Hull Strategy [Bitduke]

2020년 3월 23일

Description
The Hull Moving Average (HMA) was developed by Alan Hull for the purpose of reducing lag, increasing responsiveness while at the same time eliminating noise. Its calculation is elaborate and makes use of the Weighted Moving Average (WMA).

It uses two lagged hull moving averages at the intersection of which a change in trend is determined.

Risk Management
Risk is managed by limiting the loss per trade (in%) using stop loss variable.

Improvements
Can be improved by experiments with stop loss and take profit.

Backtesting

Bitmex XBTUSD

• Timeframe 3H
  
• Stop 2%, take profit : n/a
  
• 193.5% profit
  
• 22.42% drawdown
  

FTX BTC-PERP

• Timeframe 3H
  
• Stop 2%, take profit : n/a
  
• 187.5% profit
  
• 14.79% (!) drawdown
  

FTX SHIT-PERP

• Timeframe 3H
  
• Stop 2%, take profit : n/a
  
• 112.5% profit
  
• 13.79% (!) drawdown