[SHARE] Simple RSI BULL/BEAR strategy
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.

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:

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

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

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

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

Messages In This Thread
Werkkrew Stoploss - by susitronix - 02-02-2018, 09:39 PM
Removed post - by susitronix - 02-03-2018, 06:49 PM
@Gryphon Confirmation - by mvangoor - 03-22-2019, 11:59 PM
for 3 months - by ankasem - 02-18-2018, 05:30 PM
RE: [SHARE] Simple RSI BULL/BEAR strategy - by jvs - 03-18-2018, 11:30 PM

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