Squeeze Momentum Strategy based on Indicator [LazyBear][Bitduke] by Bitduke
By Bitduke
Performance Metrics
- Author: Bitduke
- Symbol: BITMEX:XBTUSD
- Timeframe: 1 hour
- Net P&L: +1,276.95 USD (+127.70%)
- Win Rate: 78.9%
- Profit Factor: 4.709
- Max Drawdown: 46.14 USD (3.34%)
- Total Trades: 289
- Sharpe Ratio: 1.338
Description
I improved Squeeze Momentum Indicator by LazyBear (momentum filter, changed data source to ohlc4) and transformed it into a strategy, adding a risk management system + ability to customize time frames for backtest.Shortly about Squeeze Momentum Indicator:This is a derivative of John Carter's "TTM Squeeze" volatility indicator, as discussed in his book "Mastering the Trade" (chapter 11). Backtested on XBTUSD, ETHUSD (Bitmex). As you may notice it shows good results on 1h - 4h timeframes on these timeframes among these pairs. Relatively low drawdown ~ 12% (to date).