Bitcoin / US Dollar Perpetual Inverse Swap ContractBitMEX
Description
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This is a backtest of a simplified version of the famous Turtle Trading strategy. No stop losses or position sizing strategies were used. Trades are entered on a 20-day (120 candle on the 4H chart) high or low breakout, and closed on a 5-day high or low reversal in the opposite direction. All trades are entered with 100% of the portfolio's equity.
This strategy matches buy and hold performance since 1/1/2017, but has a max drawdown of 20% instead of 85%.
Comment
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The backtest starts with 10K USD on 1/1/2017 and has 95K as of 11/20/2019.