Some Results
- adjusted: vwap deviation 2x, btc returns > 0.02 and < -0.02
- no_btc_vwap_devation_5x: vwap deviation 5x, no btc past 24 hours check
- adjusted_deviation_5x: vwap deviation 5x, btc returns > 0.02 and < -0.02
Potential Strategy Parameters to be Optimized
- VWAP Deviation Threshold Multiplier
- BTC 24h percentage change Threshold
- Average Downside and Upside Move multiplier for take profit
- RSI Thresholds, RSI lookback periods
- ATR Multiplier for Stop Loss and Take Profit if we dont use average upside and downside moves
Backtest Improvements
- Add fees
- Look ahead bias. Using bitcoin returns for that day, when whats more accurate is getting the past 24 hour returns at the time of the entry.
- Find out why Strategy Multiple is inflated (The look ahead bias lol)
- Get the average distance of from each high to the next bottom and average these to set take profits
The average downside move distance is: 0.2466666666666697 USDT
The average upside move distance is: 0.37666666666666987 USDT
Backtesting Results
| optimize |
optimizing btc_returns_threshold, vwap_deviation_multiplier, average_move_multipler |
| optimize 2 |
optimizing vwap_deviation_multiplier, average move multiplier with btc_returns threshold set to 0.01 |
| optimize 3 |
optimizing vwap_deviation_multiplier, average move multiplier with btc_returns threshold set to 0.02 |
"@primer/octicons-react": "^19.8.0",