[SHARE] Simple RSI BULL/BEAR strategy
(09-09-2018, 03:20 AM)crypto49er Wrote: @Mark.SCH

I think there are some backtest data for ETH/USD trade pairs around page 4 or 5 of this thread.

I like your TEMA idea. I also agree that in this bear market, we can only trade on strong bull bounce (and then get out ASAP as soon as it starts falling). I basically created a scalping strategy that do just that. Still working out the kinks, but at least it doesn't lose more than 0.5% per trade (not a hard stop loss, it is based on the indicator) when it does lose.


Thanks @crypto49er, I found some backtest results at your mentioned pages, unfortunately they are from 2017. @askmike mentioned a strategy contest soon (for Gekko Plus), this will be very exciting to see, to get an idea of strategy potentials.

A further gain beside TEMA was the implementation of inverse fisher transformation (CCI) indicator for Gekko, however, it does not show the same potential as it does on Tradingview. There are several things left I am going to implement/test...but some figures on ETH/EUR right now (from 2018-01-01 till now)...at least losses are pretty reduced

2018-09-10 21:08:58 (INFO): (ROUNDTRIP) REPORT:
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) entry date (UTC)   exit date (UTC)   exposed duration P&L profit
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-01-02 02:00 2018-01-11 00:00 9 days           474.19 47.49
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-01-12 19:00 2018-01-14 13:00 2 days           78.91 5.37
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-01-28 05:00 2018-01-29 20:00 2 days           47.53 3.07
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-02-09 18:00 2018-02-10 16:00 a day           -62.67 -3.94
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-02-14 12:00 2018-02-18 07:00 4 days           95.48 6.25
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-04-08 05:00 2018-04-09 21:00 2 days           1.50 0.09
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-04-10 01:00 2018-04-10 08:00 7 hours         -11.82 -0.73
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-04-10 14:00 2018-04-16 12:00 6 days           453.74 28.27
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-04-18 21:00 2018-04-25 09:00 7 days           482.27 23.46
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-04-26 23:00 2018-04-30 21:00 4 days           53.33 2.10
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-05-03 03:00 2018-05-06 09:00 3 days           253.54 9.81
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-06-03 05:00 2018-06-04 10:00 a day           55.11 1.95
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-06-19 11:00 2018-06-21 16:00 2 days           -1.04 -0.04
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-07-02 14:00 2018-07-03 23:00 a day           -68.95 -2.40
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-07-05 05:00 2018-07-05 15:00 10 hours         -43.77 -1.56
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-07-08 00:00 2018-07-09 13:00 2 days           -41.90 -1.52
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-07-16 10:00 2018-07-18 20:00 2 days           104.29 3.85
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-08-28 14:00 2018-08-30 02:00 2 days           -24.12 -0.86
2018-09-10 21:08:58 (INFO): (ROUNDTRIP) 2018-09-01 15:00 2018-09-03 05:00 2 days           -57.21 -2.06
2018-09-10 21:08:58 (INFO):
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) start time: 2018-01-01 00:00:00
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) end time: 2018-09-06 00:01:00
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) timespan: 8 months
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) exposure: 0.20480453403748308
2018-09-10 21:08:58 (INFO):
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) start price: 639 EUR
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) end price: 195.73 EUR
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) Market: -69.36932707%
2018-09-10 21:08:58 (INFO):
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) amount of trades: 39
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) original balance: 1000.00000000 EUR
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) current balance: 2725.90770746 EUR
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) profit: 1725.90770746 EUR (172.59077075%)
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) simulated yearly profit: 2541.8269382434 EUR (254.18269382433996%)
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) sharpe ratio: 19.024849238650347
2018-09-10 21:08:58 (INFO): (PROFIT REPORT) expected downside: -2.284959663620867
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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 mark.sch - 09-10-2018, 07:31 PM

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