Aurelius - How to make profit with high-leverage trading and TP

24 juin 2020

Aurelius is our latest strategy fully oriented to be realized as much similar to backtests as possible. To achieve this, we are not only coded several trend-detection instruments, filters, and bands but also two game-changing features.

1. Getting onboard on pullbacks. For real trading that means filling your order on time with limit orders so, you got non-obvious for majority but importat real-trading advantages:
— zero or negative commission
— filling lager position more easily
— not chasing the price going up/down
— more distance from entry and exit means more profits

2. This strategy has nice small greed and fear spotting feature. So based on this we made take profits for technical tops/bottoms. Also, you can tune up your risk/drawdown appetite, so when you choose to sell 1% of position every take profit signal, you'll have more profit potential if price goes up more. Similarly, if you choose to sell 75% of current position (e.g. in flat markets) you'll get nice relatively small drawdown numbers.

And as always:
— No repainting
— No “security” function, so this strategy fully works on given timeframe
— No waiting for bigger candle close

--------- Modelling high-leverage trading in detail

High-leverage trading

High leverage was in mind when we were designing this strategy. In short, if we use real margin of 1.5% on Bitmex that equals real leverage of 67. Real leverage means that is no subsidy payment for the Bitmex insurance fund of exchange. Putting it simple, our stop loss is 1.5% below entry price for longs. That gives us an opportunity to trade position size that is about x3 of our initial capital when actually risking 5% percent of equity. We can also fine-tune our risk appetite, so risking 2% of equity with 1.5% stop loss gives us about x1.2 on our initial capital, and risking 2% of equity with 3% stop loss gives us tradable position of 60% of our capital. Credits for this system going to Antiliqudation tool.

Backtest

We're trying to make backtest modes as realistic as we can, so there is leverage modelling:

— Initial capital: 9345 USD. That means we put the price of 1 BTC in the beginning of testing.
— Fixed order size of 2.6 BTC per position. That means we're using 4% of equity per trade.
— We have more than 1000 orders. It is hard to monitor them 24/7 so automation is good thing to use.


Automation

— Commission of 0 is real in implementation, as some exchanges pays you -0.025% (negative) market maker commission. Automated order execution is necessary for zero commission, and a special type of order that tries to enter a position with a limit order that is constantly adjusted to be at the front of the order book is needed. So automation tools calls it “aggressive” order. Please look for ways of automation listed on Pine Coders site.
— Slippage can be set in “aggressive” orders, here in backtests default is zero.


There are lot more details about algotrading and leverage nuances, feel free to contact and ask for anything.

Use the link under backtesting results block to obtain access to this strategy!