BTC Trading Strategy (>8x Buy & Hold)

This is proprietary alpha strategy aimed at trading large-cap cryptos, including BTC and ETH.

The script is comprised of several proprietary momentum and volatility indicators that generate buy & sell signals. Roughly 30% of entries are successful, with the rest being exited quickly once invalidated; the entries that persist generated an outsized return. The strategy returned over 8x Buy & Hold returns of BTC from 2016-2021, for a total of >91,000% (from 2016 - 2021/04) vs. roughly 11,000% buy & hold.

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Notes de version:

Updated strategy parameters to maximize returns.

Notes de version:

Added support for abrupt exits/entries on overextended runs prior to reversal.
There is a small bug: the strategy would often report entries/exits for the same side at the same time, these should be just ignored for now and they don't impact the overall performance assessment.

Notes de version:

Fixed a bug that resulted in recursive orders. Another bug remains, but is smaller and will be fixed later.

Notes de version:

Resolved defect with duplicate orders.

Notes de version:

Resolved charting defect

Notes de version:

Added commission of 0.05% and stop loss, which increased the historical performance of this strategy to an aggregate 15x over buy & hold since 2016.
Slippage and funding not taken into account.

Notes de version:

Updated tags.

Notes de version:

Optimized stop loss/extended profit taking.

Notes de version:

Introduced profit taking suppression during volatility spikes, achieving an extra ~400% gain since 2018.

Notes de version:

Updated parameters used for sample results:
pyramiding=0, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, calc_on_order_fills=false, calc_on_every_tick=false, commission_value=0.05, slippage=0
Start date: 2018/1/1
End date: 2021/5/15

No leverage.

Happy trading!

Notes de version:

Typo: start date is 2019/1/1.

Notes de version:

Introduced additional volatility filters to prevent unnecessary entries/exits. No other changes.

Notes de version:

Major revision, and the last revision to this script that will be posted publicly. Future versions will be posted under "BTC Trading Strategy".

Two major changes in this revision: 1) added additional bullish/bearish pattern detection and 2) added support for bear markets (e.g., BTC in 2018).

Sample resulted updated to show last 2 years of trades.

Notes de version:

Updated strategy with recent developments.