12-06-2018, 10:27 PM
I don't quite follow... Trade execution if all settings are met?
To simplify it, imagine you had a single RSI indicator with a length of 20, and ran it on five minute candles. Run that normally in gekko with 5 minute candles and every 5 minute gekko will update the indicator with the latest closing price and check the trade logic.
Now to run that with the candlebatching I've used here. Set the timeframe to 5 as that is the candle size you want, then run it on 1 minute candles in gekko. What the strategy now does is actually create 5 RSI indicators. (Desired candle length 5, divided by actual running candle length 1). Assuming the strategy has been seeded with data, when the first minute candle comes in, RSI1 is updated, result read and trading logic checked. When the second minute candle comes in, RSI2 is updated and checked. So on to RSI3, 4 and 5, then back to RSI1.
You have 5 RSI indicators staggered through time, and have checked for entry/exit points 5 times as regularly.
Now as I'm writing this I'm wondering if I'm a complete idiot... Would an RSI(20) on 5 minute candles give the same result as an RSI(100) on 1 minute candles? I'll have to test that. If they give the same result... Then yeah I'll feel rather stupid, I've been playing around with this candle batching for ages.
To simplify it, imagine you had a single RSI indicator with a length of 20, and ran it on five minute candles. Run that normally in gekko with 5 minute candles and every 5 minute gekko will update the indicator with the latest closing price and check the trade logic.
Now to run that with the candlebatching I've used here. Set the timeframe to 5 as that is the candle size you want, then run it on 1 minute candles in gekko. What the strategy now does is actually create 5 RSI indicators. (Desired candle length 5, divided by actual running candle length 1). Assuming the strategy has been seeded with data, when the first minute candle comes in, RSI1 is updated, result read and trading logic checked. When the second minute candle comes in, RSI2 is updated and checked. So on to RSI3, 4 and 5, then back to RSI1.
You have 5 RSI indicators staggered through time, and have checked for entry/exit points 5 times as regularly.
Now as I'm writing this I'm wondering if I'm a complete idiot... Would an RSI(20) on 5 minute candles give the same result as an RSI(100) on 1 minute candles? I'll have to test that. If they give the same result... Then yeah I'll feel rather stupid, I've been playing around with this candle batching for ages.