None of the strategies that I tested can beat the long term Buy&Hold strategy. That's the reason why I wrote this strategy (link see below).
Purpose: beat Buy&Hold strategy with around 10 trades over a period of 10 years (average of 1 trade/year). 100% capitalize sold trade into new trade.
My buy strategy is triggered by the fast buy (blue) crossing over the slow buy curve (orange) and the fast buy has a certain up strength.
My sell strategy is triggered by either one of these conditions:
- the (6) of the close value is crossing under the trailing stop value (green) or
- the fast sell (navy) is crossing under the slow sell curve (red) and the fast sell has a certain down strength.
ATR(15) is the (15) value of the difference between the high and low values.
The script shows a lot of graphical information:
- One green area represents one trade
- The close value is shown in light-green. When the close value is lower then the buy value, the close value is shown in light-red. This way it is possible to evaluate the virtual losses during the trade.
- the trailing stop value is shown in dark-green. When the sell value at the end of the trade is lower then the buy value, the last color of the trade will be red (best viewed when zoomed)
- the and values for both buy and sell signals are shown as a line
- the buy and sell(close) signals are labeled in blue
How to use this strategy?
Every stock has it's own "DNA", so first thing to do is tune the right parameters to get the best strategy values voor , , Strength for both buy and sell and the Trailing Stop (#ATR).
Look in the strategy tester overview to optimize the values Percent Profitable and Net Profit (using the strategy settings icon, you can increase/decrease the parameters)
Then keep using these parameters for future buy/sell signals only for that particular stock.
Do the same for other stocks.
Important: optimizing these parameters is no guarantee for future winning trades!
Here are the parameters:
- Fast Buy: buy trigger when Fast Buy crosses over the Slow Buy value (use values between 10-20)
- Slow Buy: buy trigger when Fast Buy crosses over the Slow Buy value (use values between 30-100)
- Minimum Buy Strength: minimum upward trend value of the Fast Buy value (directional coefficient)(use values between 0-120)
- Fast Sell: sell trigger when Fast Sell crosses under the Slow Sell value (use values between 10-20)
- Slow Sell: sell trigger when Fast Sell crosses under the Slow Sell value (use values between 30-100)
- Minimum Sell Strength: minimum downward trend value of the Fast Sell value (directional coefficient)(use values between 0-120)
- Trailing Stop (#ATR): the trailing stop value as a multiple of the ATR(15) value (use values between 2-20)
Example for Bitcoin (BITFINEX:BTCUSD) (Start capital: 1000, Order=100% of equity, Period 1/1/2005 to now) compared to the Buy&Hold Strategy(=do nothing):
- Fast Buy=2
- Slow Buy=18
- Minimum Buy Strength=36
- Fast Sell=8
- Slow Sell=22
- Minimum Sell Strength=52
- Trailing Stop (#ATR)=3
Result: 3.47 times better than Buy&Hold strategy
- NetProfit: 20770%
- #Trades: 25
- %Profitable: 60%
- Buy&HoldProfit: 5977%