ChatGPT o1: Turtle Strategy in Python Makes 319% — Transcript

Full transcript

1. 0:00[Music]
2. 0:00hey guys it's Al today I'm going to code
3. 0:02the turtle strategy using chat gp01
4. 0:04preview model to guide me for my entry
5. 0:07and exit rules it's going to be a fun
6. 0:09experiment not only that it actually
7. 0:10taught me about this one new indicator
8. 0:12that I didn't know before and it
9. 0:14improved the results of this strategy
10. 0:16and my previous ones all right let's get
11. 0:17done it so I simply asked chat GPT how
12. 0:21does the turtle strategy work explain to
13. 0:23me the entry and exit rules and how to
14. 0:25set my stop loss and take profit so in
15. 0:27case you don't know the turtle trading
16. 0:28system is a classic Trend following
17. 0:30system developed in the 1980s by
18. 0:32legendary Traders Richard Dennis and
19. 0:34William eart it was part of an
20. 0:36experiment to determine whether great
21. 0:38Traders are born or made the strategy
22. 0:40focuses on entering trades when a strong
23. 0:42trend is identified and employs specific
24. 0:45rules for entry exit position sizing and
25. 0:47risk management okay what's my entry
26. 0:50role Buy Signal enter a long position
27. 0:52when the price exceeds the highest high
28. 0:54of the past 20 days okay and for sell
29. 0:57signal inter is short position when the
30. 0:59price Falls below the lowest low of the
31. 1:01past 20 days so basically this is the
32. 1:03definition of the donin channel
33. 1:05indicator in case you didn't know that's
34. 1:07exactly what it does what else it's also
35. 1:09saying no re-entry rule If the previous
36. 1:11breakout would have resulted in a
37. 1:13profitable trade skip the next breakout
38. 1:15signal to avoid potential false signals
39. 1:18and as for position sizing saying to use
40. 1:20the ATR which is what I always do for
41. 1:22position sizing risk one or 2% I usually
42. 1:25do risk 3% that's fine for exit rule is
43. 1:28saying when the price Falls below the
44. 1:29lowest low of the past 10 days system to
45. 1:32exit when the price Falls below the
46. 1:34lowest low of the past 20 days as for
47. 1:36take profit saying use a trailing stop
48. 1:39adj just a stop- loss order as the order
49. 1:42becomes profitable maintaining the two
50. 1:44and distance from the highest price
51. 1:46achieved for long positions or the
52. 1:47lowest price for short positions the
53. 1:49position is closed when the exit
54. 1:51breakout levels are breached okay so
55. 1:54let's go to Jesse and create a new
56. 1:56strategy and call it Turtle I because
57. 2:00we're using AI for our rules I'm going
58. 2:02to also include the name AI in it now
59. 2:05let's go to my Pie charm editor and open
60. 2:08that so first let me show you how the
61. 2:10donchain channel look like on trading
62. 2:12view so let's look it
63. 2:15up and by default the period is set to
64. 2:1820 which is what chat gbt was also
65. 2:20telling us all right so you see when a
66. 2:22new high is achieved the upper band goes
67. 2:24up so basically the lower band is the
68. 2:26low of the past 20 candles and the upper
69. 2:29band is the high of the past 20 candles
70. 2:31so let's define a new property and call
71. 2:34it D chin and I'm going to say return ta
72. 2:38dungeon and going to pass the current
73. 2:42candles the period is by default 20 so
74. 2:45we don't really have to set it but let's
75. 2:47just do it anyways and but there's one
76. 2:49thing I want to change so for example
77. 2:51here we had a breakout right but if you
78. 2:53see the upper band is also going up and
79. 2:55that's because again it's just simply
80. 2:57the highest of the past 20 candles right
81. 2:59so if if the new candles is making a new
82. 3:01high the value for done chain will also
83. 3:04go up and that's not really great it's
84. 3:06going to make it a bit difficult for us
85. 3:08so instead of using this value I want to
86. 3:10use the value of the previous scandle
87. 3:12now we can do this in two ways in jessu
88. 3:14the first one is that we pass the
89. 3:17sequential parameter and set it to true
90. 3:21so that this way in instead of giving us
91. 3:23one single value is going to give us an
92. 3:25array of values and then we're going to
93. 3:27use not just the last value but the one
94. 3:29before that but we could also do it in
95. 3:31another way which is to Simply pass not
96. 3:34just all the candles but we could simply
97. 3:36not pass the last candle so I'm going to
98. 3:39say this and here it is so we're saying
99. 3:42give me all the candles up until the
100. 3:44last one so it's not going to include
101. 3:46the last one and by the way if I wanted
102. 3:48to select all the candles of this nonay
103. 3:50array I would have done it like this or
104. 3:52simply just not pass it at all but now
105. 3:55I'm going to do it like this all right
106. 3:57so there's that and for our rule as J
107. 4:01GPT told us we're going to say if the
108. 4:03current price is more than the upper
109. 4:05band of the current dchain Channel
110. 4:09that's it and for our position sizing
111. 4:12we're going to use the current price as
112. 4:14our
113. 4:15entry so it's going to be like this and
114. 4:18as for the stop we're going to use the
115. 4:21current price minus the ATR multiplied
116. 4:24by 2.5 which works best for me and for
117. 4:28our quantity of of the position is going
118. 4:30to be utils do risk to quantity our
119. 4:36capital is going to be self available
120. 4:38margin the risk number is going to be
121. 4:40three as for entry price let's say entry
122. 4:44and then the Stop and the fee rate is
123. 4:46going to be the current fee of the
124. 4:48exchange that I'm trading now let's
125. 4:50submit the buy order which would be self
126. 4:53FL buy equals quantity and then the
127. 4:55entry price now for our short position
128. 4:59we're going to do the
129. 5:02opposite all right now the shoot cancel
130. 5:05order it doesn't really matter what we
131. 5:07enter here because we're using a market
132. 5:09order to enter our positions if you were
133. 5:11using a limit order or a sub order the
134. 5:14value for this would have mattered but
135. 5:16now it doesn't for the subplus I want to
136. 5:18do it as soon as the position is open so
137. 5:19I'm going to say onopen
138. 5:22position if it's a long position my
139. 5:27stoploss order is going going to be the
140. 5:31quantity of the current position and the
141. 5:34price of it just like what we did
142. 5:38here it's going to be the current price
143. 5:41minus 2.5 times of the current ATR value
144. 5:45now we're going to do the opposite for a
145. 5:47short position and when I say opposite I
146. 5:49mean instead of subtracting the ATR we
147. 5:51are adding it all right so this is good
148. 5:55now what about our take profit I'm going
149. 5:57to do what chat gpg suggested here which
150. 5:59is to use the trailing Stu and I
151. 6:00actually did try other methods but they
152. 6:03didn't really work well and I'm not
153. 6:04going to waste your time with it so I
154. 6:06will just write this one so I want it to
155. 6:09be a trailing stop what does it mean we
156. 6:11are already submitting the subplus order
157. 6:13when the position opens so now whenever
158. 6:16a new candle closes we want to update
159. 6:18our suplus right so we will use the
160. 6:21update position method which will get
161. 6:24executed whenever a new candle is closed
162. 6:27so I'm going to say if it's a long
163. 6:29position again update my suplus with the
164. 6:33current quantity and the price instead
165. 6:37of simply giving it the new price well
166. 6:39if I do it okay let me show you so if I
167. 6:42do
168. 6:43this like this and simply update my St
169. 6:46plus whenever a new candle closes well
170. 6:48the problem is that what if the price is
171. 6:51not going above what if we not in profit
172. 6:54we're actually sitting in a loss if we
173. 6:56update our stplus in that case well the
174. 6:58subplus just keep is going down and it
175. 7:01never gets hit and that's actually
176. 7:02horrible so we want to update our stplus
177. 7:05whenever the new price of the subplus is
178. 7:08actually better than the previous price
179. 7:09so for a long position that would be the
180. 7:12maximum price of the current average
181. 7:14suplus price which in our case would be
182. 7:18this or the new stop loss price which
183. 7:21would be this and for a short position
184. 7:24we're going to do the opposite so we're
185. 7:26going to say the minimum of the current
186. 7:28average stop loss or this new suplus
187. 7:31price okay so again this is only going
188. 7:34to submit it if the price is going in
189. 7:36our favor if we are sitting in profit
190. 7:39and we for example for a long position
191. 7:41we want to move up this stplus price
192. 7:43okay and wice Versa for a short position
193. 7:46so this looks complete and we can start
194. 7:49running it and seeing the results okay
195. 7:51so let's go to Jesse to the back testing
196. 7:55change
197. 7:57the strategy to tal a I and the time
198. 8:00frame is set to 1 hour the symbol is BTC
199. 8:04UCT the starting point is
200. 8:082022 up until 2024 all right so the fast
201. 8:13mode and Benchmark is also enabled so
202. 8:15let's run it okay so these are the
203. 8:18results now for the first run is
204. 8:21actually not bad especially during the
205. 8:24bare Market it was performing really
206. 8:27well the max ston is minus 43% which
207. 8:30isn't
208. 8:33great okay the V is 30% so at this point
209. 8:36I went back to chat gbt and I simply
210. 8:38said I Cod it as a strategy and it
211. 8:40doesn't always work great what other
212. 8:42indicators can I use to improve it
213. 8:44because as you know guys using simply
214. 8:46one indicator never yields the best
215. 8:48results we always want to combine at
216. 8:50least a couple of them to filter out bad
217. 8:52trades so that the volatility would come
218. 8:55down the max would come down so I asked
219. 8:57this and it gave me this suggestions to
220. 9:00use this a simple moving average to use
221. 9:02the RSI which I did and it performed
222. 9:04horribly to use the macd which again
223. 9:07didn't work for me use the adx which
224. 9:10always work fine for me at least for
225. 9:12train following strategies use the
226. 9:14Ballinger bands which didn't help me use
227. 9:16the obv support and resistance levels
228. 9:19which aren't really that useful in algo
229. 9:21trading
230. 9:22strategy and that's almost it now so as
231. 9:27I start coding these this the moving
232. 9:29average actually worked well now I want
233. 9:31to use the moving average on a bigger
234. 9:33time frame so first let's define a new
235. 9:37property and call it long-term candles
236. 9:42and in it I'm going to return
237. 9:45self get candles and pass the current
238. 9:50exchange the current symbol and the 4
239. 9:54hours time frame now let's define
240. 9:55another one and call it longterm
241. 9:59moving
242. 10:00average and I'm going to return T
243. 10:05SMA of the long-term candles so instead
244. 10:09of passing the current candles I passed
245. 10:12long-term candles right and as the
246. 10:16period I'm going to use 200 all right so
247. 10:19now I'm going to come down and say I
248. 10:21want to open long positions when the
249. 10:23current price is above the long-term
250. 10:25moving average and for shoot short I
251. 10:29will do the opposite so let's go back
252. 10:32and run it again all right so now we're
253. 10:35definitely beating the market we ended
254. 10:37up with 37% profit the max starton is
255. 10:40down to 26 the win rate is 33% okay now
256. 10:44by the way in this strategy because it's
257. 10:47a trend following and we are trying to
258. 10:49write the trend for as long as possible
259. 10:51it's perfectly normal for our win rate
260. 10:53to be lower than 50% that's perfectly
261. 10:55normal for as long as our average win to
262. 10:58loss is more than one and it is in here
263. 11:01is 2.21 which is amazing all right so
264. 11:04there's that another suggestion by chbt
265. 11:07was the adx indicator which is what I
266. 11:10always use anyways so let's also add
267. 11:13that let's define a new property and
268. 11:16return whether or not the current adx
269. 11:21number is bigger
270. 11:25than
271. 11:2730 and for my in Rule now I'm going to
272. 11:30Simply say and self.
273. 11:33adx and for short I will also do the
274. 11:35same let's go back and run it again so
275. 11:39while this is going I wanted to quickly
276. 11:40remind you guys that we have a Discord
277. 11:42Community with more than 3,000 quants
278. 11:44such as you and I we hang out there
279. 11:46share ideas and help each other out and
280. 11:47I would love to see you guys there all
281. 11:49right so now the EO cure is much more
282. 11:52smooth than what it was before and I
283. 11:55really like that and yes the panel also
284. 11:58got a bit better the Maxon came down a
285. 12:01bit and the win rate actually went up to
286. 12:0538% so let's go back to the strategy
287. 12:07because I want to see the Donan Channel
288. 12:09values for it so let's define another
289. 12:12method called after and say self add
290. 12:16line
291. 12:18to Candle
292. 12:20chart and I want the dine so the title
293. 12:24is going to be the upper
294. 12:26band and the
295. 12:28value self dunge in Upper band and one
296. 12:32more for the lower band so let's go back
297. 12:34rerun this if I go back now I can see
298. 12:37the upper and lower bands of the dungeon
299. 12:39channels and one issue that I had with
300. 12:41it which after plotting it on the chart
301. 12:44I could see is that sometimes like in
302. 12:47here there's a breakout it opens a
303. 12:49position it closes it but when it does
304. 12:52close it because the price is actually
305. 12:54below the lower band it immediately
306. 12:56opens another trade and I don't want to
307. 12:58open a trade here now in this case it's
308. 13:00not really that bad but in some cases it
309. 13:02was horrible so I wanted to Cote this so
310. 13:05that once you close a trade do not take
311. 13:08another trade right right in the same
312. 13:10candle all right just wait at least one
313. 13:12more so for that we have to define a new
314. 13:16variable just to hold the last index
315. 13:20that we closed our trade so I'm going to
316. 13:22call it last
317. 13:25closed
318. 13:27index and I'm I'm going to set it to
319. 13:30zero and we need to update this whenever
320. 13:33a trade is closed right so for that I'm
321. 13:35going to
322. 13:36say unclosed position I need you to
323. 13:40update the last Clos index and set it to
324. 13:43the current Index right and for my ING
325. 13:49rules let's define a new property and
326. 13:51call
327. 13:52it past time and in it I'm going to say
328. 13:57whether or not the current index minus
329. 14:02the last close index is more than zero
330. 14:06that's it so if it's even one that's
331. 14:09okay but if it's zero it means it's in
332. 14:11this current candle and just don't take
333. 14:13any trades so let's go back and rerun
334. 14:17this all right so I forgot to add it to
335. 14:21this Shong and shoot
336. 14:26short all right so let's go back and run
337. 14:28it again
338. 14:30all right so you see the pnl actually
339. 14:32went up and the max ORD came down just
340. 14:35with this one single
341. 14:37change and everything else is actually
342. 14:40pretty much the same such as the wing
343. 14:41rate so that's why the results improved
344. 14:44all right so at this point this is the
345. 14:46result that I had but I wasn't super
346. 14:48happy with it and I wanted to improve it
347. 14:50again so here's what I did I went back
348. 14:53and ask the same questions but this time
349. 14:56not from chat gbt o1 preview but from
350. 14:59chity for all model and it gave me
351. 15:03pretty much the same result except it
352. 15:05suggested this which changed everything
353. 15:08for me it said the choppiness index
354. 15:12purpose this is a lesser known but
355. 15:14powerful indicator to measure Market
356. 15:16consolidation choppy versus trending
357. 15:18condition conditions and that's exactly
358. 15:20what we always want in a trend following
359. 15:21strategy right and that's why we use the
360. 15:23adx always so it's saying if the
361. 15:25choppiness index is high avoid taking
362. 15:27breakout trades because the market is
363. 15:30likely to be ranging only take trades
364. 15:32when the choppiness index is low
365. 15:34indicating that the market is in a
366. 15:35training phase so let's go back and code
367. 15:40it so I'm going to
368. 15:44say the let's call it chop and say
369. 15:49whether or
370. 15:50not the Chop for the current candles are
371. 15:55below
372. 15:5640 and come down here
373. 16:00and add this as another entry
374. 16:04rule go back to Jesse and rerun this and
375. 16:09look at that our panl went up the equity
376. 16:13Cur looks much better the max Ron came
377. 16:16down to minus 133% so this means we can
378. 16:19add to our position to get the same Max
379. 16:21Ron as before but this time we would get
380. 16:23even better panl I'm going to show you
381. 16:25that in a minute so the win rate
382. 16:27actually went up to 40 % the average win
383. 16:31to loss is 2.49 which is absolutely
384. 16:35amazing and the sharp is
385. 16:381.05 all right so why do I say the max Z
386. 16:42here is really important now what did we
387. 16:44have before actually let's bring this
388. 16:46back and go to here and just return true
389. 16:50so that this won't be used anymore and
390. 16:53run it again to see what numbers we had
391. 16:56now
392. 16:57here the Max zon was-
393. 17:0020% and the panl was 40 here the max zon
394. 17:04isus 133% so that means I can just go to
395. 17:09my code and if I return the chop but
396. 17:12this time add to my position let's say
397. 17:14multiply it by a number such as
398. 17:181.8 to use leverage in other
399. 17:22words and go back and run it
400. 17:27again this time when we get
401. 17:29approximately the same Max Thro number
402. 17:32the p&l instead of 40% is now at
403. 17:37106% which is pretty amazing all right
404. 17:40so I really like these numbers and I'm
405. 17:43going to submit this strategy for free
406. 17:45on our strategy index page so if you
407. 17:47want to use source code you can just
408. 17:48copy it from there but I also kept
409. 17:51working on it and tweak the parameters a
410. 17:53bit did some optimization and I was able
411. 17:55to improve the results up to this so
412. 17:59instead of 100% for a Max ofus
413. 18:0322% I got it up to
414. 18:0739% with a Max Run of minus 18% so it
415. 18:11was a huge jump in the results and I'm
416. 18:13going to also submit this one as a
417. 18:15premium strategy again to our strategy
418. 18:17indexing page I hope you guys learned
419. 18:18something from this video I know I did
420. 18:20especially the choppiness index
421. 18:22indicator which I didn't know about
422. 18:24before and if you guys want me to create
423. 18:26more videos like this one please let me
424. 18:27know and by the way I've been working on
425. 18:29some other types of strategies such as
426. 18:31GRE trading and also trading using
427. 18:33Fibonacci lines and the results of them
428. 18:35weren't really great so that's why I
429. 18:37haven't created a video about them yet
430. 18:39but if you guys want me to make videos
431. 18:41about experiments that are really fun
432. 18:43and something that you might be curious
433. 18:45about too but the results just aren't
434. 18:47that profitable let me know down in the
435. 18:49comments and as always we're going to
436. 18:50have a giveaway a random person who
437. 18:51likes this video post a comment and
438. 18:53subscrib to the channel is going to
439. 18:55receive 1 million bnk token let's pick
440. 18:56the winner for my previous video
441. 19:00and the winner is this was great thank
442. 19:02you so much for your comment please
443. 19:03reach out to me so that I can send you
444. 19:05your bunk tokens thanks for watching
445. 19:06guys and I'll see you in the next one
446. 19:09[Music]