btc-trading/STRATEGY_PING_PONG.md

Ping-Pong Trading Strategy (RSI & Hurst Bands)

The Ping-Pong strategy is an accumulation and volatility harvesting system designed for range-bound or trending markets. It utilizes a series of "pings" (small trades) to build a position during dips (Long) or peaks (Short) and takes profits incrementally during price reversals.

1. Core Indicators

A. RSI (Relative Strength Index)

• Calculation: Standard 14-period RSI using Rolling Moving Average (RMA) smoothing.
• Overbought/Oversold: Default levels are 70/30.
• Crossover Logic (Long Mode):
  • Accumulate (BUY): RSI crosses UP through the oversold level (e.g., from 29 to 31).
  • Partial Exit (SELL): RSI crosses DOWN through the overbought level (e.g., from 71 to 69).

B. Hurst Bands

• Structure:
  • Center Line: A Rolling Moving Average (RMA) shifted backward by half the period to center it on price action.
  • Bands: Center Line ± (Multiplier * ATR).
• Crossover Logic (Long Mode):
  • Accumulate (BUY): Price (Close) crosses DOWN below the hurst_lower band.
  • Partial Exit (SELL): Price (Close) crosses UP above the hurst_upper band.

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2. Execution Logic (Long Direction)

The strategy operates on a Crossover-only trigger mechanism on every new candle.

A. Opening & Accumulation (Signal: OPEN)

Triggered if EITHER RSI or Hurst generates a BUY signal (and both are enabled).

• Trade Size: pos_size_margin * exchange_leverage (USD).
• Risk Filter: A trade is only executed if the resulting Total Effective Leverage (Total Position Notional / Account Equity) is less than or equal to max_effective_leverage.
• Order Type: Market Order.

B. Closing & Partial Exit (Signal: CLOSE)

Triggered if EITHER RSI or Hurst generates a SELL signal (and both are enabled).

• Exit Size: current_position_size * partial_exit_pct (Default: 15%).
• Minimum Value Rule: If the remaining position value after the partial exit would fall below min_position_value_usd (Default: $15), the ENTIRE position is closed.
• Order Type: Market Order (with reduceOnly=True).

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3. Server-Side Execution Workflow

1. Polling: The script polls the database every 5-10 seconds for the most recent candle data.
2. Candle Detection: When a new candle timestamp is detected, the indicator engine recalculates RSI and Hurst Bands.
3. Signal Check: The script compares the latest candle values with the previous candle values to identify strict crossovers.
4. Exchange Sync: Before execution, the script fetches the current account balance and active position from the exchange (e.g., Bybit).
5. Order Placement: Based on the calculated quantity and risk filters, it sends a Market Order to the exchange.

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4. Key Configuration Parameters

Parameter	Type	Default	Description
symbol	string	BTCUSDT	Trading pair.
direction	string	long	Strategy direction ("long" or "short").
pos_size_margin	float	20.0	The base USD amount for each trade (Ping).
exchange_leverage	float	3.0	Multiplier for the individual trade size.
max_eff_leverage	float	1.0	Hard cap on total account exposure.
partial_exit_pct	float	0.15	Fraction of the position to close on a sell signal.
min_pos_val_usd	float	15.0	Minimum USD value to keep a position active.
rsi_enabled	boolean	true	Enable RSI as a trigger.
hurst_enabled	boolean	true	Enable Hurst Bands as a trigger.