Moving Average Mean Reversion Strategy by HNipps
By HNipps
Performance Metrics
- Author: HNipps
- Symbol: BITFINEX:BTCUSD
- Timeframe: 1 day
- Net P&L: +1,254.20 USD (+1.31%)
- Win Rate: 56.4%
- Profit Factor: 1.258
- Max Drawdown: 5,305.70 USD (5.29%)
- Total Trades: 39
- Sharpe Ratio: −0.092
Description
A basic mean-reversion strategy. Shorts when the close is 10% above the MA, and goes long when it's 10% below the MA.