Bitcoin SCALPING strategy using Supertrend in Python — Transcript

Full transcript

1. 0:00hey guys it's Sol today I want to do
2. 0:01something a bit different I want to
3. 0:03write a scalping strategy for the 15
4. 0:05minutes time frame on the BTC chart so
5. 0:09let's get right into
6. 0:10it so the main indicator that I want to
7. 0:13use for this strategy is called the
8. 0:15super Trend and as the name indicates it
9. 0:18will tell us the direction of the trend
10. 0:21now when it's green we're in an uptrend
11. 0:23when it's red we're in a downtrend also
12. 0:25notice that when we are in an uptrend
13. 0:28the value for it which is displayed here
14. 0:31is actually below the current price and
15. 0:33when we are in a downtrend the value for
16. 0:35it is above the current price and we're
17. 0:37going to use this to write our strategy
18. 0:39and it's actually a pretty good
19. 0:41indicator if you go back in time right
20. 0:43so let's go to
21. 0:45Jesse and first create a new strategy
22. 0:48I'm going to call it
23. 0:51scalper
24. 0:52super and if I go to my
25. 0:56editor and search for it
26. 1:00I will find it so now this is the code
27. 1:03generated by Jesse when we initiated
28. 1:05this strategy from the dashboard now I
29. 1:08want to use the super Trend so let's
30. 1:09define a new property I want to call it
31. 1:13Trend and in it I want to say that the
32. 1:17variable s equals to TA super Trend I'm
33. 1:23going to pass the current trends and I
34. 1:25won't pass any other arguments because I
35. 1:27want to use the default ones so this is
36. 1:29this is it now the super Trend indicator
37. 1:32in Jessie will give us two values the
38. 1:34trend and the changed now the changed
39. 1:37will tell us whether or not the
40. 1:39direction has changed so for example if
41. 1:41I zoom in here and the value that Jess
42. 1:46will give us is one because the
43. 1:48direction of the trend just changed but
44. 1:50we don't really need that in our
45. 1:51strategy so I'm not going to use that
46. 1:52the only thing that I want is this value
47. 1:54here which is the value that is creating
48. 1:57this line here or this one so that would
49. 2:01be the trend value so again I will say
50. 2:04if the current price is above the trend
51. 2:06value we're in uptrend so I will say if
52. 2:10the current price is bigger than this
53. 2:14value we're in uptrend and I want to
54. 2:16return one otherwise we're in a
55. 2:19downtrend so we're going to return minus
56. 2:21one I will use this
57. 2:23to write my shootong function so I will
58. 2:26say whether or not the current Trend
59. 2:28equals one and for my shoot short I will
60. 2:31just do the opposite now by the way if
61. 2:32you are trading the spot Market you're
62. 2:34not going to use this function but
63. 2:36because I'm trading Futures I will use
64. 2:38it so I will say return whether or not
65. 2:40the current turn equals minus one so
66. 2:43this is it for my position sizing first
67. 2:45I want to open the position with my
68. 2:47entire capital and the entry price is
69. 2:49going to be the current price in that
70. 2:51moment in other words we're going to use
71. 2:52a market order so I will say entry
72. 2:55equals the current price and the
73. 2:57quantity is going to be
74. 3:00utils size to quantity for the first one
75. 3:04I will pass in my entire available
76. 3:06margin for this the second one I will
77. 3:09pass in the entry and the Precision the
78. 3:12default is fine but I will set the fee
79. 3:14rate to the fee rate of the exchange
80. 3:17that I'm trading on which would be self.
81. 3:19Fe
82. 3:20rate okay so I will say buy equals
83. 3:25quantity and then entry and for my short
84. 3:28function I will do the
85. 3:30same and I don't need to update should
86. 3:33cancel entry because again this strategy
87. 3:35is using the market order to enter the
88. 3:37position and what the shoot cancel entry
89. 3:39order does is if you have a limit order
90. 3:42or a stop order for entering your
91. 3:44positions that are pending it will
92. 3:46decide whether or not to cancel them so
93. 3:48that you can start from scratch and do
94. 3:50the calculations again but in this case
95. 3:53we only have a market order for entering
96. 3:55our trades so it will get executed every
97. 3:57time so we don't need this so I will
98. 3:59just let it be all right so now we need
99. 4:02to define the exit rule for our strategy
100. 4:05now what I want to do is when I get a
101. 4:07trade I want to use the ATR to set my
102. 4:10stoploss and the take profit now first
103. 4:12let me show you the ATR on the chart now
104. 4:15what this indicator does it will give me
105. 4:18the average through range in other words
106. 4:20it's telling me how much on average
107. 4:23every new candle is changing so for
108. 4:25example in this point in time the value
109. 4:27for it is approximately 300
110. 4:30so that means the price is on average
111. 4:32changing 300 on every new candle which
112. 4:34makes sense because we're trading BTC
113. 4:36which has a high price so I'm going to
114. 4:38use this for my stplus and I will also
115. 4:41use it for my take profit so let's go
116. 4:44here and I want to say when a new
117. 4:47position is opened that's when I set my
118. 4:49stop loss and take profit so I will
119. 4:53say on open position if it's a long
120. 4:57position I will say the plus is so first
121. 5:01I should give it a quantity and I'm
122. 5:03going to give it the entire quantity of
123. 5:04my position so I will say self position.
124. 5:08quantity and the second argument which
125. 5:10is the price I want to say the entry
126. 5:13price of my position which would be self
127. 5:16position entry price we could also pass
128. 5:18self. price because it's a market order
129. 5:21the current price and the entry price of
130. 5:23my position would be the same at this
131. 5:24point but I'm going to use the position.
132. 5:27Enterprise and it's going to be the
133. 5:29current a R which we can get by saying
134. 5:31ta. ATR and then passing current candles
135. 5:35multiplied by an integer number now
136. 5:38usually a number such as two or three
137. 5:40works well but for this one I will use
138. 5:422.5 and my take profit is going to be
139. 5:46very similar except that you know it's
140. 5:49going to be above the current price so
141. 5:50we are adding the ATR value to our entry
142. 5:53price instead of subtracting it however
143. 5:55if I set the 2.5 the risk reward ratio
144. 5:58of my trades will be want and
145. 6:00considering that we're paying for fees
146. 6:01and stuff I don't really like this
147. 6:03number so I will use a bit higher number
148. 6:05such as 3.2 now by the way the more you
149. 6:08increase your risk to reward number yes
150. 6:10you will have better trades that are
151. 6:12more worth it but the win rate of your
152. 6:14strategy will be lower so for example if
153. 6:16I put the number two here the win rate
154. 6:18of my strategy would be much higher than
155. 6:21if I put something like 3.2 but on the
156. 6:23other hand yes my win rate will increase
157. 6:26but it doesn't mean your profits will
158. 6:27increase too so I will use this this and
159. 6:30I will do the opposite if it's for a
160. 6:32short position so I will
161. 6:34say okay the co-pilot is smart enough to
162. 6:37help us here so I'm just doing the
163. 6:39opposite thing for a short entry so now
164. 6:42I have a complete strategy yes it's not
165. 6:44improved and we're going to improve it
166. 6:46in a second but I think we have a good
167. 6:47enough strategy to actually execute our
168. 6:50first back this so let's go back to
169. 6:52Jesse and open a new back test I'm going
170. 6:56to use binance peral futures for this
171. 6:59back test
172. 7:00but it's not my goal to exchange for
173. 7:01live trading for live trading I will
174. 7:03probably use either bit or Apex Pro but
175. 7:05for this purpose this is fine I will
176. 7:08change the time frame to 15 minutes and
177. 7:10I will use the scalper super and as for
178. 7:14the period I want to go back in time to
179. 7:16the beginning of 2022 which was really
180. 7:18bad year for crypto and I want to do it
181. 7:21up until the last month and I will also
182. 7:25make sure the fast mode is on and the
183. 7:28Benchmark because I want want to compare
184. 7:29it to the market okay this looks good
185. 7:32let's run
186. 7:34it okay so obviously we're not in profit
187. 7:37yet however you can never make a good
188. 7:39strategy with only one indicator right
189. 7:41and we're only using the super Trend
190. 7:43with one time frame for our in rule so
191. 7:46the first thing I want to do is to make
192. 7:47sure that we're only taking trades if we
193. 7:49are indeed in a trending market and I
194. 7:51like to use a favored indicator of mine
195. 7:54called adx average directional index
196. 7:57what this okay let's remove this okay so
197. 8:01what this does it will give us a
198. 8:03strength of the current Trend so for
199. 8:06instance here where we are in a clear
200. 8:08Trend the value of it rises but when we
201. 8:11are in a place like here which you could
202. 8:14say is a ranging Market the value of it
203. 8:16drops so it's not telling us the
204. 8:18direction of the trend it's just telling
205. 8:19us the strength of it so the way we use
206. 8:22it is usually we specify a threshold and
207. 8:25say if the value of the adx is above
208. 8:28this threshold we will take a trade
209. 8:30otherwise we won't so let's go back to
210. 8:32our strategy and I will Define the value
211. 8:36for
212. 8:37adx like this I will say return whether
213. 8:40or not the
214. 8:44adx value is bigger than 30 or
215. 8:48not and now I can update my sh long and
216. 8:52say
217. 8:55and self. adx I will also do the same
218. 8:59same for shoot
219. 9:01short okay so let's go back and try
220. 9:04again all right so the results clearly
221. 9:08improved so that's good we are moving
222. 9:10into the right direction so the first
223. 9:12thing I want to do is this technique
224. 9:13that I learned in a book called high
225. 9:15probability trading strategies now
226. 9:18basically what this book is saying that
227. 9:20we can always increase our odd to our
228. 9:22favor if we use a bigger time frame for
229. 9:25everything so for instance if you are
230. 9:27using the super Trend to determine the
231. 9:29current Trend instead of only using the
232. 9:31current time frame we can use a bigger
233. 9:33time frame so yes we are trading with
234. 9:35the 15 minutes time frame but what if we
235. 9:38determine the overall trend using the 4
236. 9:41hours time frame that happened to be one
237. 9:42of the best techniques that I always use
238. 9:44in my strategies however if you do this
239. 9:47in other platforms especially on trading
240. 9:49view when you're back testing there
241. 9:51you're going to fall victim for the look
242. 9:53ahead bias so that means you will be
243. 9:55using data or the price data from the
244. 9:57future that isn't realistic now I don't
245. 9:59want to explain that in this video
246. 10:01because it will get really long but long
247. 10:03story short when you're using bigger
248. 10:05time frames with Jesse you won't fall
249. 10:06into that trap and if you want to know
250. 10:08more about the look Ahad bias go ahead
251. 10:10and look it up there are some scariest
252. 10:12stories about it all right so let's go
253. 10:14back to my
254. 10:15strategy and before I had just one Trend
255. 10:18function that was using the super Trend
256. 10:21now I'm going to rename this one
257. 10:24into short
258. 10:27Trend and I I will copy
259. 10:30this paste it here and then Define
260. 10:33another one called long and I want to
261. 10:36change the candles so instead of being
262. 10:38the current candles I want it to be the
263. 10:40candles for another time frame but
264. 10:42because I might want to use those other
265. 10:45candles in other parts of my code I will
266. 10:47go up here and Define it
267. 10:49here so I will say
268. 10:52longterm
269. 10:55candles would
270. 10:58be get candles and the first parameter
271. 11:01is the current exchange so I will pass
272. 11:04the self exchange the second one is the
273. 11:07symbol I will pass self symbol and for
274. 11:11time frame I will pass 4 hours now you
275. 11:14could pass anything you like but the
276. 11:16four hours I think works pretty well
277. 11:17with the 15 minutes now I can go back to
278. 11:20Long Trend function and change this from
279. 11:23candles into long-term candles so now I
280. 11:28can update my entry to
281. 11:30say and longterm equals 1 and for my
282. 11:35short entry rule I can say the opposite
283. 11:38so let's go back to Jesse and give it
284. 11:40another try now remember this
285. 11:44number and we had a huge Improvement so
286. 11:48in fact we're in profit now but still
287. 11:50not enough but it's in profit so this is
288. 11:54really really good the Max draw down is
289. 11:56also significantly lower than what we
290. 11:58had before
291. 11:59the win rate is at 47% okay so this is
292. 12:03much better but now I want to use
293. 12:05another technique that works really well
294. 12:07for me and that is to define a moving
295. 12:09average now imagine we could only take
296. 12:12long trades if we were in a bull run now
297. 12:15how do we Define that well we can do it
298. 12:18with a simple
299. 12:19EMA moving average
300. 12:22exponential and setting the value of it
301. 12:25to 200 but not only that I also want to
302. 12:29use the 4 hours time frame but this one
303. 12:31is with the 15 minutes so this will
304. 12:34significantly make the odds in our favor
305. 12:36what else it would do is to lower the
306. 12:39number of Trades we're taking because
307. 12:41the thing is because we're trading on
308. 12:42the 15 minutes time frame we're also
309. 12:44paying a lot of trading fees I mean
310. 12:47imagine if we hadn't paid this much in
311. 12:48fees then we would have been sitting on
312. 12:50a pretty good profit right so that's
313. 12:53also helpful so let's go back to our
314. 12:55code and I will Define another one
315. 12:59we call it
316. 13:02long moving
317. 13:06average and in it I will say my moving
318. 13:09average equals
319. 13:12ta let's use SMA here and yes I will
320. 13:17pass the long-term
321. 13:19candles and the period must be
322. 13:23200 now if the current price is big
323. 13:29bigger than the moving
324. 13:32average I will return one otherwise
325. 13:35return minus
326. 13:37one so now I will also add this to my
327. 13:39entry rules let's go to shoot
328. 13:44long and say and long moving average
329. 13:47equals 1 and also go to shoot short and
330. 13:51say long moving average must equal minus
331. 13:54one okay so now let's go back and give
332. 13:57it another try
333. 14:00and by the way we're getting this error
334. 14:02because even though we're using the 4
335. 14:03hours time frame in our strategy we
336. 14:05didn't Define the data route for it in
337. 14:08the dashboard and with the new version
338. 14:09of Jesse if this is the case your Backes
339. 14:12won't completely fail but it will warn
340. 14:14you here and it's still finished okay so
341. 14:17look at this the result significantly
342. 14:20improved in fact considering the max
343. 14:23throw down of us which is much lower
344. 14:26than what the market had here you could
345. 14:28say we beat Market but here's the thing
346. 14:30we didn't do proper position sizing so
347. 14:33so far we were opening positions with
348. 14:35our entire capital and I almost never do
349. 14:38that in my actual trades what I usually
350. 14:40do for my position sizing is that as a
351. 14:42general rule I almost never risk more
352. 14:45than 2% of my capital for each trade so
353. 14:48let's go to my code where I set the
354. 14:50position so here I was passing the
355. 14:52entire capital I want to only risk 3% so
356. 14:55let's say this let's copy this and
357. 14:59instead I will use another utility
358. 15:02function called risk to quantity now the
359. 15:05first one is the capital and again I'm
360. 15:09going to pass the available
361. 15:11margin and the second one is risk per
362. 15:14capital and as I just said it's going to
363. 15:16be 3% and the entry is going to be entry
364. 15:19the other one is the suplus so that's
365. 15:21very important that at the moment that
366. 15:23you're opening your position and
367. 15:25specifying the size of your position you
368. 15:27should know what your subplus is going
369. 15:28to be
370. 15:30and we specify this subplus here right
371. 15:35so let's copy
372. 15:37this come
373. 15:39here and I'm going to say S Sub equals
374. 15:43this but instead of the self position.
375. 15:46entry price I will say the current price
376. 15:49right so here I will pass the stop and
377. 15:53again the fee rate is going to be the
378. 15:55current fee rate let's remove this and
379. 15:59I'm going to do the same
380. 16:01for short
381. 16:05position all right so let's rerun the
382. 16:08back
383. 16:09test and see how it changes all right so
384. 16:13before we w Really beating the market
385. 16:16but now by the end of this period we're
386. 16:19actually beating the market so that's
387. 16:20how effective this change was okay so
388. 16:23this looks much better and we are indeed
389. 16:25beating the market but just as an
390. 16:27experiment let's also to do something
391. 16:29else I want to
392. 16:31Define another adx but this time using
393. 16:35the bigger time frame and see how that
394. 16:37works so I'm going to call this one long
395. 16:40adx and pass in the longterm candles and
396. 16:46in my inter rule I will quickly add
397. 16:55it let's rerun this
398. 17:01okay it didn't help much let's also try
399. 17:05using EMA instead of the SMA for the
400. 17:08long-term moving
401. 17:16average okay yeah this is slightly
402. 17:19better the max r on decreased yeah but
403. 17:21the longterm adx didn't really help so
404. 17:24I'm going to remove this
405. 17:31and give it one last
406. 17:36try Okay this looks much
407. 17:39better much better yeah especially here
408. 17:42where we had a nasty downtrend we were
409. 17:45up significantly so that's good but in
410. 17:49here we didn't do great we also added
411. 17:52not so great time here okay so let's not
412. 17:55forget that this is just the initial
413. 17:57version of a strategy we didn't do any
414. 17:59optimization because if we do add some
415. 18:02hyper parameters for example and
416. 18:03optimize it using the optimization mode
417. 18:05of Jesse we're going to get much better
418. 18:07results and we're also still paying lots
419. 18:10of trading fees here and depending on
420. 18:13the plan that you have on the exchange
421. 18:15or whichever exchange you're trading
422. 18:17this number is also going to change a
423. 18:19lot so for example if you can get some
424. 18:21kind of trading fee discounts it will be
425. 18:23really helpful with this strategy now I
426. 18:25spent like an afternoon on this strategy
427. 18:27and that obvious isn't enough for
428. 18:29finding a really good one so I'm going
429. 18:32to keep working on this strategy and
430. 18:33trying to improve the results maybe run
431. 18:35some optimization using the optimization
432. 18:37mode and when I do I will submit that
433. 18:40one as a premium strategy to our
434. 18:42strategy listing page on our website now
435. 18:45if you haven't checked out this page
436. 18:46make sure to do so all right so this was
437. 18:48the first strategy video that I made I
438. 18:50don't know if you guys liked it or not
439. 18:51so if you did and if you want me to
440. 18:53continue this path and create more
441. 18:55strategy videos please make sure to let
442. 18:57me know in the comment section and also
443. 18:59we have a giveaway a random person who
444. 19:00likes this video subscribes to the
445. 19:02channel and posts a comment is going to
446. 19:04receive 1 million bnk token all right
447. 19:07now it's time to pick the winner of the
448. 19:08last
449. 19:10video and the winner is I cannot
450. 19:12pronounce his username but his comment
451. 19:14is found you from the Apex video now I'm
452. 19:17thinking if I should get life them
453. 19:18subscription not to miss out on things
454. 19:20for more in action I should probably get
455. 19:23to know Jesse first yes that's a good
456. 19:25idea thank you so much for your comment
457. 19:27please reach out to me so that I can
458. 19:28send you your bunk tokens all right so
459. 19:31if there's a specific type of strategy
460. 19:33that you want me to cover for the next
461. 19:34video let me know in the comments thanks
462. 19:36for watching and I'll see you in the
463. 19:37next one
464. 19:39[Music]