Schism Strategy Deep Analysis

Strategy Number: #375 (375th of 465 strategies)
Strategy Type: Multi-condition trend following + Dynamic take-profit/stop-loss + Real-time position awareness
Timeframe: 5 minutes (5m) + 1-hour information layer (1h)

1. Strategy Overview

Schism is a medium-to-short-term trading strategy combining momentum indicators with trend judgment. Its core features include "sticky buy signals" and "dynamic stop-loss mechanisms." The strategy uses RMI (Relative Momentum Index) dual timeframe analysis, combined with Momentum Pinball and ADR (Average Daily Range) positioning, to implement a trading logic of "bottom fishing but not blind bottom fishing."

This strategy was developed by @werkkrew and @JimmyNixx and is the foundational version of the Schism series, which later evolved into advanced versions like Schism2 and Schism2MM.

Core Features

Feature	Description
Buy Conditions	2 independent buy signal groups (new position buy + position continuation signals), supports `ignore_roi_if_buy_signal`
Sell Conditions	Dynamic stop-loss + Tiered ROI take-profit, combined with other trade status decisions
Protection Mechanisms	Order timeout protection, entry confirmation, price slippage protection
Timeframe	Main timeframe 5m + Information timeframe 1h
Dependencies	numpy, talib, qtpylib, arrow, pandas, technical.indicators.RMI, cachetools.TTLCache

2. Strategy Configuration Analysis

2.1 Basic Risk Parameters

# ROI exit table
minimal_roi = {
    "0": 0.10,     # Immediately requires 10% profit
    "15": 0.05,    # After 15 minutes requires 5%
    "30": 0.025,   # After 30 minutes requires 2.5%
    "60": 0.01,    # After 1 hour requires 1%
    "120": 0.005,  # After 2 hours requires 0.5%
    "1440": 0      # After 24 hours accepts any profit
}

# Stop-loss setting
stoploss = -0.40  # 40% hard stop-loss

# Signal configuration
use_sell_signal = True
sell_profit_only = True
ignore_roi_if_buy_signal = True  # Key: Ignore ROI when buy signal is active

Design Philosophy:

ROI thresholds decrease over time, from 10% down to 0%, adapting to medium-term holdings
Stop-loss is relatively wide (-40%), providing ample room for volatility
ignore_roi_if_buy_signal = True is the core, allowing position continuation signals to override ROI

2.2 Order Type Configuration

The strategy does not explicitly define order_types, using Freqtrade default configuration.

2.3 Buy Parameters

buy_params = {
    'rmi-slow': 20,      # Slow RMI lower limit
    'rmi-fast': 20,      # Fast RMI upper limit
    'mp': 50,            # Momentum Pinball upper limit
    'inf-rsi': 30,       # Information layer RSI lower limit
    'inf-pct-adr': 0.8   # ADR percentile threshold
}

3. Buy Conditions Detailed

3.1 Technical Indicator System

The strategy uses a multi-dimensional indicator combination:

Indicator Category	Specific Indicator	Parameters	Purpose
Momentum	RMI-slow	length=21, mom=5	Trend direction judgment
Momentum	RMI-fast	length=8, mom=4	Fast signal capture
Momentum	ROC	timeperiod=6	Rate of change measurement
Composite	Momentum Pinball	RSI(ROC, 6)	Overbought/oversold positioning
Trend	RMI-up-trend	rolling(3) >= 2	Uptrend confirmation
Trend	RMI-dn-trend	rolling(3) >= 2	Downtrend confirmation
Info Layer	RSI_1h	timeperiod=14	Higher-dimension trend judgment
Info Layer	1d_high/3d_low	rolling(24/72)	Price range positioning
Info Layer	ADR	1d_high - 3d_low	Volatility range calculation

3.2 Buy Condition Classification

The strategy uses different buy logic based on whether there's an active trade:

Condition Group #1: New Position Buy Signal (No Active Trade)

# Core logic
conditions = [
    RSI_1h >= 30,                                    # 1-hour RSI not below 30
    close <= 3d_low_1h + 0.8 * ADR_1h,              # Price within 80% volatility range above 3-day low
    rmi-dn-trend == 1,                               # RMI downtrend confirmation
    rmi-slow >= 20,                                  # Slow RMI not below 20
    rmi-fast <= 20,                                  # Fast RMI not above 20
    mp <= 50,                                        # Momentum Pinball not exceeding 50
    volume > 0                                       # Has volume
]

Logic Interpretation:

Information layer RSI >= 30: Ensures not in extreme oversold state
Price positioning: Bottom fish but not at the lowest point, leaving 80% volatility space
RMI configuration: Slow RMI >= 20 (not extremely weak), Fast RMI <= 20 (short-term momentum low)
Trend confirmation: Looking for reversal opportunities during RMI downtrend
Momentum Pinball: Waiting for momentum to stabilize

Condition Group #2: Position Continuation Buy Signal (Active Trade Exists)

# Core logic - for ignore_roi_if_buy_signal mechanism
conditions = [
    rmi-up-trend == 1,                               # RMI uptrend
    current_profit > peak_profit * profit_factor,    # Dynamic profit factor
    rmi-slow >= rmi_grow                             # RMI dynamic growth threshold
]

# profit_factor calculation
profit_factor = 1 - (rmi-slow / 400)  # rmi 30 -> 0.925, rmi 80 -> 0.80

# rmi_grow calculation (linear growth)
rmi_grow = linear_growth(30, 70, 180, 720, open_minutes)
# Grows from 30 to 70
# Start time: after 180 minutes
# End time: after 720 minutes

Logic Interpretation:

Trend continuation: RMI uptrend confirmation, preventing premature selling
Dynamic profit factor: As RMI rises, profit requirements decrease (encouraging trend holding)
Linear growth threshold: As holding time increases, RMI threshold gradually increases, forcing trend confirmation

3.3 Buy Conditions Summary

Condition Group	Applicable Scenario	Core Logic
New position buy	No active trade	Information layer positioning + RMI contrarian bottom fishing + Momentum confirmation
Position continuation	Active trade exists	Trend confirmation + Dynamic profit factor + RMI growth threshold

4. Sell Logic Detailed

4.1 Tiered Take-Profit System (ROI)

The strategy uses a time-decay ROI mechanism:

Holding Time      Profit Threshold    Description
─────────────────────────────────────────────────
minutes         10%                 Very short-term high profit target
minutes        5%                  Quick take-profit
minutes        2.5%                Medium-term target
minutes        1%                  Lowered expectations
minutes       0.5%                Accept small profit
minutes      0%                  Accept any profit

4.2 Dynamic Stop-Loss Sell

The strategy's sell signal is mainly used for "dynamic stop-loss" rather than active take-profit:

# Dynamic stop-loss conditions
if active_trade:
    loss_cutoff = linear_growth(-0.03, 0, 0, 300, open_minutes)
    # Grows from -3% to 0%
    # Start time: immediately
    # End time: after 300 minutes
    
    conditions = [
        current_profit < loss_cutoff,              # Profit below dynamic threshold
        current_profit > stoploss,                 # But hasn't hit hard stop-loss
        rmi-dn-trend == 1,                         # RMI downtrend
        volume > 0                                 # Has volume
    ]
    
    # Profit status branching
    if peak_profit > 0:
        conditions += [rmi-slow crossed_below 50]  # Was profitable: RMI crosses below 50
    else:
        conditions += [rmi-slow crossed_below 10]  # Never profitable: RMI crosses below 10

Logic Interpretation:

Dynamic threshold: Longer holding time means higher stop-loss threshold (from -3% to 0%)
Trend confirmation: Only triggers during downtrend, avoiding false sells in choppy markets
Profit status branching: Previously profitable trades use looser sell conditions (RMI 50), never profitable trades use stricter conditions (RMI 10)

4.3 Other Trade Status Awareness

The strategy implements a global position awareness mechanism:

if other_trades:
    if free_slots > 0:
        # When there are free slots, reference other trades' average profit
        max_market_down = -0.04
        hold_pct = (1 / free_slots) * max_market_down
        conditions += [avg_other_profit >= hold_pct]
        # More free slots means more willing to hold
        # 1 slot -> avg_other_profit >= -0.04
        # 4 slots -> avg_other_profit >= -0.01
    else:
        # When no free slots, only allow biggest losing trade to sell
        conditions += [biggest_loser == True]

Design Philosophy:

When there are free slots, decide whether to sell based on overall market state
When fully invested, prioritize stopping out the biggest losing trade to release capital

5. Technical Indicator System

5.1 Core Indicators

Indicator Category	Specific Indicator	Purpose
Relative Momentum Index	RMI-slow (21, 5)	Main trend judgment
Relative Momentum Index	RMI-fast (8, 4)	Fast signal
Rate of Change	ROC (6)	Momentum measurement
Momentum Pinball	MP = RSI(ROC, 6)	Overbought/oversold positioning
Trend Direction	RMI-up/dn	Single period direction
Trend Strength	RMI-up-trend/dn-trend	Three-period confirmation

5.2 Information Timeframe Indicators (1h)

The strategy uses the 1-hour timeframe as an information layer for higher-dimension trend judgment:

RSI_1h: 14-period RSI, ensures not entering extreme oversold state
1d_high: 24-hour (1 day) high
3d_low: 72-hour (3 day) low
ADR: Average Daily Range (1d_high - 3d_low)

Price Positioning Logic:

Buy price upper limit = 3d_low + inf_pct_adr * ADR
                       = 3d_low + 0.8 * ADR

6. Risk Management Features

6.1 Hard Stop-Loss Combined with Dynamic Stop-Loss

The strategy uses a dual stop-loss mechanism:

Stop-Loss Type	Threshold	Trigger Condition
Hard stop-loss	-40%	Fixed trigger
Dynamic stop-loss	-3% → 0%	Holding time + Trend confirmation

Dynamic Stop-Loss Advantages:

Early period (holding 0-300 minutes): Stop-loss threshold gradually increases from -3%
Late period (holding >300 minutes): Stop-loss threshold is 0%, protecting realized profit
Only triggers during downtrend, avoiding false sells in choppy markets

6.2 Order Timeout Protection

def check_buy_timeout(self, pair, trade, order, **kwargs):
    # Buy order timeout: Cancel if price slippage > 1%
    if current_price > order_price * 1.01:
        return True  # Cancel order
    return False

def check_sell_timeout(self, pair, trade, order, **kwargs):
    # Sell order timeout: Cancel if price slippage > 1%
    if current_price < order_price * 0.99:
        return True  # Cancel order
    return False

6.3 Entry Confirmation Mechanism

def confirm_trade_entry(self, pair, order_type, amount, rate, time_in_force, **kwargs):
    # Pre-entry confirmation: Reject if price slippage > 1%
    if current_price > rate * 1.01:
        return False  # Reject entry
    return True

Slippage Protection Logic:

Uses real-time order book to get current price
Cancel/reject when order price differs from current price by > 1%
Prevents unfavorable fills during extreme market conditions

6.4 Price Cache Mechanism

custom_current_price_cache: TTLCache = TTLCache(maxsize=100, ttl=300)  # 5-minute TTL

Cache Strategy:

Maximum cache of 100 trading pairs
TTL 300 seconds (5 minutes)
Reduces unnecessary API calls

7. Strategy Advantages and Limitations

✅ Advantages

Dynamic Profit Factor: ignore_roi_if_buy_signal mechanism combined with dynamic profit factor maximizes holding returns during trending markets
Global Position Awareness: Strategy is aware of other trade statuses, enabling cross-trade coordinated decisions and avoiding misoperations when fully invested
Multi-Layer Protection Mechanism: Hard stop-loss + Dynamic stop-loss + Order timeout + Entry confirmation, four-layer protection network
Information Layer Enhancement: 1-hour timeframe provides higher-dimension trend judgment, reducing noise interference
Linear Growth Threshold: Dynamically adjusted RMI threshold adapts to different holding durations

⚠️ Limitations

Live Trading Only: ignore_roi_if_buy_signal and position continuation signals are not compatible with backtesting and hyperparameter optimization
Wide Stop-Loss: 40% hard stop-loss may be too wide for conservative traders
Real-Time Data Dependency: Requires database access to query other trade statuses, demanding high system stability
Computational Complexity: Multiple indicators, multiple timeframes, multiple trade awareness, significant computational overhead
Parameter Sensitivity: Buy parameters are optimized, may have overfitting risk

8. Applicable Scenario Recommendations

Market Environment	Recommended Configuration	Description
Slow bull market	Default configuration	Trend continuation signals work effectively
Choppy market	Raise stop-loss threshold	Reduce false breakout-induced stop-losses
Sharp decline	Lower RSI threshold	Bottom fish earlier, but increased risk
High volatility coins	Expand ADR percentage	Adapt to larger volatility ranges

Recommended Trading Pairs:

Liquid major coins (BTC, ETH, large-cap altcoins)
Avoid extremely volatile small coins (stop-loss may not trigger in time)

9. Applicable Market Environment Details

The Schism series is a "bottom-fishing trend following strategy". Based on its code architecture and long-term live trading verification from the community, it is best suited for rebound markets after oscillating declines, while performing poorly during one-sided crashes.

9.1 Strategy Core Logic

Bottom fish but not at the lowest point: Price positioned at 80% volatility range above 3-day low, leaving safety margin
Momentum confirmation: Looking for reversal opportunities during RMI downtrend, avoiding chasing highs
Trend continuation: During holding period, maximize trend returns through buy signal continuation mechanism
Global coordination: Aware of other trade statuses, enabling cross-trade capital management

9.2 Performance in Different Market Environments

Market Type	Performance Rating	Reason Analysis
📈 Slow bull market	⭐⭐⭐⭐⭐	Trend continuation mechanism fully发挥作用，持仓收益最大化
🔄 Choppy market	⭐⭐⭐☆☆	Bottom fishing signals may trigger multiple times, watch out for fees
📉 One-sided crash	⭐⭐☆☆☆	Bottom fishing signals may trigger too early, wide stop-loss poses risk
⚡️ Rapid rise/fall	⭐☆☆☆☆	Order timeout protection may fail, high slippage risk

9.3 Key Configuration Recommendations

Configuration Item	Recommended Value	Description
`max_open_trades`	3-5	Coordinate with global position awareness, avoid over-diversification
`stake_amount`	Equal allocation	Coordinate with `free_slots` logic
`timeframe`	5m	Native configuration, not recommended to modify
`inf_timeframe`	1h	Information layer configuration, not recommended to modify

10. Important Warning: The Cost of Complexity

10.1 Learning Curve

Schism strategy code is approximately 200 lines, including:

Multi-timeframe indicator calculations
Real-time database queries
Dynamic threshold calculations
Global position awareness

It is recommended to run in dry_run mode for at least 1 week before live trading to familiarize yourself with strategy behavior.

10.2 Hardware Requirements

Number of Trading Pairs	Minimum Memory	Recommended Memory
1-10 pairs	2 GB	4 GB
10-30 pairs	4 GB	8 GB
30+ pairs	8 GB	16 GB

Note: The strategy requires database access to query other trade statuses, with significant memory overhead in multi-pair scenarios.

10.3 Differences Between Backtesting and Live Trading

Key Differences:

ignore_roi_if_buy_signal and position continuation signals only work in live trading/dry run
Cannot access Trade.get_trades() data during backtesting
Backtesting results may differ significantly from live trading performance

Recommended Workflow:

First use backtesting to verify buy signal quality
Then use dry_run to verify dynamic logic
Finally small position live trading verification

10.4 Manual Trader Recommendations

Schism's core concepts can be borrowed:

Momentum-confirmed bottom fishing: Look for reversals during RMI downtrend, not blind bottom fishing
Dynamic stop-loss: Longer holding time means tighter stop-loss threshold
Global perspective: Consider the overall state of all positions, avoid full-investment risks

11. Summary

Schism is a "bottom-fishing trend following strategy" that implements a trading logic of "bottom fishing but not at the lowest point" through RMI momentum indicator multi-dimensional analysis combined with 1-hour information layer trend judgment. Its core value lies in:

Dynamic Position Continuation: ignore_roi_if_buy_signal mechanism maximizes returns during trending markets
Global Position Awareness: Cross-trade coordinated decisions, avoiding capital management failures
Multi-Layer Protection Network: Hard stop-loss + Dynamic stop-loss + Order timeout + Entry confirmation
Information Layer Enhancement: 1-hour timeframe provides higher-dimension trend judgment

For quantitative traders, Schism is a live-trading-oriented strategy, suitable for experienced traders. Not recommended for beginners to use directly. It is recommended to start with Schism2 (evolved version) or default parameters and gradually optimize.

1. Strategy Overview​

Core Features​

2. Strategy Configuration Analysis​

2.1 Basic Risk Parameters​

2.2 Order Type Configuration​

2.3 Buy Parameters​

3. Buy Conditions Detailed​

3.1 Technical Indicator System​

3.2 Buy Condition Classification​

Condition Group #1: New Position Buy Signal (No Active Trade)​

Condition Group #2: Position Continuation Buy Signal (Active Trade Exists)​

3.3 Buy Conditions Summary​

4. Sell Logic Detailed​

4.1 Tiered Take-Profit System (ROI)​

4.2 Dynamic Stop-Loss Sell​

4.3 Other Trade Status Awareness​

5. Technical Indicator System​

5.1 Core Indicators​

5.2 Information Timeframe Indicators (1h)​

6. Risk Management Features​

6.1 Hard Stop-Loss Combined with Dynamic Stop-Loss​

6.2 Order Timeout Protection​

6.3 Entry Confirmation Mechanism​

6.4 Price Cache Mechanism​

7. Strategy Advantages and Limitations​

✅ Advantages​

⚠️ Limitations​

8. Applicable Scenario Recommendations​

9. Applicable Market Environment Details​

9.1 Strategy Core Logic​

9.2 Performance in Different Market Environments​

9.3 Key Configuration Recommendations​

10. Important Warning: The Cost of Complexity​

10.1 Learning Curve​

10.2 Hardware Requirements​

10.3 Differences Between Backtesting and Live Trading​

10.4 Manual Trader Recommendations​

11. Summary​

1. Strategy Overview

Core Features

2. Strategy Configuration Analysis

2.1 Basic Risk Parameters

2.2 Order Type Configuration

2.3 Buy Parameters

3. Buy Conditions Detailed

3.1 Technical Indicator System

3.2 Buy Condition Classification

Condition Group #1: New Position Buy Signal (No Active Trade)

Condition Group #2: Position Continuation Buy Signal (Active Trade Exists)

3.3 Buy Conditions Summary

4. Sell Logic Detailed

4.1 Tiered Take-Profit System (ROI)

4.2 Dynamic Stop-Loss Sell

4.3 Other Trade Status Awareness

5. Technical Indicator System

5.1 Core Indicators

5.2 Information Timeframe Indicators (1h)

6. Risk Management Features

6.1 Hard Stop-Loss Combined with Dynamic Stop-Loss

6.2 Order Timeout Protection

6.3 Entry Confirmation Mechanism

6.4 Price Cache Mechanism

7. Strategy Advantages and Limitations

✅ Advantages

⚠️ Limitations

8. Applicable Scenario Recommendations

9. Applicable Market Environment Details

9.1 Strategy Core Logic

9.2 Performance in Different Market Environments

9.3 Key Configuration Recommendations

10. Important Warning: The Cost of Complexity

10.1 Learning Curve

10.2 Hardware Requirements

10.3 Differences Between Backtesting and Live Trading

10.4 Manual Trader Recommendations

11. Summary