Bitcoin / US Dollar Perpetual Inverse Swap ContractBitMEX
Descrição
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The Dual Thrust trading algorithm is a famous strategy developed by Michael Chalek. Its logical prototype is one of the most common Day trading strategies. The opening range breakout strategy is based on today’s opening price plus or minus a certain percentage of yesterday’s amplitude to determine the upper and lower rails. When the price breaks through the upper track, it will buy long, and when it breaks the lower track, it will sell short.
When using this strategy, on the one hand, you can refer to the optimal parameters of historical data testing. On the other hand, you can start to adjust K1 and K2 in stages according to your own judgment of the post-trend or from other major cycle technical indicators.
very nice strategy but i tested in multiple non-BTCUSD species and find a very poor results. Is it only working for BTCUSD?
wanliyu
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@VH60, u can try adjusting k1 and k2. Different parameter values adapt to different markets and time frames.
VampireH
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@wanliyu, yeah, I haven't done it yet but I assume it will inevitably lead to over-fit to the k1 and k2, right? Anyway, nice strategy.
wanliyu
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@VH60, honestly, overfitting is hard to be avoided in CTA strategies...So performance in back test is often the superior limit in operation.
VampireH
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@wanliyu, that is definitely true. Just curious, have you tried to apply this strategy in the daily trading?
wanliyu
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@VH60, combine the strategy with trend line and other indicators, I'll never trade according to a factor.
VampireH
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@wanliyu, make sense. I am doing the same thing. Can I ask another two question: whether you fully automate your trading and are you a professional trader?