gab0 / gekko-adapted-strategies Goto Github PK

Hi, thx for this looking into japonicus, can you tell me where I can find the ADX and myATR indicators?

Hey, I have an inquiry regarding the usage of the ADX in these strats. As far as I know, the ADX line indicates the strength or weakness of a trend regardless of whether the trend is going up or down. In your code (or the code written originally by Tommie Hansen), the RSI bull and bear values are modified naively once the ADX value reaches the up or down threshold, meaning if the ADX reaches the high threshold, increase the upper RSI threshold and decrease the lower RSI threshold by 5 or whatever the value is. However, ADX can reach this high threshold in a down trend indicating that the down trend is gaining even more momentum so modifying the RSI range to be more bullish would be actually disastrous in such a situation. An alternative would be using the DMI indicator instead as it has 3 lines; ADX line, DI+ line and DI- line where the ADX line signals strength regardless of trend direction (so it should be given just one threshold instead of a high and a low), and the directional signal can be obtained using the other 2 lines; DI+ > DI- = bullish and DI+ < DI- = bearish.
Would be awesome if you would share your opinion on the matter and thank you sooooooooo much for all the awesome stuff you code!

Hi Gab,

I just noticed this whole time while I was using your wonderfully speedy adapted strategies your ADX strategy is using an older version of Tommie's version. https://github.com/tommiehansen/gekko_tools

He has since updated the latest one allowing for custom MODs of RLI depending on ADX, and therefore 4 more variables for Japonicus to play with.

You currently have those values hard codded in your version of the script. Not sure if this was intentional or not.

I compared the original version to your version and I tweaked the following lines of your code, and looks like the GA's are running okay with your version still!

// ADX
this.addIndicator('adx', 'ADX', this.settings.ADX )

		// MOD (RSI modifiers)
		this.BULL_MOD_high = this.settings.BULL_MOD_high;
		this.BULL_MOD_low = this.settings.BULL_MOD_low;
		this.BEAR_MOD_high = this.settings.BEAR_MOD_high;
		this.BEAR_MOD_low = this.settings.BEAR_MOD_low;

// BEAR TREND
		// ADX trend strength?
		if( adx > this.settings.ADX_high ) rsi_hi = rsi_hi + this.BEAR_MOD_high;
		else if( adx < this.settings.ADX_low ) rsi_low = rsi_low + this.BEAR_MOD_low;
// BULL TREND
		// ADX trend strength?
		if( adx > this.settings.ADX_high ) rsi_hi = rsi_hi + this.BULL_MOD_high;		
		else if( adx < this.settings.ADX_low ) rsi_low = rsi_low + this.BULL_MOD_low;

And added the following in the configStrategies.py (which is how I had it configured prior)
Please note if adding in to your version, the MOD values cannot be 1, otherwise the script/GAs fail.
So an auto percent range might be an issue here if it chooses a value of 1 in the GA epochs.

# MODIFY RSI (depending on ADX)
"BULL_MOD_high": (2,10), # 5
"BULL_MOD_low": (-10,-2), # -5
"BEAR_MOD_high": (5,20), # 15
"BEAR_MOD_low": (-10,-2), # -5

Regards

Your This is actually legal I think. could be removed. At least for my code since it's 100% legal top copy and modify CC-BY-SA 4.0 stuff. It's the reason i use it. :)
https://creativecommons.org/licenses/by-sa/4.0/