Hey everyone,
Few changes occur with the cryptocurrencies selection algorithm since the last post, and program to fetch and upload new data is now fully automatized. Next step is to write the script that will open and close trades. It is why the website was in maintenance this past weeks.
Changes :
- 24h volume > 150BTC
- Trade the top 2 cryptocurrencies
- Rebalance every day at 00:05 am (5min. candle)
The in-sample period for backtesting and optimization is now over and portfolio run with new data since 2016-04-01.
To give you an idea, it outperforms Bitcoin by more than 1800% since 2016 jan-01 and it has been stable more recently. Worst drawdown is less than 12% YTD
You'll find more info here :
http://coinhike.com/