Schism3 Strategy Deep Dive

Strategy Number: #378 (378th of 465 strategies)
Strategy Type: Multi-condition Rebound Trading + Cross-timeframe Filtering + Multi-currency Support
Timeframe: 5 minutes (5m) + 1 hour (1h information layer) / 1 hour + 4 hour (sub-strategy)

1. Strategy Overview

Schism3 is a highly configurable rebound trading strategy with important upgrades over Schism2MM. Core innovations include: Bounce Pending Signal System, Multi-currency Pair Support (BTC/ETH stake currencies), and Three Strategy Variants (base, BTC, ETH versions). The strategy captures rebound signal prices and enters when prices recover, achieving more precise entry timing.

Core Features

Feature	Description
Buy Conditions	Bounce pending signal + price confirmation + multi-timeframe filtering + multi-currency conditions
Sell Conditions	Dynamic stop-loss + RMI trend reversal + portfolio profit management
Protection Mechanisms	5-layer protection (stop-loss, order timeout, entry confirmation, price protection, bounce price tracking)
Timeframe	5m + 1h (base) / 1h + 4h (sub-strategy)
Dependencies	numpy, talib, qtpylib, arrow, cachetools, technical

2. Strategy Configuration Analysis

2.1 Basic Risk Parameters

# ROI exit table
minimal_roi = {
    "0": 0.05,     # Take 5% profit immediately
    "10": 0.025,   # After 10 minutes: 2.5%
    "20": 0.015,   # After 20 minutes: 1.5%
    "30": 0.01,    # After 30 minutes: 1%
    "720": 0.005,  # After 12 hours: 0.5%
    "1440": 0      # After 24 hours: no profit requirement
}

# Stop-loss setting
stoploss = -0.30  # 30% fixed stop-loss (Note: relatively high)

Design Rationale:

ROI table spans 24 hours, suitable for medium-to-long term holding
Stop-loss as high as 30%, giving greater price volatility room
Combined with ignore_roi_if_buy_signal = True, delays exit when buy signal is valid

2.2 Order Type Configuration

use_sell_signal = False      # Don't use standard sell signals
sell_profit_only = True      # Only sell when profitable
ignore_roi_if_buy_signal = True  # Ignore ROI when buy signal is valid

2.3 Buy Parameters

buy_params = {
    'bounce-lookback': 8,        # Bounce signal lookback period
    'bounce-price': 'min',       # Bounce price takes minimum value
    'down-inf-rsi': 37,          # Downtrend 1h RSI threshold
    'down-mp': 60,               # Downtrend MP threshold
    'down-rmi-fast': 28,         # Downtrend fast RMI
    'down-rmi-slow': 35,         # Downtrend slow RMI
    'up-inf-rsi': 59,            # Uptrend 1h RSI threshold
    'xinf-stake-rmi': 70,        # Stake currency 1h RMI
    'xtf-fiat-rsi': 15,         # Fiat timeframe RSI
    'xtf-stake-rsi': 60          # Stake currency timeframe RSI
}

3. Buy Conditions Detailed Analysis

3.1 Bounce Pending Signal System (Core Innovation)

Schism3 pioneered the bounce pending signal mechanism, working in three steps:

Step 1: Detect Bounce Conditions

dataframe['bounce-pending'] = np.where(
    (1h_rsi >= 37) &              # 1h RSI not too low
    (rmi-dn-trend == 1) &         # RMI downtrend
    (rmi-slow >= 35) &            # Slow RMI not oversold
    (rmi-fast <= 28) &            # Fast RMI relatively low
    (mp <= 60),                   # Momentum ping-pong not high
    1, 0
)

Step 2: Capture Bounce Price

dataframe['bounce-price'] = np.where(
    bounce-pending == 1,
    close,                        # Record price at signal time
    close.rolling(8).min()        # Otherwise take 8-period lowest price
)

Step 3: Confirm Entry

# Actual buy requires confirmation
(1h_rsi >= 59) &                  # Large timeframe trend confirmation
(bounce-range == 1) &              # Bounce signal within 8 periods
(rmi-up-trend == 1) &             # RMI turned to uptrend
(close >= bounce-price)           # Price recovery confirmed

Logic Interpretation:

First detect "might rebound" conditions
Record price when signal appears
Wait for price recovery confirmation before entering

3.2 Multi-currency Pair Support

When stake currency is BTC or ETH, the strategy additionally checks:

if stake_currency in ('BTC', 'ETH'):
    # Timeframe conditions
    (stake_rsi < 60) | (fiat_rsi > 15)   # Stake currency not overbought OR fiat oversold
    # Information frame conditions
    stake_rmi_1h < 70                      # Stake currency 1h RMI not high

Purpose: Avoid longing altcoins when BTC/ETH are dropping sharply.

3.3 Add Position Logic

if active_trade:
    profit_factor = 1 - (rmi-slow / 400)  # Profit factor
    rmi_grow = linear_growth(30, 70, 180, 720, open_minutes)  # Linear growth
    
    conditions.append(rmi-up-trend == 1)
    conditions.append(current_profit > peak_profit * factor)
    conditions.append(rmi-slow >= rmi_grow)

4. Sell Logic Detailed Analysis

4.1 Dynamic Stop-loss System

loss_cutoff = linear_growth(-0.03, 0, 0, 300, open_minutes)
# Holding 0 minutes: allow 3% loss
# Holding 300 minutes: require profit

4.2 RMI Stop-loss Signal

if peak_profit > 0:
    crossed_below(rmi-slow, 50)    # Was profitable: RMI falls below 50
else:
    crossed_below(rmi-slow, 10)    # Never profitable: RMI falls below 10

4.3 Portfolio Profit Management

if free_slots > 0:
    hold_pct = (1 / free_slots) * -0.04
    avg_other_profit >= hold_pct
else:
    biggest_loser == True          # Only allow biggest loser to sell

5. Technical Indicator System

5.1 Core Indicators

Indicator Category	Specific Indicator	Purpose
Momentum	RMI(21,5), RMI(8,4)	Trend direction, overbought/oversold
Rate of Change	ROC(6), MP	Momentum strength measurement
Trend	RMI trend count	Trend confirmation
Bounce System	bounce-pending, bounce-price, bounce-range	Entry timing

5.2 Information Timeframe Indicators (1h)

RSI(14): Confirm large timeframe trend
Stake Currency RMI (BTC/ETH only): Cross-currency filtering

5.3 Multi-currency Frame Indicators

When stake currency is BTC or ETH:

Indicator	Data Source	Purpose
`{coin}_rsi`	COIN/USD (5m)	Coin fiat price trend
`{stake}_rsi`	STAKE/USD (5m)	Stake currency fiat trend
`{stake}_rmi_1h`	STAKE/USD (1h)	Stake currency long-term trend

6. Risk Management Features

6.1 Multi-layer Stop-loss Protection

Stop-loss Type	Trigger Condition	Description
Fixed Stop-loss	Loss >= 30%	Hard exit (Note: relatively loose)
Dynamic Stop-loss	Profit < time threshold	Soft exit
RMI Stop-loss	RMI falls below threshold	Trend reversal
Portfolio Stop-loss	Overall position consideration	Fund management
Bounce Invalid	Price doesn't recover	Signal invalidation

6.2 Order Timeout Protection

def check_buy_timeout(self, pair, trade, order, **kwargs):
    if current_price > order['price'] * 1.01:  # Price deviates 1%
        return True
    return False

def check_sell_timeout(self, pair, trade, order, **kwargs):
    if current_price < order['price'] * 0.99:  # Price deviates 1%
        return True
    return False

6.3 Entry Price Protection

def confirm_trade_entry(self, pair, order_type, amount, rate, **kwargs):
    if current_price > rate * 1.01:  # Price deviates more than 1%
        return False
    return True

6.4 Bounce Price Tracking

The strategy records the price when bounce signal appears, ensuring entry only when price recovers, avoiding buying halfway down.

7. Strategy Variants

7.1 Schism3_BTC (BTC Stake Currency Specific)

timeframe = '1h'
inf_timeframe = '4h'

buy_params = {
    'inf-rsi': 64,
    'mp': 55,
    'rmi-fast': 31,
    'rmi-slow': 16,
    'xinf-stake-rmi': 67,
    'xtf-fiat-rsi': 17,
    'xtf-stake-rsi': 57
}

minimal_roi = {
    "0": 0.05,
    "240": 0.025,   # 4 hours
    "1440": 0.01,   # 1 day
    "4320": 0       # 3 days
}

Features: Uses longer timeframes, suitable for BTC volatility characteristics.

7.2 Schism3_ETH (ETH Stake Currency Specific)

timeframe = '1h'
inf_timeframe = '4h'

buy_params = {
    'inf-rsi': 13,
    'mp': 40,
    'rmi-fast': 42,
    'rmi-slow': 17,
    'xinf-stake-rmi': 69,
    'xtf-fiat-rsi': 15,
    'xtf-stake-rsi': 92
}

Features: Parameter optimization for ETH volatility characteristics.

8. Strategy Advantages and Limitations

✅ Advantages

Bounce Pending Signal System: First record signal price, confirm recovery before entry
Multi-currency Support: Automatically adapts to BTC/ETH stake currencies
Configurable Parameters: Supports per-coin-group parameter override
Three Variants: Base, BTC, ETH versions for different scenarios

⚠️ Limitations

High Stop-loss Risk: 30% stop-loss may bear significant drawdown
Multi-data Source Dependency: Requires additional STAKE/USD and COIN/USD data
High Complexity: Bounce system + multi-currency conditions + portfolio management
Backtest Limitations: Multi-currency conditions may need extra configuration in backtest

9. Suitable Scenario Recommendations

Market Environment	Recommended Configuration	Description
BTC/ETH Stake	Schism3_BTC / Schism3_ETH	Use specialized variants
Stablecoin Stake	Schism3 base version	Default parameters
High Volatility Market	Adjust stop-loss	Lower stoploss
Long-term Holding	Use sub-strategy	1h+4h framework

10. Suitable Market Environment Details

Schism3 is a smart rebound strategy. Based on its code architecture and community long-term live trading verification, it is most suitable for oscillating uptrend markets and performs poorly in one-sided downtrends.

10.1 Strategy Core Logic

Bounce Pending Signal: Detect potential rebound conditions, record price
Price Confirmation: Wait for price recovery confirmation before entry
Multi-currency Filtering: Extra check on stake currency trend when using BTC/ETH
Portfolio Management: Sell decisions considering overall positions

10.2 Performance in Different Market Environments

Market Type	Performance Rating	Analysis
📈 Oscillating Uptrend	⭐⭐⭐⭐⭐	Bounce signals precise, price confirmation effective
🔄 Sideways Oscillation	⭐⭐⭐☆☆	Bounce signals may trigger frequently
📉 One-sided Downtrend	⭐⭐☆☆☆	30% stop-loss may be triggered
⚡ High Volatility	⭐⭐⭐☆☆	Bounce price tracking may fail

10.3 Key Configuration Recommendations

Configuration Item	Recommended Value	Description
`bounce-lookback`	5-10	Lookback period, increase for high volatility
`stoploss`	-0.15 ~ -0.25	Adjust based on risk tolerance
`up-inf-rsi`	55-65	Trend confirmation threshold

11. Summary

Schism3 is a highly configurable rebound trading strategy. Its core value lies in:

Bounce Pending Signal System: Detect first, confirm later, avoid buying halfway down
Multi-currency Support: Automatically adapts to BTC/ETH stake currencies
Strategy Variants: Three versions for different scenarios
Portfolio Management: Smart decisions considering overall positions

For quantitative traders, this is a medium-to-high complexity strategy suitable for oscillating uptrend markets, requiring proper multi-currency data source configuration to achieve maximum effect.

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 Analysis​

3.1 Bounce Pending Signal System (Core Innovation)​

Step 1: Detect Bounce Conditions​

Step 2: Capture Bounce Price​

Step 3: Confirm Entry​

3.2 Multi-currency Pair Support​

3.3 Add Position Logic​

4. Sell Logic Detailed Analysis​

4.1 Dynamic Stop-loss System​

4.2 RMI Stop-loss Signal​

4.3 Portfolio Profit Management​

5. Technical Indicator System​

5.1 Core Indicators​

5.2 Information Timeframe Indicators (1h)​

5.3 Multi-currency Frame Indicators​

6. Risk Management Features​

6.1 Multi-layer Stop-loss Protection​

6.2 Order Timeout Protection​

6.3 Entry Price Protection​

6.4 Bounce Price Tracking​

7. Strategy Variants​

7.1 Schism3_BTC (BTC Stake Currency Specific)​

7.2 Schism3_ETH (ETH Stake Currency Specific)​

8. Strategy Advantages and Limitations​

✅ Advantages​

⚠️ Limitations​

9. Suitable Scenario Recommendations​

10. Suitable Market Environment Details​

10.1 Strategy Core Logic​

10.2 Performance in Different Market Environments​

10.3 Key Configuration Recommendations​

11. Summary​