Title: Simple MACD Crossover Trading Strategy Applied to Bitcoin Post by: EssentialDataScience on September 10, 2017, 07:07:51 PM Hi all,
I just uploaded another mini-project to Github: It shows the backtest results of a simple MACD trading strategy applied to Bitcoin (and interestingly enough, it seems to outperform buy and hodl :)). Take a look if you're interested: https://github.com/VermeirJellen/Bitcoin_MACD_Strategy Any data scientists on this forum? Cheers! Title: Re: Simple MACD Crossover Trading Strategy Applied to Bitcoin Post by: afbitcoins on September 10, 2017, 11:31:26 PM What timescale do you look for crossover on?
Title: Re: Simple MACD Crossover Trading Strategy Applied to Bitcoin Post by: notme on September 11, 2017, 02:15:30 AM What timescale do you look for crossover on? He's using daily closing price. Title: Re: Simple MACD Crossover Trading Strategy Applied to Bitcoin Post by: EssentialDataScience on September 11, 2017, 06:12:19 AM What timescale do you look for crossover on? He's using daily closing price. Actually, I used the Blockchain.info charts api (view FetchBTCInfo function) because their historical datafeed goes back further in time in comparison to the feed of most of the exchanges. I named the timeseries "btc.close" in the mini project but it's actually the "Average USD market price across major bitcoin exchanges.", according to the Blockchain.info description. I previously created a package to fetch data from Poloniex, view https://github.com/VermeirJellen/PoloniexR (I will probably make a separate topic for this later on). You can use this package to fetch the OHCL-V from Poloniex and run the SimpleMACD strategy again on the close if you like. I don't think there will be that much of a difference but the main problem is that the historical data feed goes back only a few years. |