This system trades Bitcoin (backtested for a cash per trade of 100k$), only long side in breakout, taking advantage of a volatility expansion to buy with a stop order. It has trailing stop mechanishms to track the benefits and manage the risk
It’s important to note that this system has been designed and tested using data from different exchanges: Bitfinex and Binance (spot and futures). This provides a greater amount of historical data, making the system more robust.
Below, some of the most important ratios are described, among which stand out:
-Return on Max Strategy Drawdown: 13.51
-Profit Factor: 2.34
-Number of Trades: 345
-Percent Profitable: 51.01%
-Trading Period: 7 years and 7 months. OOS period is from 2021
-Ratio Avg Win / Avg Loss: 2.25
-Average Trade: 870.27$ Taking into account that we are trading 100k$ per trade, it’s a 0.8727% of average trade, considering that commissions and slippage are included in the backtest (both totaled in the “Commission Paid” field)
-Average Bars in Trades: 16.7 So average holding time period is 16 hours 42 min
Below we see what the equity curves VS drawdowns look like:
Regarding Periodical Analysis, we get the following:
In short, it is a good trading system, with the following key points (among others):
-Good ratios in general, as described
-Capture Bitcoin’s big moves by minimizing false breakout entries
-Stability of Returns/Drawdowns
-Recently has performed new equity highs
-Exploits a solid inneficiency
It has been designed and retested using propietary True Alpha Systems methodology and knowdledge