[BOUNTY] Adaptive ATR-ADX Trend

[Gryphon]

I realise there is no bounty here, but the strategy looked interesting so I gave it a shot. I wasn't sure if i should post it here or in Strat Dev.

The strategy in the link looks excellent - unfortunately I've not been able to get behaviour anywhere close!

Logically I think my code is correct, but a fresh pair of eyes on it would be very welcome... I'm running a genetic algorithm on the parameters to see if I can get some parameters that do more than marginally beat the market. On the plus side, it does seem to give decent sharpe ratios. I think the next step is writing out price and stop to a csv and plotting it to get a better idea of what is going on.

EDIT: Done some plotting, it's behaving as desired, although with a slightly big spike in the stop at each trade. Looks like it's a case of tuning the parameters properly: 


I've made some changes to the behaviour of the described strategy which have improved it in my testing:

Original strategy used the max high and min low of the last X candles as a base value for the stop. I have changed this to use the average highs and lows, and also reset this to the high or low of the current candle each time a trade is made. This makes it slightly more resilient to the more wild fluctuations, and means it ignores highs or lows that happened before the current trade, which improved performance considerably.

I have also separated the high and low ATR multipliers for Bull and Bear markets to give more flexibility in tuning.

Using Heiken Ashi candles also seemed to help.

NPM Requirements: lodash (npm i --save lodash)

ATR_ADX.toml - values are as recommended in OP's link, don't work very well for me though!
https://github.com/RJPGriffin/gekko/blob...R_ADX.toml

Code:

# ATR period
ATR = 22

#ADX period
ADX = 22

# ATR Threshold
ATR_threshold = 30

#ATR Multiplers
BEAR_Multiplier_low = 1.75
BEAR_Multiplier_high = 3
BULL_Multiplier_low = 1.75
BULL_Multiplier_high = 3

ATR_ADX.js
https://github.com/RJPGriffin/gekko/blob...ATR_ADX.js

Code:

/*
    ATR ADX Adaptive Strategy for gekko
 Built to immitate this script:https://www.tradingview.com/script/H48yeyRa-Adaptive-ATR-ADX-Trend-V2/
    -
    (CC-BY-SA 4.0) Rowan Griffin
    https://creativecommons.org/licenses/by-sa/4.0/
*/

// req's
var log = require('../core/log.js');
var config = require('../core/util.js').getConfig();
var _ = require('lodash');


// strategy
var strat = {

 /* INIT */
 init: function() {
   // core
   this.name = 'Adaptive ATR ADX';
   this.requiredHistory = config.tradingAdvisor.historySize;

   // debug? set to false to disable all logging/messages/stats (improves performance in backtests)
   this.debug = false;

   // performance
   config.backtest.batchSize = 1000; // increase performance
   config.silent = true;
   config.debug = false;

   // Heiken Ashi candle
   this.HACandle;
   this.previousCandle = { //Initialise previousCandle with 0
     "open": 0,
     "close": 0,
     "high": 0,
     "low": 0
   };

   // ATR
   this.addTulipIndicator('ATR', 'atr', {
     optInTimePeriod: this.settings.ATR
   });

   // ADX
   this.addTulipIndicator('ADX', 'adx', {
     optInTimePeriod: this.settings.ADX
   })

   //Directional Indicator - Needed to decide initial long or short position on strat start
   this.addTulipIndicator('DI', 'di', {
     optInTimePeriod: this.settings.ADX //matches the ADX period
   })

   //High and low
   this.highs = new Array(this.settings.ATR);
   this.lows = new Array(this.settings.ATR);
   this.arrayCounter = 0; // to track array position
   this.periodMax = 0;
   this.periodMin = 0;

   //Variables
   this.trend = 'none';
   this.newTrend = false;
   this.stop;



   //ATR Threshold
   this.ATR_threshold = this.settings.ATR_threshold;
 


   // debug stuff
   this.startTime = new Date();


   /* MESSAGES */

   // message the user about required history
   log.info("====================================");
   log.info('Running', this.name);
   log.info('====================================');
   log.info("Make sure your warmup period matches the longer of ATR or ADX and that Gekko downloads data if needed");

   // warn users
   if (this.requiredHistory < this.settings.ATR || this.requiredHistory < this.settings.ATR) {
     log.warn("*** WARNING *** Your Warmup period is lower than ATR|ADX. If Gekko does not download data automatically when running LIVE the strategy will not behave as expected");
   }

 }, // init()

 heikenAshi: function(candle) {
   return {
     close: (candle.open + candle.close + candle.high + candle.low) / 4,
     open: (this.previousCandle.open + this.previousCandle.close) / 2,
     high: _.max([candle.high, candle.open, candle.close]),
     low: _.min([candle.low, candle.open, candle.close])
   };
 },

 updateMinMax: function(candle) {
   //Gets the minimum and maximum trade price from the last ATR Period

   // Add latest high and low to arrays at counter index
   this.lows[this.arrayCounter] = candle.low;
   this.highs[this.arrayCounter] = candle.high;
   //increment index
   this.arrayCounter = this.arrayCounter + 1;

   if (this.arrayCounter === this.settings.ATR) { //reset index if at array length
     this.arrayCounter = 0;
   }

   //Set newest period max and min
   this.periodMax = Math.max.apply(Math, this.highs);
   this.periodMin = Math.min.apply(Math, this.lows);

 },

 updateMinMaxAverage: function(candle) {
   //same as above except it outputs the average low/high instead of the min/max

   // Add latest high and low to arrays at counter index
   this.lows[this.arrayCounter] = candle.low;
   this.highs[this.arrayCounter] = candle.high;
   //increment index
   this.arrayCounter = this.arrayCounter + 1;

   if (this.arrayCounter === this.settings.ATR) { //reset index if at array length
     this.arrayCounter = 0;
   }

   let averageMin = 0,
     averageMax = 0;

   for (let i in this.lows) {
     averageMin += this.lows[i];
     averageMax += this.highs[i];
   }

   //Set newest period max and min
   this.periodMax = averageMin / this.lows.length;
   this.periodMin = averageMax / this.highs.length;

 },

 resetMinMax: function() {
   // Resets the minimum and maximum arrays.
   // Thought is that doing this each trade limits the effect of past data that is no longer that relevant
   for (var i in this.lows) {
     this.lows[i] = this.HACandle.low;
     this.highs[i] = this.HACandle.high;
   }
 },

 getBullMultiplier: function(adx) {
   // Returns the correct Bull multiplier depending on ADX value
   if (adx < this.ATR_threshold) {
     return this.settings.BULL_Multiplier_high;
   } else {
     return this.settings.BULL_Multiplier_low;
   }
 },

 getBearMultiplier: function(adx) {
   // Returns the correct Bear multiplier depending on ADX value
   if (adx < this.ATR_threshold) {
     return this.settings.BEAR_Multiplier_high;
   } else {
     return this.settings.BEAR_Multiplier_low;
   }
 },

 //called on each new candle, before check.
 update: function(candle) {
   // this.updateMinMax(candle);
   this.HACandle = this.heikenAshi(candle);
   this.updateMinMaxAverage(this.HACandle);
   this.previousCandle = candle; //for HA calculation
 },


 /* CHECK */
 check: function() {
   // get all indicators
   let ind = this.tulipIndicators,
     atr = ind.ATR.result.result,
     adx = ind.ADX.result.result,
     di = ind.DI.result,
     price = this.HACandle.close;

   //Reset the min max if the trend is new
   if (this.newTrend) {
     this.resetMinMax(this.HACandle);
   }

   //Check for long
   if (this.trend === 'bull') {
     //Calculate new stop target

     //Bull trend so stop needs to be below the trendline.
     let newStop = this.periodMax - (atr * this.getBullMultiplier(adx))

     // Stop can only increase, therefore only use the new stop if it is higher than current stop
     // If trend is new, bull stop will never be higher than bear stop, therefore use it anyway.
     if (newStop > this.stop || this.newTrend) {
       this.stop = newStop;
       this.newTrend = false;
     }

     //If candle close price has passed the latest stop, change advice to short
     if (price <= this.stop) {
       this.short();
     }


   } else if (this.trend === 'bear') {
     //Calculate new stop target
     let newStop = this.periodMin + (atr * this.getBearMultiplier(adx))

     if (newStop < this.stop || this.newTrend) {
       this.stop = newStop;
       this.newTrend = false;
     }
     //check if price has hit target
     if (price >= this.stop) {
       this.long();
     }
   }


   // This will only run on the very first candle. Buys if current trend is bull, sells if bear.
   else if (this.trend === 'none') {
     if (di.plus_di > di.minus_di) { //BULL
       this.long();
     } else {
       this.short();
     }
   }

   if (this.debug) {
     log.info('Current Trend: ' + this.trend);
     log.info('Period Min: ' + this.periodMin);
     log.info('Period Max: ' + this.periodMax);
     log.info('Current Stop: ' + this.stop);
     log.info('Current Price: ' + price);
     log.info('\n\n');
   }


 }, // check()

 /* LONG */
 long: function() {
   if (this.trend !== 'bull') // new trend? (only act on new trends)
   {
     this.trend = 'bull';
     this.newTrend = true;
     this.advice('long');
   }
 },

 /* SHORT */
 short: function() {
   // new trend? (else do things)
   if (this.trend !== 'bear') {
     this.trend = 'bear';
     this.newTrend = true;
     this.advice('short');
   }
 },


 /* END backtest */
 end: function() {
   let seconds = ((new Date() - this.startTime) / 1000),
     minutes = seconds / 60,
     str;

   minutes < 1 ? str = seconds.toFixed(2) + ' seconds' : str = minutes.toFixed(2) + ' minutes';

   log.info('====================================');
   log.info('Finished in ' + str);
   log.info('====================================');

 }

};

module.exports = strat;