Ichimoku Cloud Strategy in Python Makes 257% — Transcript

Full transcript

1. 0:00hey guys it's all today I'm going to
2. 0:02write a new strategy using the hu Cloud
3. 0:04indicator next I'm going to use this new
4. 0:06indicator that I found in my previous
5. 0:08video to improve the results of this
6. 0:10strategy drastically so let's get right
7. 0:12into
8. 0:14it let's open the aimu cloud on trading
9. 0:18View and this is how it looks like on
10. 0:21the 4 hours time frame now the lines
11. 0:23that we care about are these two the
12. 0:25blue and red one and this Cloud I find
13. 0:27this green line here really useless so
14. 0:30I'm going to disable this it's called
15. 0:32the laging span which is basically the
16. 0:34price with a bit of lag so let's remove
17. 0:37that to take a long position in this
18. 0:39strategy we need this blue line which is
19. 0:41called the conversion line to go above
20. 0:43the red line which is called The Base
21. 0:46Line this will show us the shortterm
22. 0:47trend of the market and then we also
23. 0:49need the cloud to be green in other
24. 0:51words we need the green line to be above
25. 0:53the red line now these two are called
26. 0:55span a and span B now you don't have to
27. 0:57know about the names but we're going to
28. 0:58use it in a second all right so let's go
29. 1:00to Jesse and create a new strategy and
30. 1:03name it Ichi moku Cloud let's copy this
31. 1:07name and open it in my pie charm ID
32. 1:09which is way smarter all right so first
33. 1:11let's define a new property and I'm
34. 1:13going to call it the small
35. 1:15Trend in it I'm going to say C equals ta
36. 1:20hm cloud and I'm going to pass the
37. 1:24current candles and I won't even change
38. 1:25the default parameters and I'm going to
39. 1:28say if C dot conversion line which again
40. 1:32is this blue line is above this red line
41. 1:35which is called the Bas line so if this
42. 1:37one is above the Baseline return one for
43. 1:41an uptrend otherwise return minus one
44. 1:44for a downtrend now our entry rule is
45. 1:47going to be if the small Trend equals 1
46. 1:51and for short entries we will do the
47. 1:54opposite we'll say if the small Trend
48. 1:56equals minus one all right so let's say
49. 1:59this condition is true and we are about
50. 2:01to open a long position what should be
51. 2:02our position sizing and entry price I
52. 2:05realize that often times when the entry
53. 2:07rule for this strategy is true for
54. 2:09example in here the cloud is green and
55. 2:12at this point the conversion line again
56. 2:14the blue line is above the Bas line
57. 2:16which is this red one the price always
58. 2:18goes down a bit not always but most
59. 2:20times so because of that I decided not
60. 2:23to open the position using a market
61. 2:24order as I usually do instead I want to
62. 2:26use a limit order so I don't want to buy
63. 2:28here I want to buy a little bit below
64. 2:30this price now how do we decide where
65. 2:32exactly to buy now we could use some
66. 2:34kind of line such as the conversion line
67. 2:36in this case would be a good choice but
68. 2:38I wanted to make it Dynamic and and
69. 2:40usually my go-to indicator for setting a
70. 2:43price dynamically which would work with
71. 2:44any trading symbol is the ATR I often
72. 2:47use it for stplus but in this case I
73. 2:49also want to use it for entry so I want
74. 2:51to say one ATR below this value so the
75. 2:54entry is going to be the current price
76. 2:57minus ta ATR R and then I'm going to
77. 3:01pass the current candles and that's it
78. 3:04so my sub is going to be as always the
79. 3:07inry price minus the ATR multiplied by
80. 3:11some kind of
81. 3:12multiplier and I'm going to use 2.5 for
82. 3:15this one and as for the quantity of this
83. 3:16position I'm going to use the risk to
84. 3:18quantity utility function of Jessi which
85. 3:20would allow us to limit the risk of this
86. 3:22position to a certain number and I
87. 3:24usually use three so that means if this
88. 3:26trade goes against us we won't lose more
89. 3:28than 3% of our capital you could go with
90. 3:30five if your risk appetite allows you
91. 3:32but I'm going to stick with three so the
92. 3:35quantity equals utils risk to quantity
93. 3:39the first value is the capital and I'm
94. 3:42going to pass the available margin the
95. 3:44next one is the risk I'm going to pass
96. 3:46three next we have the entry going to
97. 3:49pass the entry then the Stop and I will
98. 3:52also set the fee rate to the current fee
99. 3:55of the exchange that I'm
100. 3:57trading all right now we can pass the
101. 4:00buy order which is going to be the
102. 4:02quantity and then the entry price and as
103. 4:05for the short position I'm going to do
104. 4:08the opposite so that means the entry is
105. 4:10going to be the current price plus 1 ATR
106. 4:13the stop is going to be the entry plus 2
107. 4:16times of the ATR and the quantity is
108. 4:19similar and instead of a buy order we
109. 4:22use a sell order now the value of the
110. 4:24shot cancel entry usually we don't
111. 4:26really care about it if we are entering
112. 4:27with a market order but if you are using
113. 4:29a limit order or a sub order to enter
114. 4:31the position like we are in this case
115. 4:33which we are using a limit order to
116. 4:35enter at a lower price it has to be true
117. 4:38all right so now it's time to submit the
118. 4:39subplus order for that I'm going to say
119. 4:41when a new position is opened on open
120. 4:44position I'm going to say if it's a long
121. 4:46position using the is long property my
122. 4:50subplus is going to be the current
123. 4:55positions quantity and the price of it
124. 4:59is going to to be the entry price of my
125. 5:02position which is this minus the current
126. 5:06ATR multiplied by 2.5 which is exactly
127. 5:09the value that we entered here but
128. 5:11because this value was defined inside
129. 5:12the go short method we don't have access
130. 5:15to it here sure we could Define this
131. 5:17inside some kind of variable that we
132. 5:19could also use here but because it was
133. 5:21really easy to reuse I'm just redoing
134. 5:24the calculation next I'm going to say l
135. 5:26if it is a short position I will do the
136. 5:29same except instead of subtracting the
137. 5:31ATR from the entry price at one position
138. 5:34I will add to it all right so now we are
139. 5:36entering trades we are also exiting
140. 5:38using the suplus but we're not taking
141. 5:40profits so for taking the profit instead
142. 5:42of using a take profit order I wanted to
143. 5:44write the trend for as long as possible
144. 5:46so I'm going to say if my entry
145. 5:48condition is no longer valid in other
146. 5:50words if the conversion line goes below
147. 5:52the Baseline like it happen here or in
148. 5:55here I want to close the position so
149. 5:57this will let us that if there is really
150. 5:58a strong Trend in the the market we can
151. 6:00write it for as long as possible so I'm
152. 6:02going to
153. 6:02say update position if it's long
154. 6:06position I will say if the small
155. 6:11trend is minus one which is the opposite
156. 6:13of our entry then I'm going to use this
157. 6:17shortcut in Jessi which is used for
158. 6:18liquidating everything which is simply
159. 6:21self.
160. 6:23liquidate and next I want to do the
161. 6:25opposite for a short position so now we
162. 6:28have our in rules with doing the
163. 6:29position sizing we're submitting the
164. 6:32stop loss and we Define our take profit
165. 6:34condition so now we're ready to do a
166. 6:36back test so let's go back to Jesse go
167. 6:38to the back testing section the binance
168. 6:40Perpetual Futures is fine let's choose
169. 6:42the ichim cloud strategy the duration of
170. 6:45since 2022 up until 2024 is fine for me
171. 6:48because during that time we had one bare
172. 6:51market and one kind of bull market so I
173. 6:53finded a good period for this strategy
174. 6:55the fast mode is on The Benchmark is
175. 6:58also on all right so I'm going to start
176. 7:00with the 15 minutes time frame let's
177. 7:02start it and I want to also do another
178. 7:05one with the 30
179. 7:08minutes and another one with the 1 hour
180. 7:12and another one with the 4
181. 7:14hours now notice when I create a new tab
182. 7:17using this button it will duplicate
183. 7:19everything from the previous tab that's
184. 7:21why I'm just changing the time frame all
185. 7:23right so this is the results for the 15
186. 7:25minutes this is for 30
187. 7:28minutes the 1 hour and the 4 hours so so
188. 7:32far the 1 hour looks the best now what's
189. 7:35the P we have 8% profit with the max R
190. 7:38ofus 38% so pretty horrible but that's
191. 7:41fine because so far we just defined one
192. 7:43inry condition which is never profitable
193. 7:45because we always need at least a couple
194. 7:47of Entry conditions for the strategy to
195. 7:49be profitable so let's go back and
196. 7:51Define a new property and I'm going to
197. 7:54call it the big Trend and in it I'm
198. 7:57going to first say C equals theal Cloud
199. 8:00but this time instead of using the cion
200. 8:02line and the Bas line I'm going to use
201. 8:04the span a and span B which if you
202. 8:05forgot it's this Cloud so this one is
203. 8:07the span a and this one is the span B so
204. 8:10if I want to say that when the cloud is
205. 8:12green take a long position I'm going to
206. 8:14say if the span a is bigger than span B
207. 8:16then we are in uptrend all right so if C
208. 8:20that span a is bigger than span B return
209. 8:23one otherwise return minus one and I'm
210. 8:26going to go here and add this condition
211. 8:29so let's go back to Jesse now instead of
212. 8:31going back and forth between four tabs
213. 8:33to rerun this back test I want to use
214. 8:35this new feature of Jesse which I just
215. 8:37implemented and it may not even be out
216. 8:39by the time you're watching this video
217. 8:41which is this new page called Benchmark
218. 8:43now you can see the metrics of all the
219. 8:44other tabs that I had open but because
220. 8:46it's on one page it's much easier to
221. 8:48just compare the values Al together not
222. 8:50only that now that I want to rerun the
223. 8:52back tests instead of doing them
224. 8:53individually I can just press this one
225. 8:55button which will rerun all of them now
226. 8:58here we can see the net Pro profit for
227. 8:59all of them and it seems like the 1 hour
228. 9:02is still the best the max Ron of the 1
229. 9:04hour is still the lowest and if you want
230. 9:07to go to the tab to look at the equity
231. 9:09chart we can do that here all right so
232. 9:11it looks like this indicator does have
233. 9:13some potential but as it is expected
234. 9:15with Trend following strategies it is
235. 9:17getting slaughtered when it reaches a
236. 9:18ranging market and to avoid the ranging
237. 9:20Market I'm going to use the adx
238. 9:22indicator which I always used for this
239. 9:24purpose so let's go back and Define a
240. 9:27new property let's call it the adx and
241. 9:29in it I'm going to say whether or not
242. 9:31the adx of the current candles is bigger
243. 9:34than 50 and now we should also add it to
244. 9:36our inry
245. 9:38rules so let's go back to Jesse and
246. 9:40rerun the back test so while this is
247. 9:42going I wanted to quickly remind you
248. 9:44guys that we have a Discord Community
249. 9:45with more than 3,000 quants such as you
250. 9:48and I we hang out there share ideas and
251. 9:50help each other out and I would love to
252. 9:51see you guys there all right look at
253. 9:53that the p&l which is be negative for
254. 9:55most of them is now positive for 4 hours
255. 9:59for 1 hour and the 30 minutes but it's
256. 10:02still negative for 50 minutes time frame
257. 10:04the P looks the best still on the 1 hour
258. 10:07but if we consider the max done it
259. 10:09actually looks best on the 30 minutes
260. 10:11all right so let's look at the equity
261. 10:13curve and here it is on the hourly here
262. 10:17it is on the 30 minutes 15 minutes and
263. 10:21on the 4 hours now I think we're going
264. 10:23to go with either the 1 hour or 30
265. 10:25minutes now this result is already good
266. 10:27enough for me but I want to use this new
267. 10:29indicator that I found in my previous
268. 10:30video and I found it really helpful with
269. 10:32this type of a strategies it's called
270. 10:34the choppiness index so let's define a
271. 10:35new property and call it chop and I'm
272. 10:39going to say whether or not the Chop is
273. 10:42below 50 for this current value now it
274. 10:45works a bit similar to the adx but you
275. 10:47have to remember that its values are
276. 10:49kind of against the adx so what I mean
277. 10:51by that is in adx we want the value to
278. 10:53be above 50 which would show us that
279. 10:55there is enough volatility in the market
280. 10:57but with the choppiness index indicator
281. 10:59we want to make sure that there is less
282. 11:01choppiness in other words Randomness in
283. 11:03the market which is useful to us because
284. 11:05our job is to look for the patterns in
285. 11:06the market right we don't want
286. 11:08Randomness all right so let's also add
287. 11:09this
288. 11:13condition and rerun everything one more
289. 11:15time all right look at this the panl
290. 11:18actually increased for both the 30
291. 11:21minutes and the 1 hour but that's not
292. 11:23really important most important part is
293. 11:25the max actually came down to - 6.3 and-
294. 11:297.7 which is really amazing the sharp
295. 11:31ratio is 1.2 for both of them the calmer
296. 11:34ratio which is actually my favorite
297. 11:36metric because it considers the max Ron
298. 11:39is 2.9 for this one so it's
299. 11:41significantly better than this one now
300. 11:43let's look at the equity curve and it
301. 11:46looks amazing but because the Maxon is
302. 11:49really low in this case it's - 7 and my
303. 11:52risk tolerance is usually up until minus
304. 11:5430% that means I can easily add to the
305. 11:56size of this position so that means I
306. 11:58can even add the size of my positions up
307. 12:01to four in here so I will simply add my
308. 12:04available margin by four go back and
309. 12:08rerun everything one more
310. 12:10time and now the profit on the 1 hour is
311. 12:15257 and on the 30 minutes it is 166% the
312. 12:19max Dron is minus 23% for the 30 minutes
313. 12:23and on 1 hour it is minus 27% and notice
314. 12:26that these ratios don't really change
315. 12:28because it's still considering the
316. 12:31pnl comparing to the max rodon so that's
317. 12:34why these two are still the same number
318. 12:35all right so let's look at the equity
319. 12:37curve and now it looks like this so
320. 12:39during these two years which we didn't
321. 12:41really have a great Market we could have
322. 12:43made up to 20
323. 12:4657% with this
324. 12:49one the profit was a bit lower but the
325. 12:52max ear dardon is still lower so that
326. 12:54means I can even increase my position
327. 12:56size in this one to get maybe even
328. 12:58better results
329. 12:59but as for the equity curve to be honest
330. 13:02I'm not sure which one looks
331. 13:04better because with this one we ended up
332. 13:06with more profits but with this one it
333. 13:09seems a bit more stable to me so I'm not
334. 13:12really sure which one to use I'm going
335. 13:14to leave that decision to you but what
336. 13:15I'm sure is that the result of the 15
337. 13:17minutes time frame is not good and
338. 13:19neither it is with the 4 hours time
339. 13:21frame it's it's taking just too few
340. 13:24trades and I'm not happy with that I'm
341. 13:26going to submit the source code of this
342. 13:28strategy alongside with this back test
343. 13:30result for different periods and other
344. 13:32symbols such as ethereum on our strategy
345. 13:34directory on our website and as always
346. 13:36we're going to have a giveaway a random
347. 13:38person who likes this video posts a
348. 13:40comment and subscribes to the channel is
349. 13:41going to win 1 million Buck token all
350. 13:43right let's pick the winner for the
351. 13:44previous
352. 13:46video and the winner is just found your
353. 13:49channel And subscribe pretty interesting
354. 13:51stuff thank you so much for your comment
355. 13:53please reach out to me so that I can
356. 13:54send you your bnk tokens thanks for
357. 13:56watching and I'll see you in the next
358. 13:58one
359. 13:59oh w w
360. 14:03[Music]