Multifactor Inverse Fisher Strategy (ps4) by capissimo
By capissimo
Performance Metrics
- Author: capissimo
- Symbol: COINBASE:BTCUSD
- Timeframe: 1 minute
- Net P&L: +408.71 USD (+0.41%)
- Win Rate: 91.2%
- Profit Factor: 1.931
- Max Drawdown: 191.13 USD (0.19%)
- Total Trades: 102
- Sharpe Ratio: 0.517
Description
Best for higher time frames - 30m, 1H, 2H, 3H, 4H, D this strategy uses several factors that are pushed through an Inverse Fisher Transform (IFT). The higher the TF, the better the performance, up to 98%, but the number of deals tends to drop). Middle time frames (5m, 15m) look viable with Scaled Price (Scaled %P) and MFI factors. The factor list can be extended to include cci, stoch, rsi_stoch, emo, macd, cog, dpo, roc, accdist, cctbb, mom, awesome, tva, etc. Some of them need to be rescaled to a 0..100 interval. The IFT produces a value in the -1..1 interval (see: mesasoftware.com/papers/TheInverseFisherTransform.pdf). This indicator does NOT repaint.