Bitcoin Signals (BTC-USD Weekly)

This simple strategy requires no shorting and that positions are closed at the weekly open (which is midnight GMT on Sunday). Traded as directed, the Bitcoin signals would have performed around 15.5 times better than buy-hold for the period 09-Nov-15 to 01-Nov-19. Note that it uses the same buy signal as this other strategy.

Bitcoin signals performance

Bitcoin Signals (BTC-USD)

The Bitcoin signals (BTC-USD) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Bitcoin USD (BTC-USD) signals

For the 208 week (4.0 year) period from Nov 9 2015 to Nov 1 2019, the Bitcoin signals (BTC-USD) traded both long and short would have yielded $3,672,070 in profits from a $10,000 initial investment, an annualized return of 343.1%. 69.7% of time was spent holding the currency long. The return would have been $236,728 (an annualized return of 124.3%) if you had bought and held the currency for the same period.

Signals and Trades

We call this a weekly strategy as weekly OHLC data is used in the numerical analysis leading to at most one buy signal. There were 145 buy signals and each purchase was sold at the subsequent weekly open (Sunday night midnight GMT). For this particular BTC-USD strategy this led to 145 round trip long trades of which 101 were profitable, and no short trades.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 23%. This compares to 83% for buy-hold. The reward/risk for the trading long and short was 12.12 compared to 1.41 for buy-hold, a factor of 8.6 improvement. If traded long only, the reward/risk was 12.12. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

Trade List

Click to see trades

Trade Types:

Buy S=Buy at signal (using stop-buy order)
Sell o=Sell at open (at midnight GMT Sunday night)

 

Date Trade Type Price Equity value at open
10,000
11/16/2015 Buy S 326.09 9,933
11/16/2015 Sell o 324.35 9,933
11/23/2015 Buy S 330.54 11,147
11/23/2015 Sell o 371.44 11,147
11/30/2015 Buy S 378.16 11,481
11/30/2015 Sell o 389.98 11,481
12/7/2015 Buy S 395.98 12,548
12/7/2015 Sell o 433.27 12,548
12/14/2015 Buy S 441.78 12,564
12/14/2015 Sell o 442.84 12,564
12/21/2015 Buy S 450.87 11,783
12/21/2015 Sell o 423.34 11,783
12/28/2015 Buy S 430.65 11,753
12/28/2015 Sell o 430.06 11,753
1/4/2016 Buy S 437.97 12,027
1/4/2016 Sell o 448.70 12,027
1/18/2016 Buy S 389.37 12,412
1/18/2016 Sell o 402.32 12,412
2/1/2016 Buy S 375.59 12,437
2/1/2016 Sell o 376.76 12,437
2/8/2016 Buy S 383.59 13,200
2/8/2016 Sell o 407.57 13,200
2/15/2016 Buy S 414.76 13,957
2/15/2016 Sell o 438.99 13,957
3/7/2016 Buy S 415.25 13,907
3/7/2016 Sell o 414.20 13,907
3/21/2016 Buy S 421.41 14,063
3/21/2016 Sell o 426.55 14,063
4/11/2016 Buy S 429.36 13,991
4/11/2016 Sell o 427.61 13,991
4/18/2016 Buy S 435.31 14,743
4/18/2016 Sell o 459.12 14,743
4/25/2016 Buy S 467.04 14,252
4/25/2016 Sell o 451.93 14,252
5/2/2016 Buy S 460.23 14,175
5/2/2016 Sell o 458.21 14,175
5/23/2016 Buy S 447.45 16,727
5/23/2016 Sell o 528.47 16,727
5/30/2016 Buy S 535.97 17,918
5/30/2016 Sell o 574.60 17,918
6/6/2016 Buy S 585.61 20,535
6/6/2016 Sell o 671.65 20,535
6/13/2016 Buy S 685.23 22,879
6/13/2016 Sell o 763.93 22,879
6/27/2016 Buy S 641.01 23,500
6/27/2016 Sell o 658.80 23,500
7/4/2016 Buy S 670.85 22,703
7/4/2016 Sell o 648.48 22,703
7/11/2016 Buy S 661.37 23,321
7/11/2016 Sell o 679.81 23,321
8/15/2016 Buy S 581.03 23,319
8/15/2016 Sell o 581.31 23,319
8/29/2016 Buy S 584.53 24,280
8/29/2016 Sell o 608.99 24,280
9/5/2016 Buy S 619.89 23,761
9/5/2016 Sell o 607.01 23,761
9/26/2016 Buy S 611.94 23,710
9/26/2016 Sell o 610.97 23,710
10/10/2016 Buy S 628.16 24,211
10/10/2016 Sell o 641.82 24,211
10/17/2016 Buy S 653.50 24,332
10/17/2016 Sell o 657.16 24,332
10/24/2016 Buy S 669.23 25,533
10/24/2016 Sell o 702.64 25,533
10/31/2016 Buy S 714.85 25,372
10/31/2016 Sell o 710.74 25,372
11/7/2016 Buy S 724.69 24,564
11/7/2016 Sell o 702.00 24,564
11/14/2016 Buy S 715.02 25,108
11/14/2016 Sell o 731.27 25,108
11/21/2016 Buy S 744.55 24,687
11/21/2016 Sell o 732.48 24,687
11/28/2016 Buy S 745.58 25,594
11/28/2016 Sell o 773.39 25,594
12/12/2016 Buy S 783.97 25,799
12/12/2016 Sell o 790.69 25,799
12/19/2016 Buy S 805.15 28,725
12/19/2016 Sell o 896.91 28,725
12/26/2016 Buy S 912.76 31,412
12/26/2016 Sell o 998.62 31,412
1/3/2017 Buy S 1,016.79 28,199
1/3/2017 Sell o 913.24 28,199
1/17/2017 Buy S 837.00 31,166
1/17/2017 Sell o 925.50 31,166
1/30/2017 Buy S 936.51 34,210
1/30/2017 Sell o 1,028.40 34,210
2/6/2017 Buy S 1,046.35 32,644
2/6/2017 Sell o 998.89 32,644
2/13/2017 Buy S 1,017.67 33,625
2/13/2017 Sell o 1,048.69 33,625
2/21/2017 Buy S 1,067.26 36,652
2/21/2017 Sell o 1,163.78 36,652
2/27/2017 Buy S 1,186.76 39,130
2/27/2017 Sell o 1,267.47 39,130
3/13/2017 Buy S 1,243.98 32,614
3/13/2017 Sell o 1,037.24 32,614
3/20/2017 Buy S 1,055.92 30,011
3/20/2017 Sell o 972.05 30,011
3/27/2017 Buy S 984.61 33,603
3/27/2017 Sell o 1,102.95 33,603
4/3/2017 Buy S 1,122.56 35,526
4/3/2017 Sell o 1,187.30 35,526
4/17/2017 Buy S 1,204.82 35,654
4/17/2017 Sell o 1,209.63 35,654
4/24/2017 Buy S 1,229.54 39,083
4/24/2017 Sell o 1,348.30 39,083
5/1/2017 Buy S 1,372.83 45,447
5/1/2017 Sell o 1,596.92 45,447
5/8/2017 Buy S 1,626.25 50,524
5/8/2017 Sell o 1,808.44 50,524
5/15/2017 Buy S 1,842.37 56,016
5/15/2017 Sell o 2,043.19 56,016
5/22/2017 Buy S 2,078.96 58,170
5/22/2017 Sell o 2,159.43 58,170
5/30/2017 Buy S 2,195.68 66,546
5/30/2017 Sell o 2,512.40 66,546
6/5/2017 Buy S 2,558.28 76,804
6/5/2017 Sell o 2,953.22 76,804
6/19/2017 Buy S 2,595.43 76,646
6/19/2017 Sell o 2,590.57 76,646
7/3/2017 Buy S 2,552.84 75,804
7/3/2017 Sell o 2,525.25 75,804
7/17/2017 Buy S 1,965.52 105,375
7/17/2017 Sell o 2,732.70 105,375
7/24/2017 Buy S 2,780.91 104,691
7/24/2017 Sell o 2,763.24 104,691
7/31/2017 Buy S 2,808.19 119,760
7/31/2017 Sell o 3,212.78 119,760
8/7/2017 Buy S 3,273.40 148,746
8/7/2017 Sell o 4,066.10 148,746
8/14/2017 Buy S 4,148.62 146,647
8/14/2017 Sell o 4,090.48 146,647
8/21/2017 Buy S 4,163.28 154,424
8/21/2017 Sell o 4,384.45 154,424
8/28/2017 Buy S 4,463.96 158,826
8/28/2017 Sell o 4,591.63 158,826
9/11/2017 Buy S 4,199.21 135,812
9/11/2017 Sell o 3,591.09 135,812
9/18/2017 Buy S 3,649.16 137,004
9/18/2017 Sell o 3,681.58 137,004
9/25/2017 Buy S 3,750.97 160,542
9/25/2017 Sell o 4,395.81 160,542
10/2/2017 Buy S 4,485.21 165,156
10/2/2017 Sell o 4,614.52 165,156
10/9/2017 Buy S 4,695.77 200,023
10/9/2017 Sell o 5,687.57 200,023
10/16/2017 Buy S 5,783.24 207,714
10/16/2017 Sell o 6,006.00 207,714
10/23/2017 Buy S 6,119.58 207,539
10/23/2017 Sell o 6,114.85 207,539
10/30/2017 Buy S 6,267.70 245,124
10/30/2017 Sell o 7,403.22 245,124
11/6/2017 Buy S 7,544.45 192,925
11/6/2017 Sell o 5,938.25 192,925
11/13/2017 Buy S 6,060.15 255,908
11/13/2017 Sell o 8,039.07 255,908
11/20/2017 Buy S 8,185.17 292,396
11/20/2017 Sell o 9,352.72 292,396
11/27/2017 Buy S 9,503.17 348,141
11/27/2017 Sell o 11,315.40 348,141
12/4/2017 Buy S 11,532.68 465,695
12/4/2017 Sell o 15,427.40 465,695
12/11/2017 Buy S 15,741.33 565,233
12/11/2017 Sell o 19,106.40 565,233
12/26/2017 Buy S 14,183.43 562,381
12/26/2017 Sell o 14,112.20 562,381
1/2/2018 Buy S 14,418.29 642,633
1/2/2018 Sell o 16,476.20 642,633
1/16/2018 Buy S 14,026.78 532,955
1/16/2018 Sell o 11,633.10 532,955
1/22/2018 Buy S 11,814.70 530,270
1/22/2018 Sell o 11,755.50 530,270
2/5/2018 Buy S 8,430.13 512,096
2/5/2018 Sell o 8,141.43 512,096
2/12/2018 Buy S 8,280.38 652,605
2/12/2018 Sell o 10,552.60 652,605
2/20/2018 Buy S 10,747.01 587,157
2/20/2018 Sell o 9,669.43 587,157
2/26/2018 Buy S 9,843.53 687,881
2/26/2018 Sell o 11,532.40 687,881
3/12/2018 Buy S 9,755.83 588,329
3/12/2018 Sell o 8,344.12 588,329
3/19/2018 Buy S 8,375.82 596,930
3/19/2018 Sell o 8,498.47 596,930
4/2/2018 Buy S 6,970.85 603,207
4/2/2018 Sell o 7,044.32 603,207
4/9/2018 Buy S 7,153.46 703,041
4/9/2018 Sell o 8,337.57 703,041
4/16/2018 Buy S 8,483.20 728,817
4/16/2018 Sell o 8,794.39 728,817
4/23/2018 Buy S 8,965.31 766,263
4/23/2018 Sell o 9,426.11 766,263
4/30/2018 Buy S 9,593.33 770,429
4/30/2018 Sell o 9,645.67 770,429
5/29/2018 Buy S 7,504.53 792,795
5/29/2018 Sell o 7,722.53 792,795
6/18/2018 Buy S 6,619.51 739,181
6/18/2018 Sell o 6,171.97 739,181
6/25/2018 Buy S 6,287.43 750,094
6/25/2018 Sell o 6,380.38 750,094
7/2/2018 Buy S 6,503.96 781,348
7/2/2018 Sell o 6,775.08 781,348
7/16/2018 Buy S 6,477.29 894,413
7/16/2018 Sell o 7,414.71 894,413
7/23/2018 Buy S 7,555.73 973,218
7/23/2018 Sell o 8,221.58 973,218
8/13/2018 Buy S 6,439.66 982,400
8/13/2018 Sell o 6,500.51 982,400
8/20/2018 Buy S 6,626.43 994,894
8/20/2018 Sell o 6,710.80 994,894
8/27/2018 Buy S 6,831.34 1,060,079
8/27/2018 Sell o 7,279.03 1,060,079
9/10/2018 Buy S 6,417.43 1,076,028
9/10/2018 Sell o 6,514.06 1,076,028
9/17/2018 Buy S 6,637.75 1,086,878
9/17/2018 Sell o 6,704.77 1,086,878
10/15/2018 Buy S 6,407.31 1,100,221
10/15/2018 Sell o 6,486.05 1,100,221
11/5/2018 Buy S 6,494.09 1,086,259
11/5/2018 Sell o 6,411.76 1,086,259
11/26/2018 Buy S 4,084.15 1,103,046
11/26/2018 Sell o 4,147.32 1,103,046
12/17/2018 Buy S 3,313.02 1,331,867
12/17/2018 Sell o 4,000.33 1,331,867
12/24/2018 Buy S 4,072.96 1,264,451
12/24/2018 Sell o 3,866.84 1,264,451
12/31/2018 Buy S 3,937.47 1,309,753
12/31/2018 Sell o 4,078.58 1,309,753
1/14/2019 Buy S 3,618.68 1,303,111
1/14/2019 Sell o 3,600.37 1,303,111
2/4/2019 Buy S 3,528.10 1,364,969
2/4/2019 Sell o 3,695.61 1,364,969
2/19/2019 Buy S 3,741.80 1,388,740
2/19/2019 Sell o 3,807.00 1,388,740
2/25/2019 Buy S 3,880.92 1,375,905
2/25/2019 Sell o 3,845.09 1,375,905
3/4/2019 Buy S 3,918.35 1,388,318
3/4/2019 Sell o 3,953.74 1,388,318
3/11/2019 Buy S 4,024.70 1,390,120
3/11/2019 Sell o 4,029.97 1,390,120
3/25/2019 Buy S 4,096.58 1,393,087
3/25/2019 Sell o 4,105.36 1,393,087
4/1/2019 Buy S 4,181.35 1,732,395
4/1/2019 Sell o 5,199.84 1,732,395
4/8/2019 Buy S 5,295.08 1,690,583
4/8/2019 Sell o 5,167.32 1,690,583
4/15/2019 Buy S 5,263.33 1,706,363
4/15/2019 Sell o 5,312.49 1,706,363
4/22/2019 Buy S 5,412.85 1,666,000
4/22/2019 Sell o 5,284.86 1,666,000
4/29/2019 Buy S 5,382.91 1,792,502
4/29/2019 Sell o 5,791.69 1,792,502
5/6/2019 Buy S 5,902.93 2,116,875
5/6/2019 Sell o 6,971.18 2,116,875
5/13/2019 Buy S 7,101.36 2,443,441
5/13/2019 Sell o 8,196.92 2,443,441
5/20/2019 Buy S 8,349.35 2,538,457
5/20/2019 Sell o 8,674.07 2,538,457
5/28/2019 Buy S 8,833.67 2,512,028
5/28/2019 Sell o 8,741.75 2,512,028
6/10/2019 Buy S 7,830.31 2,883,707
6/10/2019 Sell o 8,988.92 2,883,707
6/17/2019 Buy S 9,160.89 3,416,578
6/17/2019 Sell o 10,853.74 3,416,578
6/24/2019 Buy S 11,056.20 3,336,446
6/24/2019 Sell o 10,796.93 3,336,446
7/1/2019 Buy S 11,017.27 3,466,448
7/1/2019 Sell o 11,446.60 3,466,448
7/8/2019 Buy S 11,662.69 3,048,878
7/8/2019 Sell o 10,257.84 3,048,878
7/15/2019 Buy S 10,445.80 3,092,981
7/15/2019 Sell o 10,596.95 3,092,981
7/29/2019 Buy S 9,729.59 3,484,341
7/29/2019 Sell o 10,960.74 3,484,341
8/5/2019 Buy S 11,173.13 3,595,051
8/5/2019 Sell o 11,528.19 3,595,051
8/19/2019 Buy S 10,537.21 3,454,845
8/19/2019 Sell o 10,126.30 3,454,845
8/26/2019 Buy S 10,326.08 3,264,590
8/26/2019 Sell o 9,757.47 3,264,590
9/3/2019 Buy S 9,938.49 3,430,371
9/3/2019 Sell o 10,443.23 3,430,371
9/30/2019 Buy S 8,254.11 3,320,228
9/30/2019 Sell o 7,989.12 3,320,228
10/7/2019 Buy S 8,135.94 3,395,668
10/7/2019 Sell o 8,320.83 3,395,668
10/21/2019 Buy S 8,374.19 3,878,560
10/21/2019 Sell o 9,565.10 3,878,560
10/28/2019 Buy S 9,728.42 3,682,070
10/28/2019 Sell o 9,235.61 3,682,070
11/4/2019 Buy S 9,406.21 3,682,070

Posted in Weekly Signals.

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