Stochastic Pop and Drop Signals [Bitduke]

2020년 4월 25일

It's a long/short signals for modified Stochastic Pop and Drop strategy.

About

It's the strategy of 2 indicators: Stochastic Oscillator to define the bias and Average Directional Index to confirm it.

Signals

Strategy flips long / short depending of indicator signals. There can be multiple signals of the same type, for example, 2 longs in a row, only the first of them matters, others you should handle in your websocket script or manually.

Testing

Tested on different sources for data, oscillator periods and different levels in relation to the crypto market.

So, it shows good results with two tight thresholds at 55 and 45 level.

The bar chart below the defining the bullish and bearish periods (green and red) and gives a signal to enter the trade (purple bars).


Backtesting

Backtested on XBTUSD , BTCPERP ( FTX ) pairs. You may notice it shows good results on 3h timeframe.

Relatively low drawdown
~ 10% (from 2019 to date) FTX
~ 22% (4 years from 2016) Bitmex

Bitmex 3h (2017 - 2020) :

i.imgur.com/IUjS3hj.png

FTX 3h (2019 - 2020):

i.imgur.com/fjujt1h.png

Possible Improvements

- Regarding trading algorithm it would be good to check with strategy with ADX somehow. Maybe for the better entries

- As for Risk Management system, it can be improved by adding trailing stop to the strategy.

Link: school.stockcharts.com/doku.php?...

2020년 5월 21일

릴리즈 노트

Preventing duplicate signals. Now you will get a signal just once.

2020년 5월 21일

릴리즈 노트

Small fixes.