BTC Trading Strategy

2021년 5월 3일This strategy is meant to trade Bitcoin perpetual contracts, and achieve significant gains relative to buy and hold. The strategy uses a range of indicators, including volatility analysis, compression, trend analysis, pattern recognition, and others. The strategy can be adapted for trading BTC spot.

The strategy was back-tested on FTX (2+ years) and BitMEX (6+ years).

From 2019/05-2021/05, the strategy achieved 6666% gain (relative to 990% buy and hold).
So far in 2021 (2021/01-2021/04) the strategy achieved 211% gain (relative to 97% buy and hold).
The results were achieved with no leverage, and assumed commission of 0.05%, no slippage, and calculation once per bar.

The strategy has 2 modes of operation: normal and bear market. Select bear market in options if BTC is in a bear market. By default bear market mode is disabled and the strategy will execute the same logic no matter market conditions. In some situations bear market mode will achieve better results (e.g., 2018 bear market).

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2021년 5월 12일

릴리즈 노트

Added logic to avoid entries in ranging chop zones.

2021년 5월 12일

릴리즈 노트

Fixed typo.

2021년 6월 9일

릴리즈 노트

Updated defect in long exit condition.

2021년 6월 9일

릴리즈 노트

Updated start year for backtesting.

2021년 6월 11일

릴리즈 노트

Added parameter to enable/disable trading BTC in bear markets

2021년 6월 12일

릴리즈 노트

Introduced further optimizations to bear market trading, reducing profit factor (by invalidating incorrect trades quicker), but increase overall profit for successful trades.

2021년 6월 25일

릴리즈 노트

Restricted the strategy to only operate on 4h candles on BTCPERP on FTX to prevent accidental misuse.
Optimized operations in bear markets.

2021년 7월 2일

릴리즈 노트

Major update: added trailing stop to both bear and bull market modes, achieving significant lift to overall performance (by a factor of 2x).

2021년 7월 2일

릴리즈 노트

Reverted last change as TradingView produces unreliable backtest results with Trailing Stops.

2021년 7월 3일

릴리즈 노트

Minor update to test parameters, no change in logic.

2021년 7월 3일

릴리즈 노트

Fixed typo, final update for a while for this version of the script.

2021년 7월 4일

릴리즈 노트

Updated outdated sample results to only display the first 6 months of 2021 for reference.

2021년 7월 26일

릴리즈 노트

Removed typo from chart, no logic changes. Results show 7 months of trades starting 2021/1.