Wednesday, April 14, 2021
Technical Analysis - ETH Daily Crossover
تم إعداد هذا المنشور من قبل سنشري للاستشارات
*This performance is only observed with historical backtests and not traded by the company.
The product and investment ideas do not consider the risk profile and financial position of the recipient and may not be suitable for everyone. Trading in financial markets and use of margin involves a significant risk of loss, which can exceed deposits. Please read the complete disclaimer carefully.
Crypto Space is highly volatile
Risks & Assumptions
Rationale
Cryptos have historically been a trend based & momentum swing play. This is based on their prices often trending in one direction and further gaining or losing ground based on the underlying trend & momentum. This is opposite of range bound trading asset class which often trades within a range for long and breaks out less frequently.
The entire crypto space has seen a solid upside momentum push over the course of last 12 months. The initial rally in crypto space was supported by ETH & other alt coins during the period of March’2020 – July’2020. This was based on rise of new alt coins and growth in De – Fi space. Later on, Bitcoin’s solid Q4 gains propelled the other cryptos to new highs. With a current market cap of $2 trillion+, the entire crypto market is riding high on back of the bullish momentum present.
Strategy
The strategy is based on Simple Moving Average crossover signals generated from 2 moving averages. The 7 period daily SMA acts as a short term one & the 21 period acts as a long term one. The strategy uses daily open & close levels for signal generation
Signal Generation
The strategy involves purchase when 7 Day SMA crosses above 21 Day SMA & holding the position; subsequently exiting the position when 7 Day SMA breaks below 21 Day SMA. The strategy involves sale when 7 Day SMA crosses below 21 Day SMA & holding the position; subsequently exiting the position when 7 Day SMA crosses above 21 Day SMA
Strategy Back Test Period
4/9/2016 - 4/1/2021
Statistics & Back Test Performance
Input Parameters | ||
Short Term SMA | 7 | |
Long Term SMA | 21 | |
Holding Cost Buy Paid/Day | 0.000863014 | 31.50% |
Holding Cost Sell Received/Day | 0.000438356 | 16% |
Exposure/Trade | $100,000 |
Table 1 : Strategy Input Parameters
Statistics | |||||
Total Trades | 72 | Max Winning Streak | 7 | Cumulative Returns from Positive Trades | $1,839,749 |
Positive Trades | 43 | Max Losing Streak | 4 | Average Profit/Trade ( For Positive Trades) | $42,785 |
Hit Ratio | 59.72% | Cumulative P & L | $1,500,712 | Cumulative Returns from Negative Trades | $(339,036) |
Cumulative Net Returns | 1501% | Average P & L/Trade | $20,843 | Average Loss/Trade (For Negative Trades) | $(11,691) |
Average Return/Trade (in %) | 21% | Max Drawdown | $60,288 | Historical Max Profit Observed (% Per Trade) | 461% |
Historical Max Loss Observed (% Per Trade) | -32% |
Table 2 : Strategy Performance Statistics
Strategy Returns Frequency Distribution
Chart 1 : Frequency Returns of Strategy Trades
Chart 2 : Strategy Equity Curve & Max Drawdown
Risks & Assumptions
Data Source: Bloomberg
Prices & Statistics as of: 14th April, 2021
Arun Leslie John
Chief Market Analyst
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