Simple Moving Averge Strategy by xoussamachoubix
By xoussamachoubix
Performance Metrics
- Author: xoussamachoubix
- Symbol: BITSTAMP:BTCUSD
- Timeframe: 1 hour
- Net P&L: −8,718,100.00 USD (−9,133.65%)
- Win Rate: 27.9%
- Profit Factor: 0.794
- Max Drawdown: 26,869,050.00 USD (2,576.98%)
- Total Trades: 43
- Sharpe Ratio: 0.201
Description
Simple Vs. Exponential Moving AveragesFormula for Exponential Moving Average (EMA)\begin{aligned} &\begin{aligned} EMA_{\text{Today}}=&\left(\text{Value}_{\text{Today}}\ast\left(\frac{\text{Smoothing}}{1+\text{Days}}\right)\right)\\ &+EMA_{\text{Yesterday}}\ast\left(1-\left(\frac{\text{Smoothing}}{1+\text{Days}}\right)\right)\end{aligned}\\ &\textbf{where:}\\ &EMA=\text{Exponential moving average} \end{aligned} EMA Today = (Value Today ∗( 1+DaysSmoothing ))+EMA Yesterday ∗(1−( 1+DaysSmoothing )) where:EMA=Exponential moving average While there are many possible choices for the smoothing factor, the most common choice is: