Trade the crypto market price moves
Summary
The goal of BTC Quant Strategy is to provide excessive returns taking advantage of the large bitcoin price moves. Signals generated are fully algorithmic based on a quantitative methods. This is low turnover strategy generating 2-3 signals per month based on combination of oscillators, linear regression and volatility adjusted convergence-divergence indicators. BTC Trading Strategy generates both long and short signals. Positions on leverage are not allowed.
Strategy results
Starting in June 2015 to August 2019 investor following this strategy would have turned 1 bitcoin investment (around $250 back then) into $36,006 or 207.50% per annum annualized return, assuming one takes both long and short positions. For comparison 1 BTC buy and hold strategy would have resulted in $9600 profit (BTC price as per end Aug 2019), almost fourfold difference.
Description
After its inception in 2009 bitcoin and other major cryptocurrencies slowly and gradually started to become alternative asset class for investments. As more and more people join this asset class it overcomes its own initial infancy inefficiencies while still providing profitable trading opportunities. BTC Trading Strategy explores this opportunities by applying statistical methods for data analysis.
Strategy logic
BTC Quant Strategy is an algorithmic trading system. Trading is based on entry/exit signals generated via indicators historically optimized specifically to work with BTCUSD. Including linear regression in the trading algorithm dynamizes (unlike traditional static indicators) the process of position initiation. Whenever system criteria is met, it generates signal. BTC Quant Strategy uses second level of signal confirmation on 4 hour chart generating less signals however more accurate. Over the period it has generated 21 long only signals of which 71.43% profitable.
Backtesting & Performance
BTC Quant Strategy has been backtested for the period Jan 2015 to August 2019 on a daily chart. Some of the trades can be seen on the charts below. Over the period long only version of BTC Quant Strategy has turned 1 BTC ($250) into $22,076. That is total return of 8730% or 175.30% per annum compared to 3740% period and 128.10% annual return if investor simply buys and holds 1 BTC. Average holding period is 8.13 days while percent profitable trades is 47,21%.
Strategy risks
All investments involve risk including this strategy. This strategy does not employ any stop loss. Due to the high volatility nature of crypto currencies and bitcoin in particular an investor should be willing to accept considerable swings in his/her equity. Maximal account drawdown was 34.25%. The average position holding period is 6 days. Investors shoul keep in mind that past performance is not guarantee of the future one.
Cumulative Net Profit Since 2015
