Backtest bitcoin strategy

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Results and Interpretation I tested this strategy within the time frame of 1 May and 5 May Drawdown Duration days Avg. Trade Duration 5 days Avg. Trade Duration 0 days Profit Factor 0. Where buy and hold was highly profitable this strategy lost money. I think we got whipsawed a lot. In its current form this strategy is not only useless but looks harmful. Optimization and Optimized Results I optimized stop loss and profit targets for both short and long positions.

We are interested in the yellow areas. Drawdown Duration 61 days Avg. Trade Duration 29 days Avg. Trade Duration 2 days Profit Factor 1. We did not loose money and made about two thirds of buy and hold. But notice that we wait a lot. Average trade duration was 2 days. Data The bitcoin data can be obtained from Bitcoin charts. The raw data of this source is at minute based sampling frequency and we group the data to minutes prices as follows: BitCoin Trading Strategy BackTest With PyAlgoTrade PyAlgoTrade, as mentioned in previous blog, is an event-driven library.

So we must override the basic events onEnterOk and onExitOk, which are raised when orders submitted before are successfully filled. MyBaseStrategy as bstr extend from pyalgotrade. BacktestStrategy from pyalgotrade. SMA self.