This strategy is meant to trade Bitcoin perpetual contracts, and achieve significant gains relative to buy and hold. The strategy uses a range of indicators, including volatility analysis, compression, trend analysis, pattern recognition, and others. The strategy can be adapted for trading BTC spot.
The strategy was back-tested on FTX (2+ years) and BitMEX (6+ years).
From 2019/05-2021/05, the strategy achieved 6666% gain (relative to 990% buy and hold). So far in 2021 (2021/01-2021/04) the strategy achieved 211% gain (relative to 97% buy and hold). The results were achieved with no leverage, and assumed commission of 0.05%, no slippage, and calculation once per bar.
The strategy has 2 modes of operation: normal and bear market. Select bear market in options if BTC is in a bear market. By default bear market mode is disabled and the strategy will execute the same logic no matter market conditions. In some situations bear market mode will achieve better results (e.g., 2018 bear market).
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Added logic to avoid entries in ranging chop zones.
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Fixed typo.
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Updated defect in long exit condition.
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Updated start year for backtesting.
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Added parameter to enable/disable trading BTC in bear markets
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Introduced further optimizations to bear market trading, reducing profit factor (by invalidating incorrect trades quicker), but increase overall profit for successful trades.
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Restricted the strategy to only operate on 4h candles on BTCPERP on FTX to prevent accidental misuse. Optimized operations in bear markets.
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Major update: added trailing stop to both bear and bull market modes, achieving significant lift to overall performance (by a factor of 2x).
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Reverted last change as TradingView produces unreliable backtest results with Trailing Stops.
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Minor update to test parameters, no change in logic.
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Fixed typo, final update for a while for this version of the script.
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Updated outdated sample results to only display the first 6 months of 2021 for reference.
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Removed typo from chart, no logic changes. Results show 7 months of trades starting 2021/1.