(binned per thread starter’s request) Simple BTC strategy - can s

Quoting azhen

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I do a fair bit of backtesting for algorithmic futures trading and have boilerplate code that makes it pretty easy to set up experiments. Depending upon the complexity of your system, I might be able to knock something out without too much trouble. Feel free to reach out if you'd like a hand.

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Quoting iamhewho

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{quote} I'd guestimate 65-70% win ratio so a 1-1 risk reward would do it, but thats just speculation, dunno if you work with set pip SL or it could be tested using previous support resistance, i have no clue, but what i do think s there is something in it does any of that help?

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Quoting azhen

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I do a fair bit of backtesting for algorithmic futures trading and have boilerplate code that makes it pretty easy to set up experiments. Depending upon the complexity of your system, I might be able to knock something out without too much trouble. Feel free to reach out if you'd like a hand.

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Quoting iamhewho

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{quote} i dunno how your backtesting is done, but a good starting point might be to see if holding trade for 2 days is better or worse than holding for the entire moon cycle (18 days?) {image} {image} {image} {image}

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Quoting azhen

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{quote} Sure - I have a variety of prebuilt stop strategies and most often end up using ATR or swing-based ratcheting of stops. Granted, most of what I do is intraday, but no reason it can't be applied to a different timescale. Do you have the system well defined, in terms of entry and exit signals based on specific criteria? Once the entry criteria are coded, it's pretty straightforward to backtest with a number of different stop strategies and parameters (with all the usual disclaimers about overfitting the data). One other potential hurdle is...

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Quoting azhen

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{quote} Ah, your approach is literally tied to moon cycles? Initially I thought that was just a reference to how you were marking up the chart. Have to be honest, the likelihood of there being any predictive relationship between celestial mechanics and price action is... on the low side. But, it's also pretty trivial to code up, so why not? I'll poke at it and post an update later. If there are more specifics that I'm missing, definitely let me know.

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Quoting azhen

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Knocked together a quick test looking back over the past 5 years, and here are the initial results. Unless otherwise noted, all of these results are long-only, as you initially laid out in your description, but the cumulative summary also includes how an inverse short position would have worked. I included that because the strategy, in theory, avoids retracements (otherwise, just buy and hold) and that can be tested with short positions. The things that immediately jump out are: Win rate is about even Max time to recover on the long side was >2...

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Quoting azhen

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Knocked together a quick test looking back over the past 5 years, and here are the initial results. Unless otherwise noted, all of these results are long-only, as you initially laid out in your description, but the cumulative summary also includes how an inverse short position would have worked. I included that because the strategy, in theory, avoids retracements (otherwise, just buy and hold) and that can be tested with short positions. The things that immediately jump out are: Win rate is about even Max time to recover on the long side was >2...

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