Correlation Strategy by levieux
By QuantNomad
Performance Metrics
- Author: QuantNomad
- Symbol: BINANCE:NKNUSDT
- Timeframe: 4 hours
- Net P&L: +61,373.25 NONE (+6,137.33%)
- Win Rate: 51.7%
- Profit Factor: 2.089
- Max Drawdown: 21,089.66 NONE (58.37%)
- Total Trades: 60
- Sharpe Ratio: 0.391
Description
This is a basic strategy that shows how to trigger short/long/close signals on chart's symbol based on calculations made on another symbol which we consider correlated to it.With default parameters, ETH/USDT as base symbol, the strategy shows good results in backtest for several symbols : DENT/USDT, BTT/USDT, FTT/USDT, DOT/USDT etc.This is not surprising giving the importance of ETH in the crypto market so it makes sense many crypto currencies will follow ETH big movements.Note : the strategy with default parameters is supposed to be applied on 4h timeframe. On other timeframes, try another support length.How the strategy works :A wma is calculated on the base symbol, with 200 length by default.When wma is rising, we go long. When wma is falling we go short.Take profit for Long/Short and Stop Loss for Long/Short are calculated percentages so 0.05 = 5% etc.Also, Take profit / Stop loss are calculated on the base symbol not the chart's symbol.The script uses the Monthly Returns table slightly modified to include buy & hold returns. Credits to @QuantNomad