ATR_RSI_Strategy v2 with no repaint [liwei666]

4 janv. 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 janv. 2023

Notes de version

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

5 janv. 2023

Notes de version

update script format and remarks for properties.

17 janv. 2023

Notes de version

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 janv. 2023

Notes de version

fix a mistake