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NotAnotherSMAOffsetStrategyModHO_LamineDz_20210901 Strategy Analysis

1. Strategy Overview​

1.1 Background​

NotAnotherSMAOffsetStrategyModHO_LamineDz_20210901 (NASO strategy) is a quantitative trading strategy based on SMA Offset principles, developed by LamineDz team in September 2021. The core idea: use MA offset characteristics combined with EWO and RSI to find oversold entry opportunities and exit at trend reversals or profit targets.

The "NotAnother" name reflects independent thinking — a departure from conventional SMA strategies.

1.2 Core Philosophy​

"Be greedy when others are fearful, be fearful when others are greedy." The offset mechanism solves problems of frequent stop-outs in ranging markets and entry lag in trending markets that plague traditional MA strategies.

1.3 Architecture​

  • Framework: Freqtrade
  • Timeframe: 5 minutes
  • Suitable for: Crypto markets, moderate volatility, liquid pairs

2. Core Indicators​

2.1 MA System​

  • Buy EMA: base_nb_candles_buy=10, low_offset=0.984 (buy at 1.6% below EMA)
  • Sell EMA: base_nb_candles_sell=6, high_offset=1.002, high_offset_2=1.0
  • HMA_50: Mid-term trend, low lag
  • EMA_100: Long-term trend
  • SMA_9: Short-term trend

2.2 EWO​

EWO = (EMA_5 - EMA_200) / Low × 100

Thresholds: ewo_high=3.206, ewo_low=-10.69

2.3 RSI​

  • Fast: RSI(4)
  • Standard: RSI(14), buy threshold 63
  • Slow: RSI(20)

2.4 ADX​

ADX(2) + DI for trend strength

3. Entry Signals​

3.1 Channel 1: EWO High (Trend Pullback)​

RSI_fast < 35 AND Close < EMA_buy × 0.984 AND EWO > 3.206
AND RSI < 63 AND Volume > 0 AND Close < EMA_sell × 1.002

3.2 Channel 2: EWO Low (Deep Oversold)​

RSI_fast < 35 AND Close < EMA_buy × 0.984 AND EWO < -10.69
AND Volume > 0 AND Close < EMA_sell × 1.002

4. Exit Signals​

4.1 Trend Continuation Exit​

Close > SMA_9 AND Close > EMA_sell × 1.0 AND RSI > 50
AND Volume > 0 AND RSI_fast > RSI_slow

4.2 Trend Reversal Exit​

Close < HMA_50 AND Close > EMA_sell × 1.002
AND Volume > 0 AND RSI_fast > RSI_slow

4.3 Exit Confirmation​

ADX/DI filtering + HMA/EMA trend check + RSI momentum filter

5. Risk Management​

5.1 Stop-Loss​

  • Fixed: -10% (tighter than many variants)
  • Trailing: 0.75% distance, activates at 3% profit

5.2 ROI​

minimal_roi = {"0": 0.214}  # 21.4%
ignore_roi_if_buy_signal = True

5.3 Slippage Protection​

max_slippage=-2%, retries=3

5.4 Profit-Only Selling​

sell_profit_only=True, sell_profit_offset=0.01

6. Parameters​

ParameterDefaultRange
base_nb_candles_buy105-80
low_offset0.9840.9-0.99
ewo_high3.2062.0-12.0
ewo_low-10.69-20.0--8.0
rsi_buy6330-70
base_nb_candles_sell65-80
high_offset1.0020.95-1.1
high_offset_21.00.99-1.5

7. Pros & Cons​

Advantages​

  • Unique offset mechanism
  • Dual-entry design for different states
  • Multi-layer risk control
  • Parameter optimizable

Limitations​

  • Trend-dependent
  • Parameter sensitivity
  • Slippage risk
  • False breakout risk

8. Summary​

NASO strategy represents innovation in MA-based strategies. Five-layer protection (stop-loss, trailing, dynamic, slippage, exit confirmation) makes it suitable for experienced quantitative traders. Success requires thorough backtesting, parameter optimization, and disciplined execution.