ATR_RSI_Strategy v2 with no repaint [liwei666]

4 thg 1, 2023

🎲 Overview

🎯 this is a optimized version based on ATR_RSI_Strategy with no-repaint.
Sharpe ratio: 1.4, trade times: 116 ,
trade symbol: BTCUSDTPERP 15M
you can get same backtesting result with the correct settings.

🎲 Strategy Logic

🎯 the core logic is quite simple, use ATR and RSI and SMA
1. when price is in high volatility ( atr_value > atr_ma);
2. wait for a break signal (rsi_value > rsi_buy or rsi_value < rsi_sell);
3. entry Long or Short,use trailing stop-loss to max security and percent TP to keep profit.

🎲 Settings

🎯 there are 7 input properties in script, but I only finetune 4 of them (bold field below),
you may change other parameter to get better result by yourself.

• atr_length: length to get atr value
  
• atr_ma_length: length of smoothing atr value
  
• atr_ma_norm_min: atr_ma normalized min value, filter high volatility ranges
  
• atr_ma_norm_max: atr_ma normalized max value, filter high volatility ranges
  
• rsi_length: length to get rsi value
  
• rsi_entry: 50 +/- rsi_entry to get entry threshold
  
• trailing_percent: trailing stop-loss percent
  

🎲 Usage

🎯 the commission set to 0.05%, part of exchange the commission is less than 0.05% in reality,
but I will still use 0.05% in my next script.

🎯 this script use 50% of equity to size positions follow general script position,
you can adjust the value to fix size or 100% of equity to compare result with other strategy,
but I still suggest you use 5-10% of equity for each strategy in reality.

🎯any questions please comment below. if there are any words violate House Rule, please tell me below and i will revise immediately
don't want be hiddened again 😂😂

Additionally, I plan to publish 20 profitable strategies in 2023;
let‘s witness it together!

Hope this strategy will be usefull for you :)

enjoy! 🚀🚀🚀

5 thg 1, 2023

Phát hành các Ghi chú

update Order size from 50% to 10% of equity, is usually more realistic for each strategy.

5 thg 1, 2023

Phát hành các Ghi chú

update script format and remarks for properties.

17 thg 1, 2023

Phát hành các Ghi chú

add alert.
1. when in living trading, Enter after freq_once_per_bar_close
2. when in living trading, SL and TP should use freq_once_per_bar
3. you can compare with trade_list of backtest result
thx for @jeroenderouw92 feedback. 🚀

17 thg 1, 2023

Phát hành các Ghi chú

fix a mistake