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akoetraolrkhoecrxhifbyf
Nov 7, 2018 3:31 PM

Beating Bitcoin buy and hold: 2600% 

BITFINEX:BTCUSD120
Bitcoin / DollarBitfinex

Description

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* 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!

Comment

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You have to click the "Buy & Hold Equity" button below to see the comparison between this strategy and simply buying and holding Bitcoin.

Comment

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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.
Beyond Technical AnalysisalgotradingstrategyalgorithmBitcoin (Cryptocurrency)Cryptocurrencycrypto
Comments
joper35
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you would be millionaire if this worked and dont be selling it. Simple logic
akoetraolrkhoecrxhifbyf
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@joper35, that's why it's not for sale
akoetraolrkhoecrxhifbyf
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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.
akoetraolrkhoecrxhifbyf
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Switching to limit orders and running this on Mex is possible; i.e. most orders end up filled. The fees are negative(!) there.
akoetraolrkhoecrxhifbyf
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Click "Buy % Hold Equity" to compare the strategy with simply buying and holding Bitcoin!
laanarot
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@lnostdal, Hi very interesting. is it an indicator?
akoetraolrkhoecrxhifbyf
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@laanarot, Hi, this script is a strategy. It uses momentum which in turn is built on ALMA here.
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