Built-in Strategies Catalogue

The following strategies are included with Algolang. Use algo strategies -l -i to see descriptions and inputs for each.

Trend Following

highenergy — High Energy

High Energy is a long-only daily strategy for energy futures (@CL, @HO, @RB) designed to capitalise on energy bull runs. It requires all three conditions to align before entering:

1. Medium-term momentum: close must be above the close from XLength bars ago
2. Consecutive higher highs: at least ConsecHighs consecutive bars where high > previous high
3. Hurst persistence: the Hurst exponent (single-scale R/S at HurstPeriod) must be in the persistent zone (above HurstMin, at or below HurstMax)

There are two exit mechanisms. The signal exit fires when the close breaks above the highest high of the previous ExitLookback bars, signaling that the momentum extension has played out. The time-based exit (MaxHoldBars) cuts positions that haven’t triggered the signal exit within a set number of bars — winning trades typically resolve in ~11 bars, while losers that linger rarely recover. Both exits allow immediate re-entry on the same bar if entry conditions are met.

Breakout

kbt2 Inputs

kbt Inputs

keybreak Inputs

tri Inputs

Mean Reversion

viper Inputs

A mean reversion strategy that uses z-scores of logarithmic returns to detect and fade abnormally large price moves. Instead of simple returns, it computes ln(close/close[n]) which is additive over time and symmetric for gains and losses. The current log return is normalized into a z-score against a rolling window, and when the z-score is extreme (e.g., below -2.0 standard deviations), the strategy enters long expecting a snap-back to the mean.

The strategy operates purely on price data (no VIX dependency) and is applicable to any instrument. Optional filters include a trend SMA filter, RSI confirmation, and limit entries. Exits include z-score reversion (the primary exit), RSI reversion, time stops, and ATR-based risk management.

ratchet Inputs

whiplash Inputs

Based on the paper “Filtered Market Statistics and Technical Trading Rules” by Z. George Yang (SSRN 2260609, 2013). The strategy filters out “nearly flat” days using a VIX-derived threshold, then counts consecutive “essential” up or down days. After RunsLength consecutive essential down days the strategy goes long (mean reversion); after RunsLength consecutive essential up days it goes short.

The strategy automatically loads VIX index data ($VIXCLS from FRED) as a secondary series and requires the primary symbol to use daily bars.

blackbird Inputs

A long convexity tail-risk hedging strategy designed to run alongside mean-reversion strategies like whiplash. It manufactures an options-like payoff from linear futures: frequent small losses (the “insurance premium”) punctuated by large gains during sudden market crashes.

The strategy requires two conditions to enter short: (1) VIX must have accelerated recently (risen by VixROCThreshold over VixROCLen bars), and (2) confirming signals must fire — by default BOTH a Donchian channel breakdown AND a momentum collapse (price ROC exceeding MomoThreshold standard deviations below its mean) must trigger simultaneously. This dual-confirmation approach dramatically reduces false signals.

All exits use close prices only (no intrabar stops). During crash-period volatility, intraday swings are extreme and would trigger conventional stops even on directionally correct trades. Instead, the strategy uses a close-price adverse-move stop, a time-based stop for unprofitable trades, and an ATR-based trailing stop that activates once the trade is significantly profitable.

The strategy automatically loads VIX index data ($VIXCLS from FRED) as a secondary series and requires the primary symbol to use daily bars.

slowcrash Inputs

A long convexity strategy that complements blackbird by targeting grinding, multi-week selloffs rather than sharp 1-3 day crashes. The key insight: by the time lagging indicators confirm a grinding selloff, it’s often near its bottom. Instead, this strategy enters early when persistent fear first appears, accepts a fixed insurance premium if wrong, and rides the trend if the selloff develops.

Entry requires five simultaneous conditions:

1. Persistent VIX elevation — VIX must have been above VixThreshold for at least VixPersistBars consecutive bars, signalling structural fear rather than a transient spike.
2. VIX still rising — VIX must be higher than it was VixRisingLen bars ago, filtering out post-crisis periods where VIX is elevated but declining (normalizing).
3. Price below SMA — Close must be below its PriceSMALen-bar simple moving average, confirming the market is in a downtrend.
4. Trend still active — Close must be lower than it was SlopeLen bars ago, confirming the trend hasn’t stalled or reversed.
5. Not bouncing — Close must not have risen more than BounceMaxPct from its recent low, preventing entry after a V-bounce when VIX is still residually elevated.

All exits use close prices only (no intrabar stops). The strategy uses a wide ATR-based stop (the “insurance premium”), a trailing stop that activates after significant profit, and a maximum hold period. Unlike blackbird, there is no time stop — grinding selloffs produce daily bounces that would trigger time-based exits prematurely.

The strategy automatically loads VIX index data ($VIXCLS from FRED) as a secondary series and requires the primary symbol to use daily bars.

Turtle Trading

Multi-Timeframe

mrft Inputs

Utility and Analysis

Regime and Volatility

Use algo strategies -i <name> to see the inputs for any strategy.