handling fee: **0.00075
**Inverse contract:**
s = (margin * latest price) / (2* 0.00075 + (1/leverage)) size = s / size of each contract
**USDT contract:**
s = (margin) / (2*0.00075 + (1/leverage)) * latest price size = s / size of each contract 
The actual number of orders placed will be lesser of the default order number or the number set by the user.

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