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    [Daily Discussion] Sunday, August 16, 2020 Bitcoin Markets

    August 16, 2020

    [Daily Discussion] Sunday, August 16, 2020 Bitcoin Markets

    [Daily Discussion] Sunday, August 16, 2020

    Posted: 15 Aug 2020 09:05 PM PDT

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    [Altcoin Discussion] Sunday, August 16, 2020

    Posted: 15 Aug 2020 09:05 PM PDT

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    A Physicist's Bitcoin Trading Strategy. No leverage, no going short, just spot trading. Total cumulative outperformance 2011-2020: 13,000,000%.

    Posted: 16 Aug 2020 09:01 AM PDT

    https://www.tradingview.com/script/4J5psNDo-A-Physicist-s-Bitcoin-Trading-Strategy/

    3. Backtest Results

    Backtest results demonstrate significant outperformance over buy-and-hold . The default parameters of the strategy/indicator have been set by the author to achieve maximum (or, close to maximum) outperformance on backtests executed on the BTCUSD ( Bitcoin ) chart. However, significant outperformance over buy-and-hold is still easily achievable using non-default parameters. Basically, as long as the parameters are set to adequately capture the full character of the market, significant outperformance on backtests is achievable and is quite easy. In fact, after some experimentation, it seems as if underperformance hardly achievable and requires deliberately setting the parameters illogically (e.g. setting one parameter of the slow indicator faster than the fast indicator). In the interest of providing a quality product to the user, suggestions and guidelines for parameter settings are provided in section (6). Finally, some metrics of the strategy's outperformance on the BTCUSD chart are listed below, both for the default (optimal) parameters as well as for a random sample of parameter settings that adhere to the guidelines set forth in section (6).

    Using the default parameters, relative to buy-and-hold strategy, backtested from August 2011 to August 2020,

    • Total cumulative outperformance (total return of strategy minus total return of buy-n-hold): 13,000,000%.
    • Rolling 1-year outperformance: mean 318%, median 84%, 1st quartile 55%, 3rd quartile, 430%.
    • Rolling 1-month outperformance: mean 2.8% (annualized, 39%), median -2.1%, 1st quartile -7.7%, 3rd quartile 13.2%, 10th percentile -13.9%, 90th percentile 24.5%.

    Using the default parameters, relative to buy-and-hold strategy, during specific periods,

    • Cumulative outperformance during the past year (August 2019-August 2020): 37%.
    • 12/17/2016 - 12/17/2017 (2017 bull market) absolute performance of 2563% vs buy-n-hold absolute performance of 2385%
    • 11/29/2012 - 11/29/2013 (2013 bull market) absolute performance of 14033% vs buy-n-hold absolute performance of 9247%

    Using a random sample (n=20) of combinations of parameter settings that adhere to the guidelines outlined in section (6), relative to buy-and-hold strategy, backtested from August 2011 to August 2020,

    • Average total cumulative outperformance, from August 2011 to August 2020: 2,000,000%.
    • Median total cumulative outperformance, from August 2011 to August 2020: 1,000,000%.
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