[SHARE] Simple RSI BULL/BEAR strategy
Has anyone actually tested this strategy on bear market ? I am experimenting a bit but I am not getting good results yet.
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I have. I ran it for about a month in July and August. It is too frustrating a strat because the win rate is low. It usually does something like this.

1st roundtrip: -2% loss
2nd roundtrip: -3% loss
3rd roundtrip: -1% loss
4th roundtrip: 8% profit
5th roundtrip: 2% loss
...

I still believe it has potential, but you literally can't look at the results as there are way more losses than wins. It also needs the following adjustments:
-Buy only when RSI is going up, not just hitting a set number (often it buys when RSI is going down)
-Buy only when a candle hits a certain volume (I think someone else suggested that earlier)

I'm working on other stuff now, but I will eventually add those to the strat and see how it works. They are not that hard to implement, anyone who modded a strat previously should be able to do it.
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Wow, here is a really active discussion about the RSI BULL BEAR strategy. I am taking a wider look into indicators and strategy concepts these days. Since this strat has such a popularity, are there any performance figures using it on ETH (vs. EURO or USDT) from the beginning of this year until let's say 2018-09-07 ?
To get a reference when things are really optimized using this strategy. E.g. if it gives a ROI of +80% then another strategy approach needs to beat this. Of course this does not mean it will perform well on another coin also.

@crypto49er (small) losses in july / august also disappointed me, so I added the Triple EMA (TEMA) indicator yesterday to get a smooth trend line and to measure trend strength using the current and previous candle TEMA (taking the TEMA of two weeks). This improved the existing strategy a lot since I have a chart segmentation between strong bull, strong bear and sideway trend. Long term MACD or RSI did not perform nice for me for this approach. Right now I am trading on strong bull only - this stopped the frustrating july/august trades. Will now look for a suitable strategy (probably using another candle size) to handle the sideway trends and pick gains during this time - I consider to use Bollinger Bands for this.

Also worth to look at:
https://medium.com/@deandree/can-you-pro...bc97a5f960
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(09-07-2018, 02:50 PM)crypto49er Wrote: I have. I ran it for about a month in July and August. It is too frustrating a strat because the win rate is low. It usually does something like this.

1st roundtrip: -2% loss
2nd roundtrip: -3% loss
3rd roundtrip: -1% loss
4th roundtrip: 8% profit
5th roundtrip: 2% loss
...

I still believe it has potential, but you literally can't look at the results as there are way more losses than wins. It also needs the following adjustments:
-Buy only when RSI is going up, not just hitting a set number (often it buys when RSI is going down)
-Buy only when a candle hits a certain volume (I think someone else suggested that earlier)

I'm working on other stuff now, but I will eventually add those to the strat and see how it works. They are not that hard to implement, anyone who modded a strat previously should be able to do it.
I'm doing a bit better than that but I have tweaked the code a bit.

1. Added a couple of lines that check for msSlow/maFast and if they are too close then I ignore any signals. (Theory is that there is a high liklihood of getting whipsawed back out again)
2. Calculate the MA of volume and if the volume is < the MA of the volume I also ignore signals. (Again theory is that I want a 'real' change in sentiment to be what drives my signal)

Cheers
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@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.

@martyc,

Nice! I think you should have it send a message to the console when it ignores a signal so you can then check after a few candles if ignoring the signal really saved your bacon. I'm sure it did but it's just a positive reinforcement on your modifications.
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(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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