ClucFiatROI Strategy Analysis

Strategy Number: #17 (17th of 465 strategies)
Strategy Type: Bollinger Bands + Fisher RSI + Order Book Check
Timeframe: 5 minutes (5m)

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I. Strategy Overview

ClucFiatROI is a combined strategy based on Bollinger Bands and Fisher RSI, integrating classic logic from the Cluc strategy series. The strategy features a dual Bollinger Band system (40-period and 20-period) and introduces an order book check mechanism to optimize order execution.

Core Features

Feature	Description
Entry Conditions	2 modes (BinHV45 variant + Cluc variant)
Exit Conditions	Multi-condition combination (BB middle band + EMA + Fisher RSI)
Protection	Trailing stop + Order timeout check
Timeframe	5 minutes
Dependencies	TA-Lib, technical, numpy
Special Features	Order book check, order timeout cancellation, dual Bollinger Bands

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II. Strategy Configuration Analysis

2.1 Base Risk Parameters

# ROI exit table (hyperopt results)
minimal_roi = {
    "0": 0.04354,    # Immediate exit: 4.35% profit
    "5": 0.03734,    # After 5 minutes: 3.73% profit
    "8": 0.02569,    # After 8 minutes: 2.57% profit
    "10": 0.019,     # After 10 minutes: 1.9% profit
    "76": 0.01283,   # After 76 minutes: 1.28% profit
    "235": 0.007,    # After 235 minutes: 0.7% profit
    "415": 0,        # After 415 minutes: exit at breakeven
}

# Stoploss setting
stoploss = -0.34299  # -34.299% hard stoploss (extremely loose)

# Trailing stop
trailing_stop = True
trailing_stop_positive = 0.01057       # 1.057% trailing activation
trailing_stop_positive_offset = 0.03668  # 3.668% offset trigger
trailing_only_offset_is_reached = True

Design Logic:

• Multi-level ROI: 7-level decreasing ROI, longer holding time means lower exit threshold
• Extremely loose stoploss: -34.299% hard stoploss, gives ample room for fluctuation
• Trailing stop: Activates 1.06% trailing after 3.67% profit

2.2 Hyperparameters

# Buy hyperparameters (optimized results)
buy_params = {
    "bbdelta-close": 0.00642,
    "bbdelta-tail": 0.75559,
    "close-bblower": 0.01415,
    "closedelta-close": 0.00883,
    "fisher": -0.97101,
    "volume": 18,
}

# Sell hyperparameters
sell_params = {
    "sell-bbmiddle-close": 0.95153,
    "sell-fisher": 0.60924,
}

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III. Entry Conditions Details

3.1 Entry Logic (No Position)

# Entry conditions when no position (two modes)
conditions = [
    # Mode 1: BinHV45 variant
    (
        (bb1_delta > close * bbdelta_close) &
        (closedelta > close * closedelta_close) &
        (tail < bb1_delta * bbdelta_tail) &
        (close < lower_bb1.shift()) &
        (close <= close.shift())
    )
    |
    # Mode 2: Cluc variant
    (
        (close < ema_slow) &
        (close < close_bblower * lower_bb2) &
        (volume < volume_mean_slow.shift(1) * volume)
    )
]

# Fisher RSI filter
conditions.append(fisher_rsi < fisher)

Logic Analysis:

• Mode 1 (BinHV45 variant):
  • Bollinger Band bandwidth > 0.642%
  • Price change > 0.883%
  • Lower shadow < 75.559% of bandwidth
  • Price < previous BB lower band
  • Price not higher than previous close
• Mode 2 (Cluc variant):
  • Price < EMA48
  • Price < BB lower band × 0.98585
  • Volume < average volume × 18
• Fisher RSI filter: Fisher RSI < -0.97101 (deeply oversold)

3.2 Entry Logic (With Position)

# Add position conditions when already holding
conditions = [
    close > close.shift(),    # Price increasing
    close > sar,              # Price > SAR
]

Note: When already holding a position, consider adding only when price is rising and SAR confirms.

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IV. Exit Logic Explained

4.1 Exit Conditions

# Exit conditions
(
    (close * sell_bbmiddle_close) > mid_bb2 &    # Price × 0.95153 > BB middle band
    ema_fast > close &                            # EMA6 > price
    fisher_rsi > sell_fisher &                    # Fisher RSI > 0.60924
    volume > 0                                     # Volume > 0
)

Logic Analysis:

• Price near middle band: Price × 0.95153 > BB middle band (price approaching middle band)
• EMA confirmation: EMA6 above price (short-term trend weakening)
• Fisher RSI overbought: Fisher RSI > 0.60924
• Volume confirmation: Volume greater than 0

Combined meaning: Exit when price returns near BB middle band, short-term trend weakens, and Fisher RSI is overbought.

4.2 Order Timeout Check

# Buy order timeout check
def check_entry_timeout(self, pair, trade, order, **kwargs) -> bool:
    ob = self.dp.orderbook(pair, 1)
    current_price = ob["bids"][0][0]
    if current_price > order["price"] * 1.01:  # Price increased over 1%
        return True  # Cancel order
    return False

# Sell order timeout check
def check_exit_timeout(self, pair, trade, order, **kwargs) -> bool:
    ob = self.dp.orderbook(pair, 1)
    current_price = ob["asks"][0][0]
    if current_price < order["price"] * 0.99:  # Price decreased over 1%
        return True  # Cancel order
    return False

Purpose:

• Prevent orders from not filling due to price movement
• Cancel orders when price deviation exceeds 1%

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V. Technical Indicator System

5.1 Core Indicators

Indicator Category	Specific Indicator	Parameters	Purpose
Volatility	Bollinger Bands	40 periods, 2 std dev	BinHV45 variant
Volatility	Bollinger Bands	20 periods, 2 std dev	Cluc variant
Trend	EMA	6, 48 periods	Short/long-term trend
Momentum	Fisher RSI	9-period RSI + Fisher transform	Overbought/oversold
Stoploss	SAR	Default	Trend-following stop
Volume	Volume MA	24 periods	Volume filter

5.2 Dual Bollinger Band System

The strategy uses two Bollinger Band systems:

Bollinger Band	Period	Std Dev	Purpose
BB1	40	2	BinHV45 variant strategy
BB2	20	2	Cluc variant strategy

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VI. Risk Management Features

6.1 Extremely Loose Hard Stoploss

stoploss = -0.34299  # -34.299%

Note: Extremely loose stoploss, gives ample room for fluctuation.

6.2 Trailing Stop

trailing_stop = True
trailing_stop_positive = 0.01057
trailing_stop_positive_offset = 0.03668
trailing_only_offset_is_reached = True

Working mechanism:

1. Trailing stop activates after profit reaches 3.668%
2. Triggers exit when pulling back 1.057% from highest point
3. Needs to reach offset before trailing activates

6.3 Order Timeout Check

Buy orders:

• Cancel when current price > order price × 1.01

Sell orders:

• Cancel when current price < order price × 0.99

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VII. Strategy Pros & Cons

✅ Advantages

1. Dual Bollinger Bands: 40-period + 20-period, covers different time dimensions
2. Fisher RSI: Normalized RSI is more sensitive
3. Order book check: Uses real-time order book to optimize order execution
4. Order timeout: Prevents orders from not filling due to price movement
5. Hyperparameter optimization: Key parameters from hyperopt

⚠️ Limitations

1. High complexity: Dual BB + multiple indicators, difficult to debug
2. Order book dependency: Requires exchange to support orderbook API
3. Parameter sensitivity: Hyperopt results may overfit
4. Extremely loose stoploss: -34.299% stoploss may cause large losses in extreme markets
5. High computation: Dual BB increases computational burden

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VIII. Applicable Scenarios

Market Environment	Recommended Configuration	Note
Ranging market	Default configuration	Dual BB suitable for ranging
Uptrend	Default configuration	Trailing stop locks profits
Downtrend	Pause or light position	No trend filter, easy to lose
High volatility	Adjust parameters	May need to adjust stoploss threshold
Low volatility	Adjust ROI	Lower ROI threshold for small moves

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IX. Applicable Market Environments Explained

ClucFiatROI is a strategy based on the core philosophy of "dual Bollinger Bands + Fisher RSI".

9.1 Strategy Core Logic

• Dual Bollinger Bands: 40-period + 20-period, covers different time dimensions
• Fisher RSI: Normalized RSI is more sensitive
• Order book optimization: Uses real-time order book for price check and order cancellation

9.2 Performance in Different Market Environments

Market Type	Performance Rating	Reason Analysis
📈 Slow bull/ranging up	★★★★☆	Dual BB + trailing stop performs well
🔄 Wide ranging	★★★★☆	Dual BB suitable for ranging markets
📉 Single-sided crash	★★☆☆☆	No trend filter, may lose consecutively
⚡️ Extreme sideways	★★★☆☆	Too little volatility, signals reduce

9.3 Key Configuration Recommendations

Configuration	Recommended Value	Note
Number of pairs	20-40	Moderate signal frequency
Max positions	3-6	Control risk
Position mode	Fixed position	Recommended fixed position
Timeframe	5m	Mandatory requirement

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X. Important Note: Order Book Dependency

10.1 Moderate Learning Curve

Strategy code is about 150 lines, requires understanding dual Bollinger Bands and order book mechanism.

10.2 Moderate Hardware Requirements

Dual Bollinger Bands increase computation:

Number of Pairs	Minimum RAM	Recommended RAM
20-40 pairs	1GB	2GB
40-80 pairs	2GB	4GB

10.3 Order Book Dependency

Strategy uses self.dp.orderbook() to get real-time order book:

• Requires exchange to support orderbook API
• Order book data may have latency in live trading
• Order book data may be inaccurate in backtesting

10.4 Manual Trader Recommendations

Manual traders can reference this strategy's dual BB approach:

• Observe both 40-period and 20-period Bollinger Bands
• Use Fisher RSI to confirm overbought/oversold
• Set order timeout cancellation mechanism

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XI. Summary

ClucFiatROI is a well-designed dual Bollinger Band strategy. Its core value lies in:

1. Dual Bollinger Bands: 40-period + 20-period, covers different time dimensions
2. Fisher RSI: Normalized RSI is more sensitive
3. Order book optimization: Uses real-time order book for price check and order cancellation
4. Trailing stop: Locks profits, protects gains
5. Hyperparameter optimization: Key parameters from hyperopt

For quantitative traders, this is an excellent dual Bollinger Band strategy template. Recommendations:

• Use as an advanced case study for learning dual Bollinger Bands
• Understand Fisher RSI application methods
• Learn order book check and order timeout mechanisms
• Note that hyperparameters may overfit, test thoroughly before live trading

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