BigZ04_TSL3 Strategy Analysis

Strategy Number: #60
Strategy Type: BigZ04 Trailing Stop Version with Adaptive Trailing Stop
Timeframe: 5 minutes (5m) + Information Timeframe 1h

---

I. Strategy Overview

BigZ04_TSL3 is the trailing stop version of BigZ04, improved by Perkmeister based on BigZ04. This strategy introduces an adaptive trailing stop system (similar to BigPete) on the basis of BigZ04, achieving more flexible profit and loss management. The strategy significantly increases target return from 2.8% to 10%, with complete trailing stop protection.

Core Features

Feature	Configuration Value
Timeframe	5 minutes (5m)
Information Timeframe	1 hour (1h)
Take-Profit (ROI)	0-30 min: 10%, 30-60 min: 5%, 60+ min: 2%
Stoploss	-0.99 (disabled, use adaptive trailing stop)
Trailing Stop	Enabled, adaptive system
Number of Entry Conditions	13 (same as BigZ04)
Recommended Number of Pairs	2-4
Core Feature	Adaptive trailing stop system

---

II. Strategy Configuration Analysis

2.1 Base Configuration

timeframe = "5m"
inf_1h = "1h"

# Aggressive target return settings
minimal_roi = {
    "0": 0.10,    # Immediate 10% profit on entry
    "30": 0.05,   # 5% after 30 minutes
    "60": 0.02    # 2% after 60 minutes
}

stoploss = -0.99  # Disable default stoploss

# Trailing stop configuration
trailing_stop = True
trailing_stop_positive = True  # Use custom

2.2 Adaptive Trailing Stop Parameters

This is TSL3 version's core innovation, implementing multi-level trailing stop:

# Trailing stop parameters
pHSL = -0.08          # Hard stoploss: maximum loss 8%
pPF_1 = 0.016         # Level 1 trigger: 1.6% profit
pSL_1 = 0.011         # Level 1 stoploss: 1.1% profit
pPF_2 = 0.080         # Level 2 trigger: 8% profit
pSL_2 = 0.040         # Level 2 stoploss: 4% profit
pPF_3 = 0.100         # Level 3 trigger: 10% profit
pSL_3 = 0.060         # Level 3 stoploss: 6% profit

2.3 Parameter Comparison

Feature	BigZ04	BigZ04_TSL3	Change Explanation
First Target ROI	2.8%	10%	Significantly increased
Target Achievement Time	Within 10 minutes	Within 30 minutes	Relaxed
Stoploss Type	Fixed time	Adaptive trailing	Core difference
Hard Stoploss	-10%	-8%	Improved
Trailing Stop	Simple	Multi-level	Enhanced

2.4 Core Configuration Code

def custom_stoploss(
    self,
    pair: str,
    trade: "Trade",
    current_time: datetime,
    current_rate: float,
    current_profit: float,
    **kwargs,
) -> float:
    # Hard stoploss -8%
    HSL = -0.08
    
    # Trailing stop parameters
    PF_1 = 0.016   # 1.6%
    SL_1 = 0.011   # 1.1%
    PF_2 = 0.080   # 8%
    SL_2 = 0.040   # 4%
    PF_3 = 0.100   # 10%
    SL_3 = 0.060   # 6%
    
    # Calculate current stoploss line
    if current_profit > PF_3:
        # Profit > 10%: stoploss line moves to 6% profit position
        # And continues following profit upward
        sl_profit = SL_3 + (current_profit - PF_3)
    elif current_profit > PF_2:
        # Profit 8%-10%: linear interpolation
        sl_profit = SL_3 - (PF_3 - current_profit) * (SL_3 - SL_2) / (PF_3 - PF_2)
    elif current_profit > PF_1:
        # Profit 1.6%-8%: linear interpolation
        sl_profit = SL_2 - (PF_2 - current_profit) * (SL_2 - SL_1) / (PF_2 - PF_1)
    else:
        # Profit < 1.6%: hard stoploss
        sl_profit = HSL
    
    # Convert to actual stoploss ratio
    return stoploss_from_open(sl_profit, current_profit)

---

III. Entry Conditions Details

BigZ04_TSL3's entry conditions are exactly the same as BigZ04, retaining the 13-condition design.

3.1 Conditions 0-9: Basic Conditions

Same as BigZ04, including RSI oversold, lower Bollinger Band, MACD golden cross and other patterns.

3.2 Condition 10: 1-hour Oversold + MACD Reversal (Core Condition)

This is TSL3 version's main entry source:

(
    (dataframe["rsi_1h"] < 35.0) &
    (dataframe["close_1h"] < dataframe["bb_lowerband_1h"]) &
    (dataframe["hist"] > 0) &
    (dataframe["hist"].shift(2) < 0) &
    (dataframe["rsi"] < 40.5) &
    (dataframe["hist"] > dataframe["close"] * 0.0012) &
    (dataframe["open"] < dataframe["close"])
)

Condition 10 and TSL3 Synergy:

Signals generated by Condition 10 often have larger upside potential,combined with 10% target return and trailing stop protection, ideal combination for capturing large-level rebounds.

3.3 Conditions 11-12: Other Patterns

• Condition 11: Narrow range oscillation breakout (disabled by default)
• Condition 12: False breakout pattern

---

IV. Exit Logic Explained (Core Feature)

4.1 ROI Ladder Take-Profit

TSL3's ROI settings more aggressive:

minimal_roi = {
    "0": 0.10,    # Immediate 10% profit on entry
    "30": 0.05,   # 5% after 30 minutes
    "60": 0.02    # 2% after 60 minutes
}

Holding Time	Target Return	Explanation
0-30 minutes	10%	First target, aggressive
30-60 minutes	5%	Mid-term target
60+ minutes	2%	Long-term holding

4.2 Adaptive Trailing Stop System

TSL3's core innovation is implementing multi-level trailing stop:

def custom_stoploss(self, current_profit):
    HSL = -0.08      # Hard stoploss
    
    # Stoploss parameters
    PF_1, SL_1 = 0.016, 0.011
    PF_2, SL_2 = 0.080, 0.040
    PF_3, SL_3 = 0.100, 0.060
    
    if current_profit > PF_3:
        # Profit > 10%: stoploss line moves up and continues following
        # Stoploss line = 6% + (current profit - 10%)
        sl_profit = SL_3 + (current_profit - PF_3)
    elif current_profit > PF_2:
        # Profit 8%-10%: interpolation calculation
        # Linearly transition from 4% to 6%
        ratio = (PF_3 - current_profit) / (PF_3 - PF_2)
        sl_profit = SL_3 - ratio * (SL_3 - SL_2)
    elif current_profit > PF_1:
        # Profit 1.6%-8%: interpolation calculation
        # Linearly transition from 1.1% to 4%
        ratio = (PF_2 - current_profit) / (PF_2 - PF_1)
        sl_profit = SL_2 - ratio * (SL_2 - SL_1)
    else:
        # Profit < 1.6%: use hard stoploss
        sl_profit = HSL
    
    return stoploss_from_open(sl_profit, current_profit)

Logic Interpretation:

Profit Range	Stoploss Line	Explanation
Loss	-8%	Maximum loss 8%, baseline
Profit 0-1.6%	-8%	Haven't made money yet, use hard stoploss
Profit 1.6%-8%	-1.1% to -4%	Made some profit, start protecting
Profit 8%-10%	-4% to -6%	Good returns, strengthen protection
Profit > 10%	Continues following	The more you earn, the tighter the protection

---

V. Technical Indicator System

5.1 5-Minute Cycle Indicators

Indicator Name	Parameters	Usage
EMA200	200	Long-term trend judgment
EMA12/26	12,26	MACD calculation
RSI	14	Momentum
Bollinger Bands	20,2	Overbought/oversold
Volume Mean	48	Volume anomaly detection
CMF	20	Capital flow judgment

5.2 1-Hour Cycle Indicators

Indicator Name	Parameters	Usage
EMA50	50	Mid-term trend
EMA200	200	Long-term trend confirmation
RSI	14	1-hour momentum
Bollinger Bands	20,2	1-hour overbought/oversold

---

VI. Risk Management Features

6.1 Adaptive Stoploss System

TSL3's core innovation is dynamically adjusting stoploss line based on profit:

1. Loss Phase (profit < 1.6%):

   • Hard stoploss -8%
   • Allow certain floating loss room

2. Initial Profit Phase (profit 1.6%-8%):

   • Stoploss line moves up to -1.1% to -4%
   • Protect existing profits

3. Large Profit Phase (profit > 8%):

   • Stoploss line follows increase
   • Always lock at least 4% profit

4. Super Profit Phase (profit > 10%):

   • Stoploss line continues following
   • Lock more profits

6.2 Differences from BigZ04

Feature	BigZ04	BigZ04_TSL3
Stoploss Type	Fixed time stoploss	Adaptive trailing stoploss
Hard Stoploss	-10%	-8%
Trailing Stop	Simple	Multi-level
Profit Target	2.8% first	10% first

---

VII. Strategy Pros & Cons

✅ Advantages

1. Flexible Stoploss: Automatically adjusts based on profit, controllable risk
2. High Return Target: 10% target much more aggressive than BigZ04's 2.8%
3. Can Catch Big Moves: Trailing stop lets you eat more gains
4. Hard Stoploss Protection: Maximum loss 8%, won't lose everything
5. Inherited Condition 10: Big cycle reversal signal quality high

⚠️ Limitations

1. Target Too High: 10% not achievable every time
2. May Sell Too Early: Trailing stop may exit early
3. Higher Signal Requirements: Only capturing big rebounds can reach target
4. Less Friendly to Small Capital: Need larger capital tolerance

---

VIII. Applicable Scenarios

8.1 Recommended Scenarios

• Rebound after big drop
• High volatility markets
• Major cryptocurrency pairs

8.2 Not Recommended Scenarios

• Low volatility sideways
• Violently volatile junk coins
• Scenarios requiring quick trading

---

IX. Summary

BigZ04_TSL3 is an enhanced version of BigZ04, achieving smarter risk management through adaptive trailing stop system:

• ✅ 13 entry conditions, cover various patterns
• ✅ Trailing stop, protect profits
• ✅ 8% hard stoploss, control maximum loss
• ⚠️ Complex parameters, need time to understand
• ⚠️ 10% first target relatively high

Suitable for: Traders with certain experience, pursuing steady profit growth.

---

This document is based on BigZ04_TSL3 strategy source code, for learning reference only, not investment advice.