Beating Bitcoin buy and hold: 2600%
Atualizado
* Active strategy vs. passive buy-and-hold (light blue line in backtest plot below).
* Includes Bitfinex fees (0.1%).
* Backtest plot is from 2017-01-03 until today.
* It is possible to reduce the drawdown by adjusting position size strategy and/or other parameters -- to get a smoother equity curve.
* No indicator or entry "repainting" is being done here; this is a common problem with some strategies here on TV.
* Send me a message if you're interested in development of automated trading of this and/or other strategies!
Works on other assets too!
* Includes Bitfinex fees (0.1%).
* Backtest plot is from 2017-01-03 until today.
* It is possible to reduce the drawdown by adjusting position size strategy and/or other parameters -- to get a smoother equity curve.
* No indicator or entry "repainting" is being done here; this is a common problem with some strategies here on TV.
* Send me a message if you're interested in development of automated trading of this and/or other strategies!
Works on other assets too!
Nota
You have to click the "Buy & Hold Equity" button below to see the comparison between this strategy and simply buying and holding Bitcoin.Nota
By using windowed kelly% to control order size, this strategy is much better in my own tests. It is not possible to do this in PineScript though.
Aviso legal
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