Correlation Strategy by tweakerID
By tweakerID
Performance Metrics
- Author: tweakerID
- Symbol: BINANCE:ZRXUSDTPERP
- Timeframe: 5 minutes
- Net P&L: +3,221.23 NONE (+32.21%)
- Win Rate: 75.3%
- Profit Factor: 1.754
- Max Drawdown: 550.90 NONE (4.57%)
- Total Trades: 146
- Sharpe Ratio: 0.482
Description
This is strategy determines a level (expressed in a scale from 1 to 100) of correlationbetween security A (user defined) and security B (used on the chart) closing prices. If the correlationis less than the user defined threshold, a buy signal will be possible. To determine the directionof the trade we can choose between a Simple Moving Average or a Relative Strength Index indicator,both with user defined lengths.WFA ExplainedThis strategy includes a simple Walk Forward Optimisation, which is a technique used to evaluate the robustnessof the strategy, simulating a live trading environment where the future (the "out-of-sample" period) is not visible yet. The "in-sample" period is where you should optimise the values of the Strategy Inputs that match the ones in the WFA section. Default period value is 1 (or 1/3 of all the candles in the chart).After optimising the first period, the "All" period can be chosen to evaluate the results ofour "in-sample" optimisation in an "out-of-sample" period (="All"-"1"). It is also possible (and recommended) to optimiseeach period (1 and 2) independently and then replace the corresponding values in the WFA section of the inputs panel.The WFA input is used to make those values effective in their corresponding periods.More info on WFA: en.wikipedia.org/wiki/Walk_forward_optimization