02-11-2018, 10:48 PM
(This post was last modified: 02-12-2018, 12:19 AM by tommiehansen.
Edit Reason: added another backtest
)
I know the accuracy of the indicators (all indicators) has come into question before, but when i ran a really long backtest now it just seems the return performance is too good?
Dataset
Pair: USDT-ETH
Exchange: poloniex
From: 2015-08-08 06:15
To: 2017-11-07 14:37
Duration: 2 years, 3 months, 12 hours, 52 minutes
Params
Candle Size: 15 minutes
Warmup period: 10
Paper trader
All on default
Strategy params
None, since they are defined within the js (see source @ tinit())
Strategy
RSI_BULL_BEAR_ADX
Results (screen)
https://i.imgur.com/L2iPfHV.png
Over 4.4 million percent (!) vs market @ 17 950%
Note: Output chart is cut since i resized the window after completion (it doesn't auto-resize)
Results 2 (screen); 5 minute candles instead of 15
+83 573 824% (yes, over 83 million percent return) which seems implausible
Screen: https://i.imgur.com/bB33jX4.jpg
Other
Running Gekko stable branch
Strategy source
...so what's the status on how good the indicators work?
Dataset
Pair: USDT-ETH
Exchange: poloniex
From: 2015-08-08 06:15
To: 2017-11-07 14:37
Duration: 2 years, 3 months, 12 hours, 52 minutes
Params
Candle Size: 15 minutes
Warmup period: 10
Paper trader
All on default
Strategy params
None, since they are defined within the js (see source @ tinit())
Strategy
RSI_BULL_BEAR_ADX
Results (screen)
https://i.imgur.com/L2iPfHV.png
Over 4.4 million percent (!) vs market @ 17 950%
Note: Output chart is cut since i resized the window after completion (it doesn't auto-resize)
Results 2 (screen); 5 minute candles instead of 15
+83 573 824% (yes, over 83 million percent return) which seems implausible
Screen: https://i.imgur.com/bB33jX4.jpg
Other
Running Gekko stable branch
Strategy source
Code:
/*
RSI Bull and Bear + ADX modifier
1. Use different RSI-strategies depending on a longer trend
2. But modify this slighly if shorter BULL/BEAR is detected
-
8 feb 2017
-
(CC-BY-SA 4.0) Tommie Hansen
https://creativecommons.org/licenses/by-sa/4.0/
*/
// req's
var log = require ('../core/log.js');
var config = require ('../core/util.js').getConfig();
// strategy
var strat = {
/* INIT */
init: function()
{
this.name = 'RSI Bull and Bear + ADX';
this.requiredHistory = config.tradingAdvisor.historySize;
this.resetTrend();
// debug? set to flase to disable all logging/messages/stats (improves performance)
this.debug = false;
// performance
config.backtest.batchSize = 1000; // increase performance
config.silent = true;
config.debug = false;
/* TEMP: set params */
this.settings.SMA_long = 1000; // default 1000
this.settings.SMA_short = 50; // default 50
this.settings.BULL_RSI = 10; // timeperiod
this.settings.BULL_RSI_high = 80; // default 80
this.settings.BULL_RSI_low = 60; // default 60
this.settings.BEAR_RSI = 15; // timeperiod
this.settings.BEAR_RSI_high = 50; // default 50
this.settings.BEAR_RSI_low = 20; // default 20
this.settings.ADX = 3; // timeperiod
this.settings.ADX_high = 70;
this.settings.ADX_low = 50;
// SMA
this.addTulipIndicator('maSlow', 'sma', { optInTimePeriod: this.settings.SMA_long });
this.addTulipIndicator('maFast', 'sma', { optInTimePeriod: this.settings.SMA_short });
// RSI
this.addTulipIndicator('BULL_RSI', 'rsi', { optInTimePeriod: this.settings.BULL_RSI });
this.addTulipIndicator('BEAR_RSI', 'rsi', { optInTimePeriod: this.settings.BEAR_RSI });
// ADX
this.addTulipIndicator('ADX', 'adx', { optInTimePeriod: this.settings.ADX })
this.adx = { max: 0, min: 0 };
// debug stuff
this.startTime = new Date();
this.stat = {
bear: { min: 100, max: 0 },
bull: { min: 100, max: 0 }
};
}, // init()
/* RESET TREND */
resetTrend: function()
{
var trend = {
duration: 0,
direction: 'none',
longPos: false,
};
this.trend = trend;
},
/* get low/high for backtest-period */
lowHigh: function( rsi, type )
{
let cur;
if( type == 'bear' ) {
cur = this.stat.bear;
if( rsi < cur.min ) this.stat.bear.min = rsi; // set new
if( rsi > cur.max ) this.stat.bear.max = rsi;
}
else {
cur = this.stat.bull;
if( rsi < cur.min ) this.stat.bull.min = rsi; // set new
if( rsi > cur.max ) this.stat.bull.max = rsi;
}
},
/* CHECK */
check: function()
{
// get all indicators
let ind = this.tulipIndicators,
maSlow = ind.maSlow.result.result,
maFast = ind.maFast.result.result,
rsi,
adx = ind.ADX.result.result;
if( this.debug ){
if( adx < this.adx.min ) this.adx.min = adx;
else if( adx > this.adx.max ) this.adx.max = adx;
}
// BEAR TREND
if( maFast < maSlow )
{
rsi = ind.BEAR_RSI.result.result;
let rsi_hi = this.settings.BEAR_RSI_high,
rsi_low = this.settings.BEAR_RSI_low;
// ADX trend strength?
if( adx > this.settings.ADX_high ) rsi_hi = rsi_hi + 15;
else if( adx < this.settings.ADX_low ) rsi_low = rsi_low -5;
if( rsi > rsi_hi ) this.short();
else if( rsi < rsi_low ) this.long();
if(this.debug) this.lowHigh( rsi, 'bear' );
//log.debug('BEAR-trend');
}
// BULL TREND
else
{
rsi = ind.BULL_RSI.result.result;
let rsi_hi = this.settings.BULL_RSI_high,
rsi_low = this.settings.BULL_RSI_low;
// ADX trend strength?
if( adx > this.settings.ADX_high ) rsi_hi = rsi_hi + 5;
else if( adx < this.settings.ADX_low ) rsi_low = rsi_low -5;
if( rsi > rsi_hi ) this.short();
else if( rsi < rsi_low ) this.long();
if(this.debug) this.lowHigh( rsi, 'bull' );
//log.debug('BULL-trend');
}
}, // check()
/* LONG */
long: function()
{
if( this.trend.direction !== 'up' ) // new trend? (only act on new trends)
{
this.resetTrend();
this.trend.direction = 'up';
this.advice('long');
if( this.debug ) log.info('Going long');
}
if( this.debug )
{
this.trend.duration++;
log.info('Long since', this.trend.duration, 'candle(s)');
}
},
/* SHORT */
short: function()
{
// new trend? (else do things)
if( this.trend.direction !== 'down' )
{
this.resetTrend();
this.trend.direction = 'down';
this.advice('short');
if( this.debug ) log.info('Going short');
}
if( this.debug )
{
this.trend.duration++;
log.info('Short since', this.trend.duration, 'candle(s)');
}
},
/* END backtest */
end: function()
{
let seconds = ((new Date()- this.startTime)/1000),
minutes = seconds/60,
str;
minutes < 1 ? str = seconds + ' seconds' : str = minutes + ' minutes';
log.info('====================================');
log.info('Finished in ' + str);
log.info('====================================');
// print stats and messages if debug
if(this.debug)
{
let stat = this.stat;
log.info('BEAR RSI low/high: ' + stat.bear.min + ' / ' + stat.bear.max);
log.info('BULL RSI low/high: ' + stat.bull.min + ' / ' + stat.bull.max);
log.info('ADX min/max: ' + this.adx.min + ' / ' + this.adx.max);
}
}
};
module.exports = strat;...so what's the status on how good the indicators work?