ETH Trading Strategy

The strategy relies on technical and statistical trend analysis to trade ETH perp contracts and beat buy & hold. The strategy achieves up to 10x returns vs. Buy & Hold, depending on the year, assuming 0.05% fees. The strategy deploys several proprietary indicators and statistical analysis to enter long and short positions. The strategy is designed to pick on small trend moves and quickly exit upon invalidation, sticking to larger moves that produce outsized returns.

Message me for access. This is a work in progress and additional versions will be published.

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Updated sample execution parameters to:
pyramiding=0, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, calc_on_order_fills=false, calc_on_every_tick=false, commission_value=0.05, slippage=0
Start date: 2018/1/1
End date: 2021/5/15

Happy trading!

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Introduced volatility filters to prevent unnecessary entries/exits, slightly reducing overall profit, but increasing profit factor by 0.6.

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Added bottom/top/bearish/bullish pattern recognition applicable to ETH. Updated results to show last 12 months for reference.

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Added logic to avoid entries in ranging chop zones.

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Calibrated parameters for less aggressive profit taking in bear market.

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Further optimized bear market trading conditions by calibrating historical profits / loss factors, achieving additional ~5000% gain since late 2017.

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Improved logic for short entries to be more defensive, achieving an extra 1000% profits in backtests since 2019.

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Major update: Added trailing stop to all positions in bull/bear markets, achieving roughly 2x returns over a backtested 2 year period.

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Reverted last change due to unreliable results calculated by TradingView on the use of Trailing Stops during backtests.

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Introduced logic to try and prevent shorting at support and longing at resistance, in particular during bear markets.

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Updated test parameters. Final update for a while for this version of the script.

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Optimized operations in bear markets to be less aggressive, improving overall profit factor by 1.

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Final calibration of parameters for bear markets

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Reworked bear market mode, increasing profits by roughly a factor of 2x.

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Added volume-based volatility breakout filters. No other change to logic. Overall improvement to profits by a factor of 1.5x.