EMA50Diff & MACD Strategy by kggi
By kggi
Performance Metrics
- Author: kggi
- Symbol: BITFINEX:BTCUSD
- Timeframe: 15 minutes
- Net P&L: +41,855.81 USD (+41.86%)
- Win Rate: 93.1%
- Profit Factor: 3.8
- Max Drawdown: 8,936.34 USD (8.28%)
- Total Trades: 29
- Sharpe Ratio: 0.284
Description
One of my attempts to create a strategy for BTC.Its a combination of EMA50Diff (the difference between spot and EMA50) and MACD.Buy signal if (EMA50Diff) (EMA50Diff 1 candle ago), (EMA50Diff 1 candle ago) (EMADiffThreshold), (MACD bullish crossover), (MACD) > (MACDThreshold), (EMA50Diff) (EMA50Diff 2 candles ago)Exit either when target or stoploss get reached.Initial capital is set to 100k and its currently going all-in on every trade but im looking for a better way to handle position sizes already..Also i included slippage of 30 ticks and exchange commission of 0.15% (e.g. 2x BitMEX market taker fee)Works best on 15m on bitfinex, bitstamp and gdax and i'm still trying to optimize it for bitmex too, will update when i got there..