Pair Trade crypto — Strategy by danilogalisteu
By danilogalisteu
Performance Metrics
- Author: danilogalisteu
- Symbol: 100*BITSTAMP:LTCUSD/BITMEX:XBTUSD
- Timeframe: 1 day
- Net P&L: +439,255.78 USD (+439.26%)
- Win Rate: 53.2%
- Profit Factor: 3.294
- Max Drawdown: 40,655.26 USD (22.93%)
- Total Trades: 47
- Sharpe Ratio: 0.42
Description
Pair trade for crypto with inputs:* length of correlation and moving average* trade pair* spread threshold to enter long / short* spread threshold to exit long / short