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Cloud Scalping Strategy in Python Makes 223% — Transcript

by Algo-trading with Saleh · 3,454 words · 471 segments · language en · Watch on YouTube

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0:00hey guys so in this video I'm going to
0:02disclose one of my best personal
0:04scalping strategies not only it produces
0:06decent results but the good news is that
0:09I've done zero optimization on it that
0:11means it has a very low chance of being
0:13overfit and I really like that and it
0:15even gives me confidence to add the size
0:17of the position before adding leverage
0:18to it it has a max throw down of minus
0:216% over the last year which is
0:23absolutely amazing so anyways let's get
0:25right into
0:26it the main indicator of this strategy
0:29is the M Cloud so let's add it to our
0:33chart all right this green line here is
0:36pretty much useless so I'm going to
0:37remove that all right the in rule of the
0:41strategy is very simple we want to go
0:43long when the trend here is bullish now
0:45what do I mean by that I need the
0:47conversion line which is this blue line
0:49here to be above the base line which is
0:51this red line right and you can see an
0:53example of that happening in here
0:54however we don't go long just yet we
0:57need confirmation and for that we wait
0:59until till the cloud itself which is
1:01made of two lines a span a and a span B
1:04right we need this also to show us an
1:06uptrend and that didn't happen until
1:09here so this would have been where we
1:11would have gone long in this strategy
1:13now in this example you might be
1:15thinking oh wouldn't have been better if
1:16you went long here well yeah it would
1:18have but this is an easy example trust
1:20me there's going to be lots of
1:21situations where there would have been a
1:23false breakout but because we have
1:25confirmation we wouldn't have fall into
1:27those traps and for a short position we
1:29would just do the opposite all right so
1:31let's go to Jesse and create a new
1:33strategy I'm going to name it Cloud
1:36scalper next I'm going to open my vs
1:38code editor which is way smarter than J
1:41built-in editor and I'm going to look
1:43for it Cloud scalper now first I'm going
1:46to define a new
1:48property and I'm going to call it Trend
1:51now in it I'm going to define the ichim
1:53cloud and we can do that simply by
1:55saying Cals
1:58ta. h
2:00cloud and I'm just going to pass the
2:03current
2:04candles and even though we can pass some
2:07parameters I'm not going to do that
2:09because I want to make sure that the
2:10strategy is as simple as possible to
2:13lower the chance of overfitting the
2:14strategy all right when would it be an
2:17uptrend I'm going to say if C Dot and as
2:20I mentioned on the chart I want to make
2:22sure the conversion line is above the
2:25Baseline right but I also want to make
2:28sure that the span a is above the span B
2:31again as I described it here so this is
2:33the conversion Line This Is The Base
2:34Line This is span a and this is span B
2:37all right if this is the case I want to
2:39return one if it's the other way around
2:42I want to return minus one and if it's
2:44neither I want to Simply return zero all
2:47right for the entry rule I want to
2:49Simply say if the current Trend equals 1
2:52for my short entry I want to say the
2:53opposite so return true if the current
2:56Trend equals minus one let's also remove
2:59this commment code and also this one
3:02let's say the entry rule is met and I
3:04want to enter a position the entry price
3:06is going to be the current price because
3:08I want to open the position using a
3:10market order and as for the quantity of
3:12the order or my position I want to risk
3:143% of my total capital and we can
3:16calculate that very easily using Jesse's
3:19risk to quantity utility function the
3:21first thing that it needs is the current
3:23capital and I'm going to pass the
3:26current available margin the second is
3:28the risk per capital and I'm going to
3:30pass 3% and next we have the entry price
3:33so I'm going to pass entry and then we
3:35need the stop loss now I forgot to do
3:37that so let's do that here now for the
3:39Stop Plus I want it to be the entry
3:42price minus the ATR indicator which I
3:45can get by saying ta. ATR and then
3:48simply passing the current candles and
3:50again I'm not going to change the
3:52parameters and I want to multiply that
3:54by 2.5 because I don't want the stop to
3:57be very close to the entry price because
3:59then you're going to miss out on so many
4:01good opportunities right so now that we
4:03have the stop I can pass it here and
4:05next we have the Precision which I'm not
4:07going to touch here but for the fee rate
4:10I'm going to pass the fee rate of the
4:13current exchange that I'm trading all
4:14right now that we have both the price
4:16and the quantity I can simply say self
4:18buy equals quantity and then the entry
4:21price as my go short method I'm going to
4:23do the opposite so again using the entry
4:25price the stop is now entry plus 2.5
4:28times of the current at R because it's
4:30for a short position and then for the
4:32quantity I did exactly the same however
4:34instead of calling The self. Bu to
4:36submit the order I'm using self. self
4:38right now what about taking profit for
4:40that I'm going to use the on open
4:42position method which will be executed
4:45as soon as the position is open and in
4:47it I'm going to say this if is for a
4:50long position which we can get by saying
4:53if self do is long in it I'm going to
4:55say this self. takeprofit equals now
4:59this this is again an order so we need
5:01both the quantity and the price as for
5:03the quantity I'm going to say the
5:05current position it's
5:08quantity and then as the price I'm going
5:10to say this the current price whatever
5:13it may be
5:15minus the current
5:18ATR again I passed the candles
5:21multiplied by 3.2 now notice that our
5:25profit margin is being a little bit more
5:27than our risk which means we're going to
5:29make more money on our winning trades
5:31than we would be losing on our losing
5:33trades now this was the takeprofit but
5:35what about the Stop Plus because yes I
5:37esfi the stop price here because I
5:39needed to use it here but I didn't
5:42submit the stop loss order ever and I
5:44could have done that here by the way in
5:46Jesse you can submit both the stop loss
5:48and the take profit right inside your go
5:50long or go short position but the
5:52problem is that you can only do that for
5:54futur trading not for stop trading so as
5:56a result I've learned to always do it
5:58inside my own open position Method All
6:01right so next I'm going to say self
6:03suplus equals the quantity of the
6:05current position and the price is going
6:07to be the current price minus 2.5 * the
6:10current ATR and next I'm going to say if
6:13it's a short position I simply want to
6:15do the opposite now we have both the
6:16inter Rule and the exit rule of the
6:18strategy and also the position sizing so
6:21now we can start the first back so let's
6:23go back to Jesse and open the back
6:25testing section and I'm going to choose
6:27cloud
6:31scaler and I'm picking the 15 minutes
6:33time frame BTC UCT on binance Perpetual
6:37Futures and the duration is since the
6:39beginning of
6:402024 up until yesterday I've turned on
6:44the fast mode and also the
6:49Benchmark now it didn't execute any back
6:52test so let's check out our in rule
6:54right here's the issue in here I said
6:56when the span a is bigger than span a it
6:58should have been
7:03B all right let's go back and rerun it
7:05one more time and there we go this chart
7:08doesn't seem normal it seems like it's
7:10not actually closing the position so
7:12let's go back to the code and check our
7:14exit rules so okay so you see the take
7:17profit for a long position it should
7:19have been plus the current ATR and for a
7:23short position it should have been minus
7:26all right so let's go back and re it one
7:28more time
7:30all right so there we go now this is
7:32natural you see we're not doing well
7:34against the market and the reason is
7:35we're taking too many trades you see we
7:37traded more than 1,000 times and we paid
7:40more than $6,000 in trading fees and of
7:42course all the numbers don't look good
7:44however I didn't expect to be profitable
7:47just yet because you can never find a
7:48good strategy by using simply one
7:51indicator all right let's go back to the
7:52Chart now the first thing that I like to
7:54use with this type of strategies is the
7:57adex indicator so let's add it to our
7:59chart all right so you see this is the
8:00adx and the way the adx works is that
8:03when its value is going up it means that
8:05the trend in Market is getting stronger
8:08and when it's slow it means we are more
8:10likely in a ranging market so I want to
8:12set a threshold at 50 and I only want to
8:15take trades when the adx is above this
8:17threshold so let's go back to the code
8:19and I'm going to define a new property
8:22and I'm going to call it adx and in it I
8:25will say this return true if ta. a adx
8:30and then I will pass the current candles
8:32I want its value to be above
8:3450 that's it and then I will go back to
8:38the shoot long method and I will simply
8:40say and self. adx and I will do that
8:44also for my short position so let's go
8:46back to Jesse and rerun the backest one
8:48more
8:49time there we go so you see it's not
8:52doing as bad as before because the
8:54number of Trades instead of being more
8:56than 1,000 it is now 129 which is is
8:59still too high by the way but anyways
9:01the max zon is minus 22 which is really
9:04good even at this point all right now I
9:06also want to do something else just to
9:08make sure that we are trading with the
9:10best time frame let's also add another
9:12back test for the time frame of 30
9:14minutes and another one for the
9:17hourly and just so we can see the
9:20results very quickly oh by the way in
9:22this one we're actually making some
9:24profit not bad and with this one we're
9:29do doing even better all right so let's
9:31open The Benchmark so we can see all the
9:33results simultaneously now the hourly
9:36let's add the time frame to this table
9:39right so the hourly is actually already
9:42doing great its Max R is minus 8.5 so I
9:46really like this so I'm just going to
9:49make a copy of this the results of the
9:52hourly time frame already look really
9:55great so even though I want to continue
9:58I'm going to do one thing I'm going to
10:00copy the code and in Jesse I will create
10:03a new strategy and I will call it
10:08Cloud
10:10scalper 1
10:13hour
10:17hourly and I will just paste it here all
10:20right let's go back to the chart and add
10:22the next indicator that I'm going to use
10:24which is BPW or a Ballinger band width
10:28I'm going to pick this one
10:30you see the value of the BBW it goes up
10:33when the fluctuation in the price is
10:35also high and then it comes down when we
10:37are again in a Range market now even
10:40though this is a turn following a
10:41strategy I don't want to take a long
10:43position when the price has already gone
10:45up very fast very quickly so I don't
10:47want its value to be more than five in
10:50these examples that you can see on the
10:52chart the value for it is actually below
10:55five so we would still take these trades
10:57but recently I found that when I add
11:00this very simple filter it improves my
11:02results so I'm going to back to the code
11:05and add another filter and I'm going to
11:08say
11:09property and then BBW and in it I will
11:13say return true when the current BBW is
11:16more than 5% now I'm going to make this
11:18into five and then just to make sure
11:21this value is between 0 and 100 I will
11:23multiply it by 100 to get the same
11:26result that I would on trading view next
11:28I will go to my entry Rule and simply
11:31add this and also here so let's go back
11:34to
11:35Jesse Let's Open The Benchmark page and
11:38rerun all the
11:42values all right we're getting an error
11:45it is saying that BBW doesn't
11:48exist okay let's
11:52see BBW okay it is called Ballinger
11:56bands with
11:59let's go back to the benchmarking page
12:02and rerun everything now while that is
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12:31got a little bit in the 50 minutes but
12:33not so much in the 30 and the hourly all
12:36right next I want to use a very simple
12:38indicator the EMA which I'm sure all of
12:41you guys already know so let's open it
12:43the moving average
12:45exponential let's remove this one and
12:49also hide the HMO
12:51cloud and I'm going to change its period
12:55to from the default which is 9 to 200
13:00however I won't simply use it like this
13:03trading the current time frame I wanted
13:05to trade the anchor time frame which if
13:08I want to do it on trading view I should
13:10go to the settings and here we can
13:12change the time frame from the chart to
13:14something else and I want it to be 4
13:17hours so you see now this line will move
13:19very slowly so it won't just jump on a
13:22trade as soon as the price moves towards
13:24a certain direction so let's go back to
13:26Jesse so first I want to define a new
13:28proper property so I will say
13:31property def big candles we could also
13:36call it anchor candles doesn't really
13:38matter and in it I will say return self
13:43getet candles the first parameter is the
13:46current exchange next it is the current
13:50symbol and as for the time frame I will
13:52pass 4 hours now I can Define the EMA I
13:57that I needed so I'm going to say
14:01longterm
14:05Trend and no it is not using that I'm
14:08going to say return one if T EMA and
14:13instead of passing the current Candles
14:15now I will pass the big
14:17candles and as for its period I will set
14:20number
14:22200 so actually I want to say if the
14:26current price is above the current EMA
14:31return
14:31one else return minus one for a
14:34downtrend all right so now I can go back
14:37to my inter Rule and add it here and one
14:41more time for the short position now
14:43let's go back to
14:45Jesse the benchmarking page and rerun
14:48everything one more
14:51time all right so the result doesn't
14:54look good but I actually went back and
14:58realized that I made another mistake in
15:00the source code so you see in here I
15:02wanted the BBW to be below five not more
15:05than that so let's go back and rerun
15:08everything one more time all right so
15:12the hourly looks incredibly good
15:15although the sharp isn't as high as the
15:1615 minutes so you
15:19see so on the 15 minutes time frame this
15:23looks
15:24fantastic this p&l is good the max R
15:27down ofus 6% is is absolutely amazing
15:30the win rate is at
15:3260% the sharp ratio is two the calmer
15:35ratio is five so this looks very
15:38promising and good all right now you
15:40might be asking yourself okay you say
15:42this is good but we're not even beating
15:44the market well here's the thing yes we
15:47didn't make as much as the market but
15:49the max thrown of our Equity curve is
15:52extremely low which means this allows me
15:55to add to the size of my position
15:57without worrying and that is why the
15:59sharp ratio and the calar ratio are so
16:01good even though we haven't beaten the
16:03market so let's go back to the source
16:05code and go to the goong method now if I
16:10simply multiply my quantity by a number
16:13such as let's say
16:18three actually let's do
16:23four and rerun everything just one last
16:28time
16:30all right so let's go back to the equity
16:32curve you see now we are indeed beating
16:36the market and yet my Max thrw down is
16:39minus 23% so and this isn't even the
16:42maximum risk that I'm willing to take up
16:44until minus 30% is perfectly fine for me
16:47so I can even go back and multiply this
16:49by let's say
16:55five and run it again
16:59all right so now with a Max Ron of minus
17:0328% which is still fine we are
17:06definitely beating the market if we made
17:09223% profit in almost one year the max
17:13starton is
17:16awesome the expectancy is
17:182.5% the win rate of course is the same
17:22and so are the sharp and the calmer they
17:24are a slightly changed but it doesn't
17:25really matter now the Third minutes also
17:29looks good but not as good as the 15
17:32minutes so I think it's fine to retire
17:35this one the hourly doesn't look bad but
17:38I don't think it looks as good as the
17:39one that we had before so let's also try
17:43back testing this one using Cloud
17:46scalper hourly the one that I created
17:48earlier so let's also backest this one
17:53so this does look good but the max is
17:55too low so to get better p&l I can also
17:58multiply this by numbers such as three
18:01at least so let's go and find the cloud
18:06scale per
18:09hourly let's find the quantity and
18:12multiply this by
18:18three let's rerun
18:20it okay this does look better but the
18:23max return is at minus
18:2524% not as big as this let's go to The
18:29Benchmark so you see if instead of
18:31looking at the p&l we look at the sharp
18:33ratio or even the calmer ratio we can
18:35clearly see which one is the winner the
18:3715 minutes is the winner because it has
18:39the highest sharp ratio and the calel
18:41ratio even though the hourly still looks
18:44pretty fine to me I'm going to leave it
18:46at here because the strategy is
18:48performing extremely well without me
18:50even optimizing it in any way which is
18:52great because it lowers the chance of
18:53the strategy getting overfit I'm going
18:55to submit this strategy to our
18:57strategies index page so you you guys
18:59can see the results for other time
19:00frames or time periods in time I will
19:02also try my best to create a premium
19:04version of this strategy and also submit
19:06it to our strategies now before I leave
19:08we're going to have a giveaway a random
19:10person who likes this video posts a
19:11comment and subscribes to the channel is
19:13going to win 1 million Bank token right
19:16let's pick the winner for the previous
19:17video and the winner is wow I'm blown
19:20away this is your best video ever I'd
19:22love to followup video thank you thank
19:24you so much for your positive comment
19:25please reach out to me so that I can
19:27send you your bnk tokens thanks for
19:28watching I'll see you in the next one
19:36[Music]
19:37[Applause]
19:39[Music]

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