15MEX Momentum Scalper (5X)

2019年6月20日

Working prototype to accurately scalp on the 15 min chart for XBTUSD pair on BitMex. Designed to let winners run a bit, without any pre-set stop loss. Model is optimized to allow 5X leveraged underwater positions to recover into profitability. Do NOT overleverage with this strategy or you will be liquidated.

Simulated with trades since March 1, 2019, with 100k contract size entries.

2019年6月21日

版本注释

Added pyramiding feature. Tested with max pyramiding (stacking same direction additional positions) and significantly increased profits with no win probability decrease. Sharpe ratio and profit ratio significantly increased without max drawdown increasing.

2019年6月21日

版本注释

Fixed typos and updated setting descriptions. No functional changes.

2019年6月22日

版本注释

Minor updates to ensure consistency with main indicator script (5X 15-min Momentum Scalper by SW9K)

2019年6月26日

版本注释

Significant revisions made. This is SW9K's 15MEX beta release candidate. Changes:

• Significant increase in win rate, net profits, and Sharpe ratio, even with Bitmex fees, without reducing too many trades.
  
• Will now look across higher timeframes to identify whether it is a macro bull or bearish trend. If macro bullish, it will only long. If macro bearish, it will only short. This significantly increases win rate and profits by allowing the logic to ride out underwater positions and close in a gain. This will be the most central focus of this strategy going forward to ensure wins.
  
• Because of above, logic significant loosens Schaff Trend requirements.
  
• Aggressive mode modified and has now become the default setting, with the new alternative setting being "Scaredycat" mode, which places a stringency modifier on the Schaff Trend requirements, as well as other minor tweaks.
  
• Reminder that default is pyramiding (stacked positions) of 3. You can reduce this if you do not want to overexpose your positions.