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A simple momentum rotation system for crypto. There's no slippage modelling but the trade frequency isn't too high so slippage shouldn't eradicate the returns. It doesn't perform well going back further in time but recent market dynamics may be in its favor. Use at your own risk.
Warren Harding
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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Warren Harding
To be sure slippage should be checked before trading it. It's just a simple draft at this point. Interesting compounding annual return of 105186.455% though.
Warren Harding
The average win is 3.43%. The average loss is -1.31%. That's high enough that slippage shouldn't completely destroy it. As mentioned elsewhere liquidity is an issue on GDAX, so for large accounts slippage will have to be considered, or else a more complex position building system will have to be integrated.
Warren Harding
I used Binance's fee rate of 0.1%. GDAX is much higher for market orders at 0.3%, a figure that almost completely destroys the returns. A limit order based position building system will have to be integrated to make it potentially profitable on GDAX. Slippage looks low on the GDAX site though....
Benjamin Stirrup
Hi Warren! Thank you for presenting your algorithm. When I have time, I will try to reproduce it in Python while adding a conservative slippage model and limit orders (0% maker fee on GDAX!) as you recommend.
By the way, do you happen to know what is the default slippage when we initialize a brokerage model (e.g. GDAX)? Is it dependent on the brokerage and/or the security, or is it "universal"?
Warren Harding
Hi Benjamin. Thanks for the interest. I'm not sure how default slippage is handled, I've been meaning to find that out myself. Maybe someone else here can help out with that.
Warren Harding
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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