When to go long on Bitcoin| Algo trading and signals — Part 11

Photo by Moiz K. Malik on Unsplash

There are just so many effective trading-signal combinations for Bitcoin, and here is another one! 6 signals are involved in entry conditions. Each is actually what traders commonly use in live trading, but, together they are not very effective until being optimized. Similar to Part 10, Part 9, the exit conditions are mostly simple trading rules.

In the result section, you can easily see the significance of the parameter optimization phase. The winning rate, as well as the magnitude of each winning trade, improves a lot. Sharp ratio even doubles! I think this is a good trading-signal combination to put in living trading!

Assumptions:

  1. Timeframe: January 1st, 2017 to November 15th, 2020
  2. Trade Frequency: Daily
  3. Executed Price: Close Price
  4. Position: Long
  5. Initial Portfolio Cash Value: $1,000,000
  6. Size: 50 units of Bitcoin per trade
  7. Commission: 0.1 %
  8. Limitation on Exposure: None
  9. Leverage: None
  10. Close all holdings when exiting conditions triggered

Results:

- Original Combination

2017–2020

Final Portfolio Value: 1601812.22
Sharpe Ratio: 0.6243305247830563
Total Compound Return: 0.4711356245798438
Average Return: 0.00033797390572442166
Annualized Return: 0.08890153738924224
Max Drawdown: 10.224054167576584
SQN score: 1.7886230584345162
Trades: 16

- Optimized Combination

2017–2020

Final Portfolio Value: 2132751.10
Sharpe Ratio: 1.357107076362281
Total Compound Return: 0.7574127424832755
Average Return: 0.0005433376918818333
Annualized Return: 0.14673766546173345
Max Drawdown: 7.461241403190721
SQN score: 2.9293398936740003
Trades: 22

Never Stop Learning!

Graduate Student | CFRM program-UW | Writer on Quantitative Investing, Coinmonks || contact me:https://www.linkedin.com/in/jui-lin-jamie-keng-3883b6131/