BCalc™ Bitcoin (BTC) Strategy 

BCalc™ Bitcoin Strategy unleashes the full power of Behavioral Calculus on pure crowd behavior.

Fig. 1

Fig. 2

Fig. 1 shows, in the upper portion, the daily backtest account values for the BCalc Bitcoin Strategy applied to CME’s Bitcoin Real Time Index (BRTI) vs. the Buy&Hold value for the index for the 37 weeks of data that is widely available as of the date of this backtest. As illustrated, BCalc generated returns that were far higher and more consistent than B&H. The effective weekly rate of return for the period was 25% (unlevered) for BCalc vs. 7% for Buy&Hold. The lower portion of the chart shows that the BCalc end-of-day drawdowns were generally far lower than the B&H drawdowns.  The average end-of-day drawdown for the period was 2% with a high of 15% for BCalc vs. an average of 10% with a high of 35% for Buy&Hold. The strategy made 17 trades/day on average, working with 5 minute bars.  Note that the last 4 months of data is out-of-sample.

Fig. 2 shows the daily backtest account values and drawdowns for the exact same BCalc Bitcoin Strategy applied to CME’s BTC January 2018 futures vs. the Buy&Hold value and drawdowns for futures for the 3 weeks since inception. As illustrated, BCalc again generated weekly returns of 25+% (unlevered) with an average/max intraday drawdown of 5%/14%. The Buy&Hold return for the period was NEGATIVE at -6.6%/week, with a max drawdown of 40% that is still recovering. The strategy made 8 trades/day on average, working with 5 tick bars.  Note that we are using tick bars here since the futures market is still thin - for the 3-week backtest period, there were 0.6 ticks/minute on average.  All data here is out-of-sample.

About the strategy: The BCalc Bitcoin BTC Strategy is a long-and-short, “always-in”, 24x7 trading strategy that works with intraday bitcoin data. The strategy goes flat before the close on Friday, and starts back up after the Sunday open (after a 50-100 bar buffer). It is an active strategy that can make up to 10 trades/day in Bitcoin futures (BTC). The use cases illustrated don’t include any stops, profit targets or leverage.

 

About the backtests: Conducted on intraday data. Each symbol backtest starts out with $1M in initial capital, which is fully invested/re-invested in each subsequent trade in that symbol. Lot size 5 bitcoin. No scaling in or scaling out. Commission and slippage not included.

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