[SHARE] Simple RSI BULL/BEAR strategy

[gaud]

wish i knew more about the settings so i could find the optimum ones but its a good strat was sjt curious if u could change the buy/sell into moving stop loss type thing this might get rid of the instant buy again issue since it will only sell when trend is reversed and would maximize output of a trend better i would think but im a rookie so have no clue

[Kris191]

Tommie i do have one question regarding the settings. The bull mod high/low and bear mod high/low. backtesting seems not to be affected by adjusting these values. Am i right to think this is the + - the strat uses to trigger a buy or sell one the price reaches above or below the threashold?

[tommiehansen]

No, it's to modify the RSI. You might not see any changes if you test on a very short period.
A simple way to determine if it works is to the the RBB ADX against the regular RBB.

[Kris191]

ah, more learning needed from me then. I assume it the adjusts the over bought/ sold signal based on the overall bull bear trend which looks for trend reversals at both ends to trigger a buy or sell. the person who put this strat in trading view may need to update it slightly as it indicates buys that the bot dosent make. Unless i can workout the coding for it!!!

thanks you for the strat

[jvs]

Gentleman - over the weekend I left a box running testing different settings on the strategy.

I set it to change 4 settings:

Candle size: From 300 seconds (5 minutes) to 3600 seconds (1 hour), in steps of 1 minute.
SMA Fast Period: From 20 periods to 95 periods, in steps of 5.
SMA Slow Period: From 100 periods to 2000 periods, in steps of 20.
ADX Period: From 2 periods to 20 periods, in steps of 1.

So, 1.4 odd million tests later - testing on a dataset of ETH/USDT from 1/1/2016 to 1/3/2018, the setting that came out tops was....(drum roll)

Candle size: 480 seconds (8 minutes)
SMA Fast Period: 95
SMA Slow Period: 200
ADX Period: 3

The default settings of candle size 15 minutes, SMA Fast of 50 periods and slow of 1000 periods, results in a return of around 242,621%

The above settings, result in a return of 72,145,604%.

Yes, 72 million percent.

If you put in $1000 on Jan 1 2016, you would now be holding over $721 million dollars.

GIANT GODDAMN CAVEAT!!!
The strategy outlined above is a trade everything strategy. That means towards the end, it was theoretically placing buy and sell orders of hundreds of millions of dollars PER ORDER. Of course in reality, this would result in massive slippage, and probably crash the market every time you traded. So the reality is you would be playing with much, much, MUCH smaller traders - so your total return will be much, much, MUCH smaller. However, it wouldn't be unreasonable to think that you could easily be in the 7 figure bracket. (Hodling during this period, you would have around $800k).


Now, no trading strategy is any good if it can't trade well during bear markets, like what we are seeing at the moment. So I tested the settings on the following bear markets (All USDT base, all with a starting figure of $1000 USD):

BTC 1 Jun 2014 - 10 Nov 2014
Hodl: $561
Strategy Original Settings: $878
Strategy New Settings: $835
Delta: $273

ETH 13 June 2017 - 17 July 2017
Hodl: $388
Strategy Original Settings: $1004
Strategy New Settings: $1158
Delta: $770

Also the following from the 8th Jan to today - the current big bear market we're all coming to hate:

ETH:
Hodl: $495
Strategy Original Settings: $984
Strategy New Settings: $1861
Delta: $1366

LTC:
Hodl: $603
Strategy Original Settings: $988
Strategy New Settings: $1144
Delta: $540

NEO:
Hodl: $514
Strategy Original Settings: $758
Strategy New Settings:: $1722
Delta: $1207

BTC:
hodl: $492
Strategy Original Settings: $897
Strategy New Settings: $587
delta: $94

So aside from BTC, this thing still made coin during the past 3 months.

A final caveat. I'm not actually using gekko for my testing. I have written my own test platform in PHP using the trader extension, which in turns uses TA Lib. I have re-written the strategy in this thread in PHP to suit. Side to side testing has given similar results - but please I beg you to do your own testing with these settings to make sure they line up with your own settings! For some reason I don't 100% trust the hodling results that my script is giving... I think it's getting it's initial value from the wrong place.

I still feel there is more to get out of this strategy, but the shear amount of settings would mean there could be billions of different combinations to test. I feel that the 4 variables I tested above are the most "important", but if anyone else begs to differ and wishes me to bulk-test other settings, let me know!

Happy to hear your thougths

[tommiehansen]

Gentleman - over the weekend I left a box running testing different settings on the strategy.

I set it to change 4 settings:

Candle size: From 300 seconds (5 minutes) to 3600 seconds (1 hour), in steps of 1 minute.
SMA Fast Period: From 20 periods to 95 periods, in steps of 5.
SMA Slow Period: From 100 periods to 2000 periods, in steps of 20.
ADX Period: From 2 periods to 20 periods, in steps of 1.

So, 1.4 odd million tests later - testing on a dataset of ETH/USDT from 1/1/2016 to 1/3/2018, the setting that came out tops was....(drum roll)

Candle size: 480 seconds (8 minutes)
SMA Fast Period: 95
SMA Slow Period: 200
ADX Period: 3

The default settings of candle size 15 minutes, SMA Fast of 50 periods and slow of 1000 periods, results in a return of around 242,621%

Good for you, do note that the default is the default though and will not be optimized for anything basically.

I'll also ramp up testing since i've just finished making something usable of the PHP-stuff i've been writing that makes it simpler to do brute-force tests with more dynamic parameters. Something that is needed to really test something and where the run time can be over 20 hours (and over 5000 runs per go) and so on, here's a screen of the current 'run screen':
https://i.imgur.com/j5I3eWH.png

There just isn't any feasible way of testing things 'for real' with the current Gekko UI.

[Kris191]

jvs what other settings did you change? Did you adjust any of the RSI thresholds?

[Fab1j0]

Hello

I was testing a lot with RSI BULL BEAR +ADX.. My conclusion was, that is strategy is very powerfull on uptrend or bullish trend.. But when trend is changed to bear or downtrend i found that strategy is very stable: https://github.com/xFFFFF/Gekko-Strategi...ster/BBRSI.

Can someone help me to write (RSI BULL BEAR +ADX) + BBRSI strategy together. I want to achive when trend is quite bullish, that RSI bull bear+adx is activated and on other side, when trend goes Downtrend that BBRSI strategy is activated, beacuase is very stable in downtrend market, but in bullish uptrend is not trading so good. This would be avesome.

[jvs]

Gentleman - over the weekend I left a box running testing different settings on the strategy.

I set it to change 4 settings:

Candle size: From 300 seconds (5 minutes) to 3600 seconds (1 hour), in steps of 1 minute.
SMA Fast Period: From 20 periods to 95 periods, in steps of 5.
SMA Slow Period: From 100 periods to 2000 periods, in steps of 20.
ADX Period: From 2 periods to 20 periods, in steps of 1.

So, 1.4 odd million tests later - testing on a dataset of ETH/USDT from 1/1/2016 to 1/3/2018, the setting that came out tops was....(drum roll)

Candle size: 480 seconds (8 minutes)
SMA Fast Period: 95
SMA Slow Period: 200
ADX Period: 3

The default settings of candle size 15 minutes, SMA Fast of 50 periods and slow of 1000 periods, results in a return of around 242,621%

Good for you, do note that the default is the default though and will not be optimized for anything basically.

I'll also ramp up testing since i've just finished making something usable of the PHP-stuff i've been writing that makes it simpler to do brute-force tests with more dynamic parameters. Something that is needed to really test something and where the run time can be over 20 hours (and over 5000 runs per go) and so on, here's a screen of the current 'run screen':
https://i.imgur.com/j5I3eWH.png

There just isn't any feasible way of testing things 'for real' with the current Gekko UI.

Defaults are indeed defaults. Longer term I might setup a constant rolling box - it will constantly do runs on say the past 1 month data to make sure whatever settings are optimised for the current market. 

I only use PHP as I'm a hobbyist programmer and I don't really have the time to learn another language - I'd imagine Python would be quicker at doing these brute force tests than PHP is. I'm certainly not going to go down to a lower level language like C+/+, even though it would be probably be the quickest of them all.

[jvs]

jvs what other settings did you change? Did you adjust any of the RSI thresholds?

Just the ones mentioned in my post - Candle size, SMA Fast Period, SMA Slow Period and ADX Period.

Just those 4 values required 1.5 million tests. If I added say just the RSI thresholds, that would easily balloon to 40-50 million or even more tests. If I tested every variable in this script, you're getting into the billions.

I just don't have the time to optimize the brute force test enough to warrent testing every variable of this script - I have a full time job and a family to look after  I'm pretty happy with the results so far.