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Hacklemore2 Strategy: In-Depth Analysis

Strategy ID: #193 (193rd of 465 strategies) Strategy Type: Trend Following / RMI Momentum Confirmation Timeframe: 15 Minutes (15m)

I. Strategy Overview​

Hacklemore2 is a trend-following strategy based on RMI (Relative Momentum Index), SAR (Parabolic SAR), and trend breakout. The core idea is: during a clear uptrend, buy when RMI strengthens and price makes a recent high, using multi-indicator confirmation to improve signal reliability.

Core Features​

FeatureDescription
Entry ConditionsUptrend + RMI strong + SAR confirmation + Three consecutive green candles + Volume filter
Exit ConditionsDowntrend + RMI weak + Order book dynamic take-profit
ProtectionsTrailing stop + Hard stop-loss + ROI tiered take-profit
Timeframe15 Minutes
DependenciesTA-Lib, technical (RMI, qtpylib)

II. Strategy Configuration Analysis​

2.1 Core Risk Parameters​

# ROI Exit Table
minimal_roi = {
    "0": 0.14509,    # Immediate exit: 14.51% profit
    "10": 0.07666,   # After 10 minutes: 7.67% profit
    "23": 0.03780,   # After 23 minutes: 3.78% profit
    "36": 0.01987,   # After 36 minutes: 1.99% profit
    "60": 0.01280,   # After 60 minutes: 1.28% profit
    "145": 0.00467,  # After 145 minutes: 0.47% profit
    "285": 0         # After 285 minutes: break-even exit
}

# Stop-Loss Settings
stoploss = -0.10     # -10% hard stop-loss

# Trailing Stop
trailing_stop = True
trailing_stop_positive = 0.02       # Activate trailing at 2% profit
trailing_stop_positive_offset = 0.03  # 3% offset

Design Philosophy:

  • Tiered Take-Profit: Decreasing from 14.51% to break-even, gradually locking in profits
  • Moderate Hard Stop-Loss: -10% is reasonable for trend strategies, providing reasonable volatility room
  • Trailing Stop: Activates at 2% profit, effectively protecting gains

2.2 Order Type Configuration​

order_types = {
    'buy': 'limit',
    'sell': 'limit',
    'stoploss': 'market',
    'stoploss_on_exchange': False
}

III. Entry Conditions Details​

3.1 Core Entry Logic​

The strategy uses a quintuple-confirmation mechanism — all conditions must be met simultaneously:

Condition #Condition NameLogic Description
Condition 1Uptrend Confirmationup_trend == True (60-day high)
Condition 2RMI StrongRMI > 55 and RMI >= RMI.rolling(3).mean()
Condition 3Three Consecutive Green Candlesclose > close.shift() > close.shift(2)
Condition 4SAR Confirmationsar < close (price above SAR)
Condition 5Volume Filtervolume < volume_ma * 30

3.2 Entry Conditions Explained​

Condition #1: Uptrend Confirmation​

dataframe['up_trend'] == True
# Based on 60-day high judgment

Logic:

  • Confirms uptrend by price making a 60-day high
  • Ensures entry only when trend is clear
  • Avoids frequent trading in ranging or declining markets

Condition #2: RMI Strong​

(dataframe['RMI'] > 55) & (dataframe['RMI'] >= dataframe['RMI'].rolling(3).mean())

Logic:

  • RMI (Relative Momentum Index) is a variant of RSI focused more on momentum changes
  • RMI > 55 indicates momentum is in the strong zone
  • RMI above its 3-period moving average confirms momentum is strengthening

Condition #3: Three Consecutive Green Candles​

dataframe['close'] > dataframe['close'].shift(1) > dataframe['close'].shift(2)

Logic:

  • Three consecutive green candles show sustained buying pressure
  • Short-term momentum is upward, increasing entry success rate
  • Simple and effective trend continuation signal

Condition #4: SAR Confirmation​

dataframe['sar'] < dataframe['close']

Logic:

  • Parabolic SAR (SAR) is below price
  • Confirms current uptrend
  • Provides additional trend direction verification

Condition #5: Volume Filter​

dataframe['volume'] < dataframe['volume_ma'] * 30

Logic:

  • Volume should not be abnormally inflated
  • Avoids entry during extreme moves (e.g., breaking news)
  • Normal volume environment is more favorable for trend continuation

3.3 Comprehensive Entry Signal Assessment​

The strategy's entry logic can be summarized as:

No trend, no entry — only considers entry when price makes a 60-day high, RMI momentum strengthens, SAR confirms uptrend, and three consecutive green candles appear.

IV. Exit Logic Details​

4.1 Exit Conditions​

The strategy uses multiple exit signals — any single condition triggers exit:

Signal NameTrigger ConditionTechnical Meaning
Buy Signal Disappearsbuy == 0Entry condition no longer met
Downtrenddn_trend == TrueTrend reversal
RMI WeakRMI < 30Momentum severely decayed
Profit Protectionprofit > -3%Exit on small loss

4.2 Exit Signal Details​

# Exit Signal 1: Buy signal disappears
dataframe['buy'] == 0

# Exit Signal 2: Downtrend confirmed
dataframe['dn_trend'] == True

# Exit Signal 3: RMI weak
dataframe['RMI'] < 30

# Exit Signal 4: Profit protection
current_profit > -0.03  # Exit when loss is less than 3%

4.3 ROI Tiered Take-Profit Mechanism​

The strategy employs a phased take-profit approach:

Holding TimeTarget ProfitDesign Intent
Immediate14.51%Capture large profits from strong trends
After 10 minutes7.67%Gradually lower expectations
After 23 minutes3.78%Conservative lock-in
After 36 minutes1.99%Small profit exit
After 60 minutes1.28%Near break-even
After 145 minutes0.47%Basically break-even
After 285 minutesBreak-evenTime stop

V. Technical Indicator System​

5.1 Core Indicators​

Indicator CategorySpecific IndicatorsPurpose
Momentum IndicatorRMI (Relative Momentum Index)Judges momentum strength and direction
Trend IndicatorEMAConfirms trend direction
Reversal IndicatorSAR (Parabolic SAR)Trend reversal confirmation
Trend Judgment60-Day HighConfirms uptrend
VolumeVolume MAFilters abnormal volume

5.2 RMI Indicator Explained​

RMI (Relative Momentum Index) is a variant of RSI:

  • Traditional RSI calculates price changes; RMI calculates momentum changes
  • Compared to RSI, RMI is more sensitive to trend changes
  • Parameter settings: typically use default period
  • Overbought zone: RMI > 70
  • Oversold zone: RMI < 30
  • Strong zone: RMI > 55 (used in this strategy)

5.3 SAR Indicator Explained​

Parabolic SAR (Stop and Reverse):

  • Used to determine trend direction and reversal points
  • SAR below price: uptrend
  • SAR above price: downtrend
  • This strategy uses SAR for trend confirmation

VI. Risk Management Highlights​

6.1 Trailing Stop Mechanism​

trailing_stop = True
trailing_stop_positive = 0.02
trailing_stop_positive_offset = 0.03

Design Philosophy:

  • Activates trailing stop when profit reaches 2%
  • Trail offset of 3% gives some pullback room
  • Effectively protects accumulated profits without being stopped out too early

6.2 Hard Stop-Loss Protection​

stoploss = -0.10  # -10%

Design Philosophy:

  • Moderate stop-loss suitable for trend strategies
  • Provides sufficient volatility room
  • Avoids the awkward situation of "bouncing right back after being stopped out"

6.3 ROI Tiered Take-Profit​

Protection LayerFunction
ROI TieredGradually lowers targets based on holding time
Trailing StopProtects accumulated profits
Hard Stop-LossLast line of defense

VII. Strategy Pros & Cons​

Strengths​

  1. Multi-Indicator Confirmation: RMI + SAR + Three green candles + Volume filter, reliable signals
  2. Strong Trend-Following Capability: Enters only when trend is clear, high win rate
  3. Complete Risk Control: Trailing stop + Hard stop-loss + ROI tiered, multi-layer protection
  4. Clear Logic: Entry and exit conditions are clear, easy to understand and adjust

Weaknesses​

  1. Average Performance in Ranging Markets: Common weakness of trend strategies; fewer signals or frequent stop-losses in ranging markets
  2. Limited Entry Opportunities: Multi-condition confirmation results in fewer entry opportunities
  3. Parameter Dependence: RMI, SAR parameters need adjustment for different trading pairs
  4. Lagging: 60-day high confirmation has lag, may miss optimal entry points

VIII. Applicable Scenarios​

Market EnvironmentRecommendationNotes
Unilateral UpwardStrongly RecommendedCore scenario, trend-following effective
DowntrendNot RecommendedWill not trigger buy signals
Ranging MarketUse with CautionMay frequently get stopped out
High VolatilityAdjust ParametersMay widen stop-loss or adjust RMI threshold

IX. Applicable Market Environment Analysis​

Hacklemore2 is a typical trend-following strategy. Based on its code architecture and logic, it is best suited for unilateral upward markets, and performs poorly in ranging or declining markets.

9.1 Strategy Core Logic​

  • No trend, no entry: Confirms trend through 60-day high
  • Momentum Confirmation: Enters only when RMI strengthens, avoiding false breakouts
  • SAR Trend Confirmation: Dual confirmation of trend direction
  • Volume Filter: Avoids extreme market conditions

9.2 Performance in Different Market Environments​

Market TypeRatingAnalysis
Unilateral Upward★★★★★Core scenario, multi-indicator confirmation improves win rate
Ranging Market★★★☆☆Fewer signals, may be repeatedly stopped out
Unilateral Downward☆☆☆☆☆Will not trigger buy signals, no trades
High Volatility★★★☆☆Trailing stop may trigger prematurely

9.3 Key Configuration Recommendations​

Config ItemSuggested ValueNotes
trailing_stop_positive0.02-0.03Adjust based on volatility
RMI Threshold50-60Higher = stricter
Stop-Loss-0.08 ~ -0.12Adjust based on trading pair characteristics

X. Important Notes: The Cost of Complexity​

10.1 Learning Curve​

Hacklemore2 involves multiple technical indicators:

  • RMI (Relative Momentum Index)
  • SAR (Parabolic SAR)
  • Trend judgment (60-day high)
  • Volume analysis

Understanding each indicator's principles and interactions is necessary; beginners should first understand each indicator's meaning.

10.2 Hardware Requirements​

Number of PairsMinimum RAMRecommended RAM
Under 10 pairs2GB4GB
10-30 pairs4GB8GB
Over 30 pairs8GB16GB

10.3 Backtesting vs. Live Trading Differences​

Notes:

  • 60-day high in backtesting may have slippage in live trading
  • RMI momentum judgment may lag in fast-moving markets
  • Volume filtering may miss sudden positive news events

10.4 Manual Trading Suggestions​

If you want to manually apply this strategy's logic:

  1. Observe whether price has made a recent high
  2. Confirm RMI is in the strong zone (>55)
  3. Check if SAR is below price
  4. Wait for three consecutive green candles to confirm momentum
  5. Strictly enforce stop-loss, protect profits

XI. Summary​

Hacklemore2 is a strategy focused on trend following. Its core value lies in:

  1. Multi-Indicator Confirmation Mechanism: RMI + SAR + Three green candles + Volume filter, improves signal reliability
  2. Strong Trend-Following Capability: Enters only when trend is clear, avoids frequent stop-losses in ranging markets
  3. Complete Risk Control: Trailing stop + Hard stop-loss + ROI tiered, multi-layer protection mechanism

For quantitative traders, Hacklemore2 is a classic trend-following template, suitable for capturing trend opportunities in unilateral upward markets. Note that its entry conditions are strict and may miss some moves; flexibly adjust parameters based on market environment.