Parabolic SAR strategy

[carlos8f]

@DeviaVir adding back the SAR strat, tweaked the settings a bit and getting good sim results:

the-batcomp:zenbot morpheus.5250$ zenbot sim gdax.eth-usd --days 10 --strategy=sar --period=1m
2017-06-08 12:11:28  253.73 ETH-USD   -0.1%       14    --        -0.06%   bought  9.79 ETH    24.84 USD  +150.9%  +73.5%
{
  "asset_capital": 0,
  "buy_pct": 99,
  "buy_stop_pct": 0,
  "currency_capital": 1000,
  "days": 10,
  "markup_pct": 0,
  "max_sell_loss_pct": 25,
  "max_slippage_pct": 5,
  "min_periods": 52,
  "mode": "sim",
  "order_adjust_time": 10000,
  "period": "1m",
  "profit_stop_enable_pct": 0,
  "profit_stop_pct": 1,
  "rsi_periods": 14,
  "sar_af": 0.025,
  "sar_max_af": 0.55,
  "selector": "gdax.ETH-USD",
  "sell_pct": 99,
  "sell_stop_pct": 0,
  "start": 1496016000000,
  "stats": false,
  "strategy": "sar",
  "verbose": false
}
end balance: 2511.68408604 (151.17%)
buy hold: 1447.50940385 (44.75%)
vs. buy hold: 73.52%
2011 trades over 11 days (avg 182.82 trades/day)
win/loss: 966/1045
error rate: 51.96%

It seems to work best with aggressive trading, so would probably only be an option for 0% fee exchanges.... currently testing this on GDAX with parallel paper trading to see if 1m period is practical.

[DeviaVir]

interesting, but I'm wondering if it's feasible at all with 2011 trades over 11 days (7 trades an hour): GDAX fills can take a while or not be filled at all if you're using limit orders..
Still, I think it's good to have this strategy.

Could you also update the README.md with this new strategy?

[DeviaVir]

tracking readme changes for this in #247 instead

[carlos8f]

@DeviaVir Ran it for 27 hours on gdax.ETH-USD, and after 140 trades,

• I got +4.7% profit, -3.2% under buy/hold.
• Paper trading yielded +5.8% profit -2.0% under buy/hold.
• Sim showed +10.39% profit, 2.13% over buy/hold.
• Avg real slippage was 0.045% (vs. 0.25% of a market order + slippage)
• Avg real execution time was 129s

Overall I'm pretty happy with the result, real trading with 1m period was still profitable, although a little worse than the paper/sim versions. Slippage was not too bad, definitely worth the 2m execution time vs. taking a fee. Some fixes I recently did to the order execution seem to have payed off 👍

[carlos8f]

also note that I used 5s order_adjust_time and 5s poll_trades without any issues. I might make 5s order_adjust_time the new default since it already checks the order's bid every 5s anyway.

[DeviaVir]

@carlos8f been giving SAR a go, but I ended up with: +7.6% -17.0% after a few days. Granted, I can't do USD market so that might influence this result greatly.

[talvasconcelos]

Giving SAR also a try started now on poloniex.str-usdt with default settings. i'll report on how it has done. I'm getting Nounce error a lot and maybe it's because polo API is choked!!

[apthomas]

Has anyone tried live trading when using SAR with a shorter period than 1 minute? I simulated with 30 seconds as the period and saw large improvements in the results.

Additionally were you seeing problems with orders being filled when live trading? what seems to be the best max_slippage_pct for gdax.BTC-USD?

[typicalaimster]

@apthomas, yes I've set mine to 30 seconds. Sometimes it works good. Othertimes it doesn't. If you're using maker with GDAX you'll find the buy/sell process kills your results.

[apthomas]

@ typicalaimster. Does that mean your profits on average outweigh the costs of the taker fee? That seems nearly impossible because of the number of trades that SAR performs...I'd think the only way to trade SAR would be as the maker so you don't pay fees.

[typicalaimster]

@apthomas.. When you do a test what is your average slippage set to? From what I've seen... From the time the bot initiates a buy/sell to the time it's bought/sold the "slippage" is huge. For me it's greater than the default of 0.045%. Meaning, the bot triggered a buy at $200, but didn't get a buy until $202. Then on the inverse.. You might hit $202.50. The bot triggers a sale. However it's not able to sell until $199.75. At which point I'm under water. If you go back and run sims with a real life average slippage, it tells a different story.

FWIW GDAX allows you to mix/match Maker/Taker. You can comment out the 'taker' lines (137-141) in exchange.js and have it buy as a maker and sell as a taker. That way you're only getting dinged with the fee on the sell. I'm surprised no one has created a setting and called it raker or soemthing.

[VertigoRay]

@typicalaimster Really you'd want to put in a sell order with a stop-loss which GDAX also allows you to do. The stop-loss should still be above your original buy price. Then you only take a fee to save your skin.

[simonfr]

After 24h of use. I get -4.08% and price of ETH up of +3.05%

[evseevnn-zz]

@simonfr You using backtest utility before trying this strategy?

[janus007]

I'm just so happy with your usage.