GPT: ADX scalping strategy in Python makes 4479% — Transcript

Full transcript

1. 0:00Hey guys, so today I'm going to show you
2. 0:01a scalping strategy which not only is
3. 0:04super simple but the result of it is
4. 0:06probably the best that I have achieved
5. 0:08yet. First I'm going to show you the
6. 0:10entry and exit rules of the strategy on
7. 0:12trading view and then I'm going to use
8. 0:14GPT to convert those rules into Python
9. 0:17code so we can run some back test on it.
10. 0:19So if that all sounds good, let's get
11. 0:20right into it. First let's talk about
12. 0:23the entry rules of the strategy. The
13. 0:25main indicator of this strategy is
14. 0:27called the directional index. So let's
15. 0:30add it to our chart. This indicator is
16. 0:32very simple. We have three lines. The
17. 0:34red line here is simply the ADX
18. 0:36indicator which shows us the strength of
19. 0:39the trend. Because this is a trend
20. 0:40following strategy. We only want to take
21. 0:42trades when the volatility is high. And
22. 0:44that's what the ADX does. So let's add
23. 0:46the threshold of 50. So we will only
24. 0:49take trades when this red line here is
25. 0:51above the threshold. Next, we use this
26. 0:53blue and the orange line in order to
27. 0:55determine the direction of the trend. If
28. 0:57for example in here the blue line is
29. 0:59above this orange line, we are in an
30. 1:01uptrend which we can clearly see here.
31. 1:03And if the orange line crosses the blue
32. 1:05line, for example in here, we are in a
33. 1:08clear downtrend. By combining the
34. 1:10direction of the trend and also the
35. 1:12strength of it using the ADX, which is
36. 1:14this red line here, we have a pretty
37. 1:16good indicator for taking trades when
38. 1:18the volatility is high. Now, other than
39. 1:20this indicator, we also use an
40. 1:22oscillator. Now, you probably already
41. 1:24know such as the RSI or stocastic, but
42. 1:27in this strategy, we're going to use
43. 1:29Williams percentage R. So, let's look it
44. 1:32up on Trading View. Williams percent
45. 1:36range.
46. 1:37It looks like any other oscillator
47. 1:39except that usually we have the values
48. 1:42of 20 to 80 for a typical oscalator. But
49. 1:46for this one, we have minus 80 and minus
50. 1:5020. And we want to take a long trade,
51. 1:51for example, in here where the price is
52. 1:53oversold. And we want to take a short
53. 1:55trade, for example, in here when the
54. 1:57price is oversold. And that's it. Those
55. 1:59are the only two rules that we have for
56. 2:01this strategy. But now, let's talk about
57. 2:03the exit rules. Now, for the stop loss,
58. 2:05I'm going to use a super simple method
59. 2:07that I actually have never done in my
60. 2:09previous videos, and that is simply
61. 2:10using an SMA or moving average. Simple
62. 2:15but changing the value of it from 9
63. 2:20into 50.
64. 2:23So let's hide these two.
65. 2:26All right. So if we are taking a long
66. 2:29trade, we want to use this blue line. So
67. 2:31whenever the price hits this 50 moving
68. 2:33average, we're saying, hey, the trend is
69. 2:35over and I don't want to be in this
70. 2:37trade anymore. And if it's a short
71. 2:39trade, we again use this moving average.
72. 2:41And for example in here we would have
73. 2:43hit our stop loss. As for the take
74. 2:45profit if it's a short position. So
75. 2:47let's say this is a short trade that we
76. 2:48were taking. And let's say we enter the
77. 2:51trade in here. For the take profit price
78. 2:53I want it to be the lowest value of the
79. 2:55price in the last 30 candles. So if you
80. 2:58do it in here it's going to be at here
81. 3:01and we would have hit this price at this
82. 3:03point. Now if it's a long position we
83. 3:05want to do the opposite. So I want the
84. 3:07highest value of the price in the last
85. 3:0930 candles. So for example, if we had
86. 3:11opened the position in here or in here,
87. 3:13it doesn't really matter. The highest
88. 3:15price would have been at this point
89. 3:17which we would have reached here. Now we
90. 3:19do have another exit rule of the
91. 3:21strategy and that is let's say we open a
92. 3:23long position but for whatever reason
93. 3:26the direction of the trend has now
94. 3:28changed. It is now in a downtrend. Then
95. 3:30we want to close the position. All
96. 3:32right. Now that we have all the entry
97. 3:34and exit rules of the strategy, we can
98. 3:36begin feeding it into our GPT to write
99. 3:38the Python code for us. So we can run
100. 3:40some back test on it. Now in case you're
101. 3:42not familiar with this service which we
102. 3:44call Jess GPT, it is our own customized
103. 3:46version of GFT which uses all sorts of
104. 3:49LL models such as Gemini, deepc cloth or
105. 3:52whichever edge model really and you can
106. 3:54get it started with it completely for
107. 3:56free. But for whatever reason, let's say
108. 3:58for a privacy concern or let's say you
109. 4:00don't like the pricing of our website,
110. 4:02you can watch my previous video which
111. 4:03I'm going to link somewhere on the
112. 4:05screen which teaches you how to
113. 4:06self-hosted yourself. So again, using
114. 4:08this service is not mandatory, but
115. 4:10that's what I'm going to use in this
116. 4:12video. All right. So I simply wrote down
117. 4:14whatever I just described to you on the
118. 4:16chart and I'm asking it to write me a
119. 4:18strategy. And here are the rules. For a
120. 4:21long position, I want the directional
121. 4:22indexes plus value, which is this blue
122. 4:25line here, to be above the minus, which
123. 4:29is this orange line here. And I also
124. 4:32want the ADX value to be above 50, which
125. 4:34again is this red line here. As for the
126. 4:37stop loss, I want the SMA with a period
127. 4:39of 50. For the take profit, if it's a
128. 4:41long position, I want the highest high
129. 4:43of the last 30 candles. And if it's a
130. 4:45short position, I want the lowest low of
131. 4:47the last 30 candles. Also for opted
132. 4:49position assuming we already have an
133. 4:51open position close if entry rule is the
134. 4:54opposite directional now and as for the
135. 4:56risk management I'm saying risk 3% per
136. 4:58each trade and use the market order for
137. 5:01entry and that's all I am feeding this
138. 5:04LLM. Now, one more thing. I want to
139. 5:05change the model, but I'm going to have
140. 5:07to copy this value. Change this into
141. 5:11cloud set, which is my favorite coding
142. 5:13model. And paste it again here. And hit
143. 5:16the enter to get the response.
144. 5:20And it has started writing it for us.
145. 5:24This looks really nice.
146. 5:27Let's wait for it to finish. And boom,
147. 5:30we're done. Now, usually I change the
148. 5:31names that these models give to the
149. 5:33strategy, but I think this one is quite
150. 5:35nice. So, let's copy it and go to the
151. 5:37Jess's dashboard and create a new
152. 5:39strategy and I'm going to paste that
153. 5:41value here. Next, I'll go to VS Code,
154. 5:43which is my editor, and I will look it
155. 5:45up. And then I'm going to go back to
156. 5:47Jesse GPT, copy this whole thing, go
157. 5:51back here, and paste it.
158. 5:53Now, let's go through it, see how it
159. 5:55looks like. So the definition of ADX
160. 5:58indicator is perfectly fine. The
161. 6:00directional index is also fine. The 50
162. 6:03moving average is great. The highest
163. 6:06high it is using the max of the last 30
164. 6:09candles and the index of three. Now
165. 6:12remember the index of zero is the time
166. 6:14stamp of the candle. One is the opening
167. 6:16price. Two is close. The three is the
168. 6:19high. So this is perfectly right. The
169. 6:21lowest low is also correct. The inter
170. 6:23rule for short positions is the DI plus
171. 6:27must be above the DI minus. The inter
172. 6:30rule for the long positions is that the
173. 6:32plus value must be bigger than minus and
174. 6:35the ADX must be above 50. This is
175. 6:37correct, but I think it forgot the
176. 6:39oscalator. Actually guys, I forgot to
177. 6:41tell the model about the oscalator. So
178. 6:43let's ask it to add that to the code.
179. 6:45Please also use an oscalator for the
180. 6:47entry of the strategy. If the value of
181. 6:50the Williams percentage R is below minus
182. 6:5380, we want to look for long positions.
183. 6:56And if it's above minus20, we want to
184. 6:58look for short positions. Let's hit
185. 7:00enter.
186. 7:05Let's wait for it to finish. All right,
187. 7:07let's go back here. Copy this value. Go
188. 7:11back. Paste it here. All right, so let's
189. 7:13go up. Here's the definition of Williams
190. 7:16R. And you can see this is correct
191. 7:18because if I hold the option key I can
192. 7:21see its definition. So I know the syntax
193. 7:23is correct. Everything else is
194. 7:25untouched. Now our entry rule is also
195. 7:29saying that the value of Williams R must
196. 7:31be below minus 80. For a short position
197. 7:34it says it needs to be above minus20. I
198. 7:37also like these little comments that it
199. 7:39added. Now as for the position sizing
200. 7:42it's using the market order for entry.
201. 7:45The surplus is the current SMA 50 which
202. 7:48is exactly what we asked. And as for the
203. 7:50quantity, it is risking 3% which is
204. 7:52exactly what I asked and it is
205. 7:55submitting the buy order with the exact
206. 7:57correct syntax of Jesse. Now as for the
207. 8:00short position, it's doing the exact
208. 8:01thing except that instead of using the
209. 8:04selfby variable for submitting the buy
210. 8:07order in Jesse, we use self.ell. And
211. 8:10again the first parameter is the
212. 8:12quantity of the order and the second one
213. 8:13is the entry price. We're also saying
214. 8:15once the position is opened if it's long
215. 8:17position the stop loss is going to be
216. 8:20the quantity of the current position and
217. 8:22the price is going to be the current SMA
218. 8:2650. As for the take profit we're using
219. 8:29again the quantity of the current
220. 8:31position and the price of it is being
221. 8:33the highest high which again this is the
222. 8:36definition of it. So we're getting the
223. 8:38last 30 candles here but only their high
224. 8:42price which has index of three and we're
225. 8:44getting the max value of it and if it's
226. 8:46a short position we do just the
227. 8:48opposite. Now we're also saying how to
228. 8:50update the position. So assuming we do
229. 8:52have an open position now we're saying
230. 8:54if it's a long position and the rules
231. 8:56inside the shoot short function are now
232. 8:58true liquidate the current position and
233. 9:02if it's vice versa do the opposite. And
234. 9:05if it's the opposite, again, liquidate
235. 9:07the position. So, this seems actually
236. 9:09perfect. I don't think there's going to
237. 9:10be any errors. So, let's copy the name
238. 9:12of the strategy. Go back to Jesse and
239. 9:15look up the name of the strategy here.
240. 9:17All right. So, if you don't see it here,
241. 9:19just give it a refresh. All right. So,
242. 9:20it seems like once we ask the LLM to add
243. 9:23the Williams percentage R indicator to
244. 9:26the strategy, it also changed the name
245. 9:28of it. So, now I could go back and run
246. 9:30it with the previous name. And this is
247. 9:32going to behind the scene change the
248. 9:34name to what it used to be without any
249. 9:36errors. Or we could create a new
250. 9:38strategy with this name because I I
251. 9:40think this name is actually better. So
252. 9:42let's go back to Jesse. Create a new
253. 9:44strategy with this name. Go back here.
254. 9:48Actually, let's look this up first. Copy
255. 9:50the whole thing and paste it here. So
256. 9:54now here I should be able to look it up.
257. 9:57ADX Williams strategy.
258. 10:00Let's change the time frame to 15 and
259. 10:03the symbol into BTC UC. The exchange is
260. 10:07Binance perpetual futures.
261. 10:09As for the duration, I'm going to do
262. 10:11this. So, let's begin since 2021
263. 10:15up until
264. 10:172022
265. 10:19and the debug mode should be off. I do
266. 10:23want to see the interactive charts. So,
267. 10:25let's leave this on. I want the fast
268. 10:27mode to be on and also the benchmark
269. 10:30feature. So, let's run this. Now, I'm
270. 10:33going to add another one and change the
271. 10:34duration to begin since 2022 up until
272. 10:372023
273. 10:39and then again
274. 10:42since 2023 up until 2024.
275. 10:45And then since 2024 up until 2025
276. 10:49and one last time since the beginning of
277. 10:522025
278. 10:54up until just a few days ago. So that
279. 10:57would be like the 12th of the month.
280. 11:01So let's start this one too. All right.
281. 11:03So if I go to the benchmark page, I can
282. 11:06see all the values simultaneously.
283. 11:08All right. So I really like these
284. 11:10numbers. So check this out. The sharp
285. 11:12ratio is 1.9 for 2021. It is two for
286. 11:172022, 1.7 in 2023, 1.2 in 2025, and 1.1
287. 11:25in 2025. So let's take a look at the
288. 11:29equity curve. All right, so this looks
289. 11:31fantastic by the way because if we
290. 11:34consider the draw down, it is minus 6%.
291. 11:37So that's crazy. But it also allows us
292. 11:40to add to the size of the position. So
293. 11:42this panel number that you see here, you
294. 11:45might think that's nothing. Well, we can
295. 11:47easily multiply the size of our
296. 11:49position. So let's go back and do that.
297. 11:51So I'm going to go to go long
298. 11:55and multiply my quantity by five.
299. 12:00And also do the same thing for my short
300. 12:02positions.
301. 12:04So let's go back to Jesse. I could rerun
302. 12:06this one by one or I could simply go to
303. 12:10the benchmark page and rerun all of them
304. 12:12at the same time. All right, so check
305. 12:14this out. Now the equity curve of our
306. 12:16strategy is clearly beating the market
307. 12:20in 2022. It also did the same thing. It
308. 12:23looks fantastic.
309. 12:25And again, just check out the draw down.
310. 12:27So with minus 25 even though the market
311. 12:30lost nearly 70%.
312. 12:33We made 210%.
313. 12:35The win rate would have been 60% the
314. 12:38sharp would have been near two and the
315. 12:40average holding time of the positions is
316. 12:42neared 8 hours which is really great
317. 12:44considering how hard it is to watch your
318. 12:47strategy do something and then maybe
319. 12:49lose at the end which makes it really
320. 12:50difficult to continue with the whole
321. 12:52trading. All right. On 2023,
322. 12:56this is our equity curve. We did not
323. 12:58beat the market, but we did end very
324. 13:00near. And I don't know the max of the
325. 13:03benchmark, which in this case is BTC UC,
326. 13:07but I still this equity curve looks fine
327. 13:09to me. In 2024,
328. 13:12we did beat the market up until here
329. 13:14until the price just went on a hike in
330. 13:16here. But overall, this equity curve
331. 13:18looks really good to me. And the max is
332. 13:20only minus 20%. So you could say we
333. 13:23could add even more to the size of the
334. 13:25position in this year. And if we did
335. 13:28that, we would have beaten the market
336. 13:30here. But the thing is, you never know,
337. 13:32right? Like this could have been also a
338. 13:34bad year. So you always want to be
339. 13:36careful not to add too much to the size
340. 13:38of your positions. Now in 2025, we did
341. 13:41end up beating the market. In the
342. 13:43beginning of it, we didn't do great, but
343. 13:45we still didn't lose much. And that's
344. 13:47really good for me because because the
345. 13:49beginning of this year actually was
346. 13:51really bad on most of strategies that I
347. 13:53know. And the fact that this one isn't
348. 13:55losing much, I consider that a win. But
349. 13:58if you do end up trading something like
350. 14:00this, please remember that, you know,
351. 14:02for even a few months, you may have been
352. 14:04in a loss. It wouldn't have been a big
353. 14:06loss, but still a loss. And that's going
354. 14:09to be really difficult from a psychology
355. 14:11point. So just remember that side of
356. 14:13trading is still difficult even if you
357. 14:15use an algo like this one. Now, I do
358. 14:17want to point this that because I added
359. 14:20to the size of my position and multiply
360. 14:21it by five. If you are running this back
361. 14:24test yourself, you do need to make sure
362. 14:26to go to the settings, find the exchange
363. 14:29that you're running the back test on,
364. 14:30and increase the leverage number. Now,
365. 14:32in here, it is set to 100 because of
366. 14:34another strategy that I was using. But
367. 14:36in this one, we don't need it to be this
368. 14:38high. We could use a number such as five
369. 14:40or six would be enough. And also because
370. 14:43we are using market orders in this
371. 14:45strategy, if you want to be careful and
372. 14:47consider the slippage value, which may
373. 14:49not be really important on an exchange
374. 14:51such as Binance, but in anyways, if you
375. 14:53want to do that, maybe just increase the
376. 14:55trading fees by a number such as this,
377. 14:57so that it would be more close to the
378. 14:59actual trading results that you will get
379. 15:01with this strategy. Now, let's do one
380. 15:03more thing. I want to run another back
381. 15:04test since the beginning of 2021 up
382. 15:08until this stage. So we can see the
383. 15:10total equity curve.
384. 15:15So while that's going, I want to quickly
385. 15:16remind you guys about Apex Omni, which
386. 15:18is my favorite deck made by the team
387. 15:21behind Bybit. It has low trading fees,
388. 15:23instant order execution, and of course,
389. 15:25no KYC whatsoever. If you're going to
390. 15:28check him out, please consider using our
391. 15:29link, which not only will give you
392. 15:31trading fee discounts, but it will also
393. 15:33support me in order to make more videos
394. 15:35like this. All right, so check this out.
395. 15:36We finished the back test for more than
396. 15:39four years in near 100 seconds and we
397. 15:43ended up making 4,400%
398. 15:45in P&L. So assuming we started with
399. 15:4810,000 in trading capital, we would have
400. 15:50finished with nearly half a million. The
401. 15:52max lodon was minus 30. The win rate was
402. 15:5561%. The sharp ratio was 1.66 which is
403. 15:59absolutely amazing over this long period
404. 16:02of time. and our average holding time
405. 16:04would have been about 14 hours. All
406. 16:06right, so this looks really good. Now, I
407. 16:08also want to show you guys something
408. 16:09else. So, let's take a look at the
409. 16:11interactive charts which shows us the
410. 16:14trades that the strategy took. So, here
411. 16:16you can see the example of a losing
412. 16:18trade. So, it opened a long position,
413. 16:20but it had to open it right here. And
414. 16:23here is an example of a winning trade.
415. 16:25So, it would have shorted in here and
416. 16:28closed the position in here. So I'm
417. 16:30guessing this would have been the exact
418. 16:32price because this was the lowest low
419. 16:34value. We can also check out another
420. 16:36one. So here we would have gone long and
421. 16:40closed it in here. Again, this highest
422. 16:43high would have been the takerit. Now we
423. 16:45could also do something really cool. We
424. 16:47could also see the values of the
425. 16:48indicator while this trade was taken. So
426. 16:51I went back to JCGPT and I simply said
427. 16:53add indicator values to the interactive
428. 16:55chart so I can see them. and it gave me
429. 16:58the new code, but I just want this part.
430. 17:01So, let's copy it. Go back to the code
431. 17:05and add it here. Now, by the way, this
432. 17:07watch list that it added here is really
433. 17:09useful for live trading, but it has no
434. 17:12use case in back testing. All right, so
435. 17:14let's go back to our editor
436. 17:16and paste it here. Now, in case you're
437. 17:18not familiar with it, this is the syntax
438. 17:19we use for displaying the indicator
439. 17:22values to the chart. You can check it
440. 17:23out on our documentation or watch my
441. 17:25previous videos about it. So, but in
442. 17:27this case, we just got it from Jess GPT.
443. 17:30And if I go back and rerun this one more
444. 17:32time, but just so that it would be
445. 17:34quicker, let's run this one.
446. 17:38All right. So, we're getting an error.
447. 17:39It's saying that there's no attribute
448. 17:41with this name. So, let's go back.
449. 17:45And yeah, we don't have this. We have
450. 17:47this one. Okay. So, this one also seems
451. 17:50to be wrong. So, let's All right. So, it
452. 17:53didn't get the names of this correct,
453. 17:55but it's not that bad. So, let's just
454. 17:57manually change them.
455. 18:04Okay. So, actually, I'm guessing this is
456. 18:06happening because I didn't copy the
457. 18:08whole thing. You know what? Let's
458. 18:09actually go back cuz I want to see if it
459. 18:13also changed the names of these in here.
460. 18:20So yeah, it did change the names of
461. 18:22those variables. So if I did copy the
462. 18:24whole thing from here, it would have
463. 18:26worked. But that's okay. Let's just
464. 18:28change this manually
465. 18:32and we should be good to go. So let's go
466. 18:34back to Jesse and run it one more time.
467. 18:39All right. So let's open the charts. All
468. 18:41right. So let's go to this one for
469. 18:42example, which is a losing trade. So you
470. 18:44see we opened it here and closed it
471. 18:46here. And you can also see the values.
472. 18:49So yes, the ADX was above the threshold
473. 18:51which in here is red. And the DI value
474. 18:54was also like this. So because this DI
475. 18:58plus value was above the DI minus which
476. 19:01is this red line in here, we opened the
477. 19:03long position and the William R was also
478. 19:06oversold. So all the entry rules were
479. 19:09met in here and you can clearly see
480. 19:11that. But still this was a losing trade
481. 19:13and you could use this scenario here to
482. 19:17maybe add another filter so that this
483. 19:19losing trade wouldn't have been taken.
484. 19:21But if you are going to do that be very
485. 19:23careful because that's basically the
486. 19:25recipe for overfitting. Now you could do
487. 19:28it a little bit and that's fine but
488. 19:30overdoing it is not okay. Also when you
489. 19:32do something to not take a losing trade
490. 19:35you're also going to not take some of
491. 19:36your winning trades. So it's not a
492. 19:38perfect system. Now let's check out a
493. 19:40winning trade. So let's double click on
494. 19:43this to reset it. All right. So we took
495. 19:45this right here. The ADX was clearly
496. 19:48above the threshold and the DI plus
497. 19:51value was below the DI minus and that's
498. 19:54because this was a short position and
499. 19:56the William R was also overbought. So
500. 20:00all the integer rules were met at this
501. 20:02point. Now I am going to submit this
502. 20:04strategy to our strategies index page
503. 20:07which allows you to see the results of
504. 20:09it for other symbols and also time
505. 20:12periods or time frames. You can also
506. 20:14download the code for previous
507. 20:15strategies that I have created. So I
508. 20:17actually really like the results of this
509. 20:19strategy and I think I'm going to keep
510. 20:20working on it. I may even create a
511. 20:22premium version of it and again submit
512. 20:24it to our strategies page. Now before I
513. 20:26leave, we're going to have a giveaway. A
514. 20:28random person who likes this video, post
515. 20:29a comment and subscribes to the channel
516. 20:31is going to win 1 million bank token.
517. 20:33All right, let's pick the winner from
518. 20:34the previous video and the winner is
519. 20:36Antune Line. I hope I didn't butcher
520. 20:39your name. Thank you so much for your
521. 20:40comment. Please reach out to me so that
522. 20:42I can send you your bank tokens. Thank
523. 20:44you guys for watching and I'll see you
524. 20:45in the next one.
525. 20:51[Music]
526. 20:52[Applause]
527. 20:54[Music]