GPT: Triple moving average strategy in Python makes 4983% — Transcript

Full transcript

1. 0:00Hey guys, it's So today I'm going to
2. 0:01show you a strategy which is super
3. 0:04simple and yet the result of it is
4. 0:06pretty great. It's a trend following
5. 0:08strategy, but you could kind of say it's
6. 0:10a mini version because we're going to
7. 0:12use limit order to open the position at
8. 0:14a pullback. Now, I'm not going to write
9. 0:16the code of the strategy myself.
10. 0:17Instead, I will be using GPT to convert
11. 0:20the logic of the strategy. So that means
12. 0:22the entry and the exit rules of it into
13. 0:24Python code so we can run some back test
14. 0:27on it and see some charts and numbers.
15. 0:29So you're going to see that even if your
16. 0:30Python knowledge isn't great, you can
17. 0:32get started. So if that sounds good,
18. 0:34let's get to it. The main indicator of
19. 0:36this strategy is called TEMO, which is
20. 0:38stands for triple exponential moving
21. 0:40average. So let's look it up on Trading
22. 0:42View
23. 0:45and add two of it. Change the period of
24. 0:49them to be 10
25. 0:54and
26. 0:5680.
27. 0:59Now the entry rule is very simple. When
28. 1:01this orange line which is temo with the
29. 1:03period of 10 goes above the purple line
30. 1:06which is temo with the period of 80, we
31. 1:09consider that an uptrend. When it's vice
32. 1:11versa, we consider it a downtrend. But
33. 1:13first I want to show you the difference
34. 1:15between tema indicator and the good old
35. 1:17EMA. So let's disable the one with the
36. 1:20period of 80 for a second. Add a regular
37. 1:24EMA.
38. 1:26change its period to equal the same
39. 1:29which is 10. All right. So this orange
40. 1:31line here is tema with the period of 10
41. 1:35and the blue one is EMA with the period
42. 1:37of 10. So they have the same period but
43. 1:39let's see how they behave. So for
44. 1:41instance in here you see when the price
45. 1:43starts to go up the TMA indicator which
46. 1:46again is this orange line it starts to
47. 1:48go up way faster. And for example, in
48. 1:51here where the price starts to go down,
49. 1:53you can see the Tema line goes down way
50. 1:56faster. Now to summarize it, you know
51. 1:57the issue with moving averages, which is
52. 1:59their lagging indicators. Well, if you
53. 2:02use Tema instead of the good old EMA,
54. 2:04you're going to have less lag. Or in
55. 2:06other words, it moves significantly
56. 2:09faster. All right, so let's change this
57. 2:12back to what it was. bring back the ter
58. 2:15with the period of 80 to have our inter
59. 2:19rule. Now the second rule of the
60. 2:20strategy is that we don't want to just
61. 2:22look into the short-term trend. We also
62. 2:24want to look at the long-term trend. Now
63. 2:27for that I'm going to use the same
64. 2:28indicator except with values of 20 and
65. 2:3070 but on the bigger time frame
66. 2:33specifically I want to use the 4our time
67. 2:35frame. Now before I forget the trading
68. 2:37time frame for this strategy is 30
69. 2:39minutes which is why it is considered a
70. 2:42day trading strategy. All right. Next,
71. 2:44we want to use a volatility filter. And
72. 2:46as most of my strategies, I'm going to
73. 2:48use the ADX in here.
74. 2:52So, basically, whenever this red line
75. 2:54goes above the green line here, which is
76. 2:56our threshold, we want to take the trade
77. 2:58or for example in here. All right. Next,
78. 3:00I want to use some kind of oscillator.
79. 3:02And for this strategy, I'm going to use
80. 3:04the Shae momentum indicator. So, let's
81. 3:07look it up on Trading View.
82. 3:12Now it is some kind of oscillator very
83. 3:14similar to RSI. But the main difference
84. 3:16you should care about is that it moves
85. 3:19faster. It is more sensitive to the
86. 3:21price change. So just like the TME
87. 3:23indicator which was more sensitive to
88. 3:24the good old EMA, the Shanda momentum
89. 3:27oscillator or CMO for short is also more
90. 3:31sensitive compared to a traditional
91. 3:33oscillator such as the RSI. And the
92. 3:35inter rule is very simple. So the
93. 3:37threshold is at 40 and also minus 40. So
94. 3:41basically whenever this line is above
95. 3:44our threshold we want to look for long
96. 3:46trades and whenever it is below minus 40
97. 3:49we want to look for short trades. All
98. 3:50right. So now we have all the entry
99. 3:52rules of the strategy. And as for the
100. 3:54position sizing as always I'm going to
101. 3:56risk 3% of my capital per each trade.
102. 3:59But for the entry price what I want to
103. 4:01do is I want to use a limit order
104. 4:03because I want to buy at a pullback. So
105. 4:06I'm going to keep it simple. I will buy
106. 4:07at 180R below the current price for a
107. 4:10long position and do the opposite for a
108. 4:13short position. All right. So I think
109. 4:14now is a good time to actually go and
110. 4:16code this thing so we can run some back
111. 4:18test. Now to use this service you have
112. 4:19two options. One is to use the cloud
113. 4:21version which is hosted by us which you
114. 4:24need to sign up for free to get started
115. 4:26with or you can watch my previous video
116. 4:28where I explain how to self-hosted by
117. 4:31yourself which is better if you have
118. 4:32privacy concerns or let's say you want
119. 4:34to use premium models without paying us
120. 4:36anything. So choose one of the two but
121. 4:39in this video I'm going to use the cloud
122. 4:41version as the LLM model. I have
123. 4:43selected cloud 3.7 set. You can select
124. 4:46whichever you think works best but in my
125. 4:48cases cloud usually works best. And as
126. 4:51for the instruction here it is. So right
127. 4:54trend following strategy the short-term
128. 4:56trend must be one representing an
129. 4:58uptrend. To determine this use the tema
130. 5:00indicator with a period of 10 which
131. 5:02should be above the temo with a period
132. 5:04of 80. If it's vice versa the trend is
133. 5:06down. So you know basically just what I
134. 5:08showed you. For the long-term trend, use
135. 5:10the same indicator over the period of 20
136. 5:12and 70. So, let's also ask it to use the
137. 5:154 hours time frame except to use
138. 5:19the 4 hours time frame. For volatility
139. 5:23filter, use the ADX indicator. Its
140. 5:25values must be above 40 to take any
141. 5:27trades. Also, use the CH momentum
142. 5:29indicator as an oscalator. For long
143. 5:32trades, it value must be above 40. For
144. 5:34short trades, do the exact opposite of
145. 5:37the above conditions. For position
146. 5:38sizing, risk 3% of the available margin
147. 5:41per trade. For the entry price of the
148. 5:43trades, use a limit order ATR below the
149. 5:46entry price. For the stop loss, you use
150. 5:48four times of the current ATR below the
151. 5:50entry price. For exiting the trade, the
152. 5:52stop loss must be as described above.
153. 5:54And the takerit must be three times the
154. 5:56ATR indicator. And that's it. So, I just
155. 5:59told it basically what I need, just the
156. 6:01entry and exit rules. So, let's hit
157. 6:04enter and see how it writes the code.
158. 6:07All
159. 6:09right. So, here it is. This is the
160. 6:10short-term trend. It's using Tema with a
161. 6:12period of 10 and 80. It's returning
162. 6:15either one or minus one. For long-term
163. 6:17trend, it is using the first time frame
164. 6:20and periods of 20 and 70, which is
165. 6:22exactly what I ask for. Then need to
166. 6:25find the ATR, the ADX, the CMO, and for
167. 6:30shoot long, which is where we specify
168. 6:32the inter rules of the strategy. For
169. 6:34short positions, it's saying the
170. 6:35short-term trend must be one, the
171. 6:37long-term trend must be one, the ADX
172. 6:39must be above 40, and so should the CMO.
173. 6:42For uh for short positions, it's saying
174. 6:45that the trends must be minus one, the
175. 6:48ADX must be above 40, the CMO must be
176. 6:51below minus 40. For position sizing, the
177. 6:54entry price is a limit order one ATR
178. 6:57below the current price. This is
179. 6:58correct. The stop loss is four times of
180. 7:00the current ATR minus the entry price.
181. 7:03It is risking 3% using the riskto
182. 7:05quantity utility function of Jesse to
183. 7:07make sure we never lose more than 3% of
184. 7:10our total capital per each trade. By the
185. 7:13way, this doesn't mean to close the
186. 7:15position when it goes 3% against us. It
187. 7:17closes it when we are losing 3% of our
188. 7:20total capital. It's a bit different. And
189. 7:22then it is submitting the order using a
190. 7:25buy order. The first parameter is the
191. 7:27quantity of it and the second is the
192. 7:29price. Now for short trades, it is doing
193. 7:31the opposite which is correct. Now this
194. 7:34one also must be here and return true.
195. 7:37Now what it does is because we're using
196. 7:39limit orders. What would happen if we
197. 7:41submit the order but it doesn't get
198. 7:43filled during that candle? Well, when
199. 7:45the next candle comes, we want to cancel
200. 7:47the previous one and submit a new order
201. 7:50using the current conditions such as the
202. 7:52current ATR value. And when the position
203. 7:54opens, it submits a stop loss like this.
204. 7:58Four times the current ATR minus the
205. 8:00enterprise of the position. And it is
206. 8:02also using the quantity of the current
207. 8:04position for the stop loss. For the take
208. 8:07profit, it's doing exactly the same
209. 8:09except three times the ATR. Also,
210. 8:12instead of subtracting the price, it is
211. 8:14adding it. And for a short position,
212. 8:16it's doing exactly the opposite. So,
213. 8:18this is perfect. So, let's go up here
214. 8:23and copy the whole thing. Go to J's
215. 8:26dashboard and go to new strategy. I'm
216. 8:29going to call it tema
217. 8:32trend following.
218. 8:37Let's paste the whole thing here.
219. 8:41Go to back testing page. The exchange is
220. 8:44Binance perpetual futures. The route BTC
221. 8:47UCT is correct. The trading time frame
222. 8:49must be 30 minutes. Here, let's choose
223. 8:52tema trend following. We also have one
224. 8:56data route because we're using the
225. 8:58bigger time frame which is 4 hours with
226. 9:01the same symbol. And let's begin by back
227. 9:04testing the first six month of 2025.
228. 9:10Let's enable the interactive charts, the
229. 9:14fast mode, and the benchmark feature.
230. 9:16So, let's run it.
231. 9:21And there it is. So, let's scroll down.
232. 9:24The P&L is 32%. The maxon is minus 3%,
233. 9:29which is crazy.
234. 9:31The win rate is 81%. The average holding
235. 9:35time is 12 hours. The sharp ratio is
236. 9:374.34.
237. 9:39Now, by the way, this is a bit too good
238. 9:41to be true. Like, yes, we're getting it
239. 9:43on 2025, but I don't expect it to be
240. 9:45this good in all the periods. And I'm
241. 9:48going to back test it on other periods
242. 9:50just in a second. Let's take a look at
243. 9:52the interactive charts. So, we can see
244. 9:55the type of trades that it took. So, for
245. 9:56instance, it opens it here and closes it
246. 10:00here. It opens it here and closes it
247. 10:03here. We can also see the trades here.
248. 10:06And let's see there's one that I really
249. 10:08want to see like this one. I can just
250. 10:11click on it and it will take me to it.
251. 10:15Right? So this is where we sold and this
252. 10:18is where we close our short with a loss.
253. 10:24Then again we have here and if you want
254. 10:26to see the details of any trade by the
255. 10:28way click on it and you can see the
256. 10:30orders. And then if you click on just
257. 10:32any of them, you can also see other
258. 10:34metrics such as the quantity of that
259. 10:36trade, the entry price, exit price, the
260. 10:39fees that we paid, and the P&L. But
261. 10:41actually something really helpful with
262. 10:43these strategies is to see the indicator
263. 10:46values when we are taking the trade. So
264. 10:49let's go back to Jessie GPT and simply
265. 10:52ask the AI to add the values for us. I
266. 10:56need you to add values for the charts so
267. 10:58I can debug the strategy.
268. 11:05All right. So it added this after
269. 11:07function here which will do just that.
270. 11:11So let's copy the whole thing. Go to
271. 11:14this is dashboard. Press new session.
272. 11:17Click here to see the code of the
273. 11:19strategy and paste the whole thing here.
274. 11:21Now, by the way, this watch list that it
275. 11:22added is really helpful, but only if you
276. 11:25are trading the strategy live. So, it's
277. 11:27not really for back testing. So, I'm
278. 11:29going to remove this. And let's go back
279. 11:33here and click the back test one more
280. 11:36time. Let's go to view charts. And now,
281. 11:41not only we can see the trades, we can
282. 11:43also see the demo values. So, 10 and 80
283. 11:47periods. We can also see the ADX. So for
284. 11:50example when it opened this long
285. 11:53position we can see the ADX value is
286. 11:55indeed above the threshold. So it was at
287. 11:5850 and the value for CMO was also above
288. 12:0240.
289. 12:04So let's take a look at the short trade
290. 12:09like this one.
291. 12:12So again the ADX is above 40 and the
292. 12:16value for CMO is above minus 40. All
293. 12:19right. So now let's back test it on
294. 12:21other periods. In fact, I'm going to
295. 12:23back test it as early as 2021, which is
296. 12:26the amount of candles that I have up
297. 12:29until the 6 month of 2025. Now, to make
298. 12:33sure the back test will go faster, I'm
299. 12:36going to disable this line here, which
300. 12:39is for charts. Go back here. And by the
301. 12:43way, if you don't want to use the editor
302. 12:45inside Jess's dashboard, you can always
303. 12:47use something such as the VS code and
304. 12:50look up your strategy. So for instance,
305. 12:53tema trend following and you can see the
306. 12:57code here and you can edit it right from
307. 13:00here instead of the dashboard. All
308. 13:02right, so everything looks good. Now
309. 13:04let's start it. Now while this is going,
310. 13:07I want to also run another one without
311. 13:10this benchmark value here.
312. 13:13Let's run it. So, while that's going, I
313. 13:15want to quickly remind you guys about
314. 13:16Apex Omni, which is my favorite deck
315. 13:19made by the team behind Bybit. It has
316. 13:21low trading fees, instant order
317. 13:23execution, and of course, no KYC
318. 13:25whatsoever. If you're going to check
319. 13:27them out, please consider using our
320. 13:28link, which not only will give you
321. 13:30trading fee discounts, but it will also
322. 13:32support me in order to make more videos
323. 13:34like this. And there we go.
324. 13:37So, by the way, this max draw down here
325. 13:40is really awesome. It allows me to
326. 13:43easily add to the size of my position.
327. 13:45In fact, let's go here and
328. 13:49increase the size of the position with a
329. 13:51number such as three.
330. 13:55And also do the same thing in my short
331. 13:58positions.
332. 14:00So, and if I go to the benchmark page, I
333. 14:03can just rerun both of them
334. 14:04simultaneously, which is really cool.
335. 14:06And you know what? While this is going,
336. 14:08let's also duplicate this one. Go to
337. 14:10here and back test each year separately.
338. 14:15So, starting 2021 up until 2022.
339. 14:19Again, let's enable benchmark.
340. 14:22Disable interactive charts started.
341. 14:25Let's do the same since the beginning of
342. 14:282022 up until 2023.
343. 14:312023
344. 14:34up until 2024.
345. 14:36and since the beginning of 2025 up until
346. 14:41the sixth month.
347. 14:45All right. So this is for 2021. We are
348. 14:49clearly beating the market. The draw
349. 14:52down is minus 20%, which is great. The
350. 14:55P&L is 167%. We paid this much in fees.
351. 15:00So that means if you started with
352. 15:02$10,000, you would have ended with
353. 15:0426,700.
354. 15:07Now the win to loss ratio is 0.65
355. 15:11and that is because for our take profit
356. 15:14we're using three times of the ATR and
357. 15:16for stop loss we're using four times.
358. 15:19But on the other hand, the win rate is
359. 15:2071%. So you could say it's more similar
360. 15:23to a mean reversion rather than a
361. 15:26typical trend following. The average
362. 15:28holding time is 44 hours. The sharp
363. 15:30ratio is 1.98
364. 15:32which is really great.
365. 15:35Let's look at 2022.
366. 15:38So here's the equity curve.
367. 15:42We ended with 35% P&L. The max return is
368. 15:45minus 30%. Actually let's just look at
369. 15:47the equity curves. So this is for 2023.
370. 15:51We didn't beat the market. I mean in the
371. 15:54beginning we did but in the end we
372. 15:55didn't. And this is for 2025, which I
373. 15:59mean this is just off the charts. Now,
374. 16:02let's also compare them from the
375. 16:04benchmark page. Oh, I forgot 2024. So,
376. 16:08let's also back this one.
377. 16:15All right, there we go. So, this is also
378. 16:17really good. So, we made 300% P&L. The
379. 16:22max done is minus 25%.
380. 16:25The winner is 75%
381. 16:28and the win to loss ratio is still 63.
382. 16:33The sharp ratio is near three which is
383. 16:37again off the charts. So let's also
384. 16:40compare them inside the benchmarking
385. 16:41page. So here are the P&L. They're all
386. 16:46positive. The maxon is also really good.
387. 16:49On our best year it was - 9.2%. On our
388. 16:52worst year it was minus 37%. The sharp
389. 16:56at the worst year it is 0.8. At the best
390. 16:59year it is 4.3
391. 17:04and the annual return is on average
392. 17:08above 100% for sure. All right. So this
393. 17:13looks really great. Also let's take a
394. 17:15look at the equity curve of the whole
395. 17:174.42
396. 17:19years. So this is it
397. 17:22and this is if we consider the price of
398. 17:25BTC itself. So you see as soon as here
399. 17:29we are beating the market and then after
400. 17:31that we were always in profit. But
401. 17:33here's the thing some people only care
402. 17:35about the ending number the P&L. They
403. 17:38read this and they're like wow close to
404. 17:405,000%. So that means this strategy must
405. 17:44be making money for me all the time.
406. 17:46Well that's not true. So if you take a
407. 17:49closer look at this equity curve, yes we
408. 17:51ended here which is amazing but we had
409. 17:55so many draw down periods. So for
410. 17:57example in here this is 1 2 3 4 5 6 7 8
411. 18:039 10. So you see for about eight or nine
412. 18:07months I didn't calculate it exactly we
413. 18:10were in a draw down period. So that
414. 18:12means if we started trading the strategy
415. 18:15let's say from here up until this moment
416. 18:19we would have been in a loss or if we
417. 18:21started here we would have been in a
418. 18:23loss for two or 3 months. Now in here we
419. 18:29didn't lose much. You could say this is
420. 18:31a range but still this took one two
421. 18:35three four five six seven for about
422. 18:39seven or eight months our equity curve
423. 18:41would have been flat. So trust me when I
424. 18:45say if you were trading in this live you
425. 18:47would not have been happy during this
426. 18:49period. In fact most of us wouldn't have
427. 18:52continued trading it and would have
428. 18:53never seen this huge jump in our equity.
429. 18:56Now in here it was really great. So no
430. 18:59complaints. It also did pretty well here
431. 19:02and here. So yeah, most of the times
432. 19:04it's making money. It's going up and
433. 19:06that's really great. But there are draw
434. 19:09down periods. And I really want to
435. 19:11emphasize on this that if you are going
436. 19:13to trade a strategy like this, you
437. 19:15shouldn't trade all your capital just
438. 19:17with this one single strategy. In fact,
439. 19:19you want to have a basket of strategies
440. 19:22like this one. So that while one of them
441. 19:24is going through a draw down period like
442. 19:26in this case for example, your other
443. 19:28strategy is making money during the same
444. 19:30period and they're going to offset each
445. 19:33other. In fact, maybe even instead of
446. 19:35two strategies, you could run 10 of them
447. 19:37simultaneously. Now this is a big topic
448. 19:39that I am going to talk about more maybe
449. 19:42in a separate video but I just want to
450. 19:45emphasize that just don't only look at
451. 19:47the ending number especially P&L because
452. 19:50at least you want to consider the risk
453. 19:53and for that read another number such as
454. 19:55the sharp ratio or calma ratio. I'm
455. 19:58going to submit the results of this
456. 20:00strategy and the code on our website's
457. 20:02strategy page where you can find the
458. 20:04results of this strategy on different
459. 20:06symbols and time frames if you are
460. 20:08curious about that. Also, you can find
461. 20:10my other strategies and their metrics to
462. 20:12maybe create your own basket of
463. 20:14strategies as I just described. Now,
464. 20:16before I leave, we're going to have a
465. 20:17giveaway. A random person who likes this
466. 20:19video, post a comment, and subscribes to
467. 20:21the channel is going to win 1 million
468. 20:23bunk token. All right, let's pick the
469. 20:24winner for the previous video.
470. 20:28And the winner is Malik. Sorry I cannot
471. 20:31pronounce your whole name. Thank you so
472. 20:33much for your comment. Please reach out
473. 20:34to me so that I can send you your bunk
474. 20:36tokens. Thanks for watching and I'll see
475. 20:38you in the next one.
476. 20:42[Music]