Extremely Overfit Bitcoin Long/Short — Strategy by jsmith_crypto
By jsmith_crypto
Performance Metrics
- Author: jsmith_crypto
- Symbol: COINBASE:BTCUSD
- Timeframe: 15 minutes
- Net P&L: +828,014.34 USD (+799.05%)
- Win Rate: 45.8%
- Profit Factor: 2.867
- Max Drawdown: 93,505.66 USD (25.84%)
- Total Trades: 48
- Sharpe Ratio: 1.001
Description
This is a highly overfit (in my opinion) script to long/short BTC on the 15m time frame. May be usable for other cryptocurrencies or timeframes with some parameter adjustments. I backtested it on a few exchanges with ETH.The simplest way to increase the number of trades is to decrease the "FastChannelLength" parameter or increase the "SlowChannelLength" parameter, or both. Decreasing the margins of the channels also increases the number of trades. In GENERAL, you should expect that adding more trades will hurt profitability, because, as the title says, this script is extraordinarily overfit. It does include a commission fee from the start, which I find is essential to not providing an overly rosy view of how a strategy would work.