Hi Tom,
6) We can approximate an ideal SAFE and Minimum Order Size by looking at price history and guessing at how many "round trip" trades there would be with different settings. Ideally we want the largest round trip profit with the most number of total round trips over time. We could set the minimum order size at 1%, for instance and maybe we would increase the number of 1% size trades. However, the total range from a buy to a sell would also be smaller. That means less total profit per round trip. We want to maximize the number of Round Trips at the best possible Round Trip Profit.
Okey. Let's evolve together. I calculated (automated) the Max Drawdown over the last 200 days. And the best and most profitable Zigzag values over the last 200 days. It calculates using deviation (1% (0.01) to 20% (0.20) and calculates the most optimal.
These are the result :
Drawdown:
Max Drawdown for the period: 51.75% {}
ZigZag :
"optimalDev":"0.01","numRoundTrips":79,"avgRoundTripProfit":"9.17","metric":"724.11","suggestedBuySellPercent":"0.02291500","suggestedThresholdIncrement":"0.00458300"} {}
Optimal setting : BuyPercent (Minimum Order Size Buy), SellPercent (Minimum Order size Sell), Buy Threshold and Sell Threshold:
Dynamic Params : buy_percent=0.02291500, sell_percent=0.02291500, buy_threshold=0.02291500, sell_threshold=0.02291500, true_count=4 {}
So I took the "avgRoundTripProfit":"9.17" and divide it with /4 for BuyPercent (Minimum Order Size Buy), SellPercent (Minimum Order size Sell), Buy Threshold and Sell Threshold. This is NEUTRAL.
I have a truecount based on, SMA200 (BULL/BEAR), SMA100, SMA50 (GOLDEN CROSS/DEATH CROSS), SMA20 and SMA10. Max True_count = 5 (Hence 5 SMA deviations). So when in BULL/GOLDEN the buy threshold will move from the buy side to the sell side in 5 steps if price > all 5 SMA then buy threshold = 0 and sell threshold is doubled. In BEAR/DEATH the other way around. buy threshold is doubled when price < the 5 SMA. Ofcourse when truecount is 3 then it moves only 3 x suggestedThresholdIncrement":"0.00458300"}. But I think you get what I mean.
Now my question is the following:
Should I use this calculated optimal Zigzag Values? And just stick with it? Set it and forget it? The "avgRoundTripProfit":"9.17" I divided by 4. To fill in minimum trade amount and the safe settings, all same value. Depending on what the price does deviation SMA's. I move the safe settings to the buy side or sell side. When BULL but SMA50 < SMA200 so no golden cross I keep them all 4 sides egal (neutral). When BEAR and no death cross same, I keep them egal. Only in FULL BULL or FULL BEAR I switch SAFE from buy side to sell side or the other way around.
Its really adaptive. Its also really simple. Realtime.
So my question is, keep them this way, or should I make the minimum trade percentages (buy and sell percent) other values?
You said, for stocks I keep them all the same. 10% each. This is crypto... so what is your take on this? Enlighten me :)
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