[Joy] Jasmine Strategy for Bitcoin and Crypto

2021年11月12日

It is my strategy I use for spot and future trading, mostly for BTCUSD

Notable parameters used:

• INDEX:BTCUSD
  
• Data: 2017 - today
  
• Long trade margin/leverage: 8x (50/8 = 6.25)
  
• Short trade margin/leverage: 1x (50/50 = 1)
  
• Commission: 0.075%
  
• Initial Capital: $15, 000
  

Results:

• Net profit: 832.74 %
  
• Buy & Hold: 602.56 %. It beats the buy and hold.
  

• Percent profitability: 88 %. It means 8 out of 10 trades resulted in profits.
  
• Margin Calls: 0 (i.e. Never had a margin call according to backtest from 2017 till today)
  
• Total closes trades: 25
  
• Profit factor: 8.238
  

• Avg Winning Trade: 43.08 %
  
• Largest Winning Trade: 334.85 %
  
• Avg # Bars in Winning Trades: 44 (i.e. 88 days)
  

Sharpe Ratio: 0.61. A Sharpe ratio under 1.0 is considered sub-optimal. Because of the big swings, I cannot make the Sharpe ratio any better at this time.
Sortino Ratio: 5.153. I think a Sortino ratio of 3.0 or higher is considered excellent. Do your research.
I am using 7.1% stop loss on long trades. However, you can turn off the stop loss and note the profitability remains the same.
Do remember there may be other costs, such as funding costs.

Description:
The strategy hunts for a few market features, namely breakouts, abnormal wicks relative to the body, abnormal volume relative to the candle characteristics, and possible confirmation of all these. It also hunts for more aspects. It gives a relative score of each of the characteristics. Finally, it tries to draw a guesstimate. In the end, it is only a guesstimate. Users see the final outcome (buy/sell etc). The whole logic happens at the background.

The strategy is not to be used for scalping, day trading or swing trading. In other words, it is not suitable for trading in a lower timeframe. It is to be used for Positional Trading For example, if one is trying this for BTCUSD, one may only try this for BTCUSD in a 2day timeframe and not in lower timeframes (such as 4 hours or 1 hour etc.) I am primarily interested in BTC for my research. However, it may be tested on other cryptos as well with varying degrees of results.

Please remember that past performance does not be indicative of future results. Different types of investments involve varying degrees of risk. There can be no assurance that the information referred to directly or indirectly in this strategy will be profitable, equal to any corresponding historical performance level(s), or suitable for you in any form or shape. Market condition changes very fast. Moreover, it would be best if you did not assume that any discussion or information contained here serves as the receipt of, or as a substitute for, personalized investment advice. I am not a financial advisor. I have no qualifications to be a financial advisor. It is only for educational and research purposes. Readers are encouraged to consult with a professional advisor of his/her choosing. Neither I nor my indicators or strategies take any responsibility for any misuse of the information for any actual trading. Even though this strategy did 88% profitability from 2017-2021, it may do poorly and may even be NOT profitable in the future.