In this post we’ll take a look at the backtest results of opening one BTC long day-trade position each trading day from Sept 17 2014 through June 9 2020 and see if there are any discernible trends. We’ll also explore the profitable strategies to see if any outperform buy-and-hold BTC.
There are 15 backtests in this study evaluating over 6,200 BTC long day trade occurrences.
Let’s dive in!
Opening positions Monday morning and closing them Monday captured 16% of the gains with only 4.7% of the time / market exposure.
Avoiding overnight and weekend exposure captured 84% of the gains with only 24% of the time / market exposure.
- Symbol: BTC
- Strategy: Day Trade (positions are held for 24 hours or less, ignoring weekends)
- Days Till Expiration: N/A
- Start Date: 2014-09-07
- End Date: 2020-06-09
- Positions opened per trade: 1
- Entry Days: daily
- Entry Signal: N/A
- Timing: 9:00am ET and/or 4:00pm ET
- Overnight (open position at market close and close at market open)
- Intraday (open position at market open and close at market close)
- Buy/Hold (open position at market open and close the following market open)
- Trade Entry
- Trade Exit
- Margin requirements are always satisfied
- Margin calls never occur
- Margin requirement for all positions is 30%
- Prices are in USD
- Prices are nominal (not adjusted for inflation)
- Commission to open or close positions is 0.00 USD
- Slippage is calculated according to the slippage table
- For comprehensive details, visit the methodology page
Compound Annual Growth Rate
Max Drawdown Duration
There are 168 hours in a week. Buying and holding bitcoin over the duration of the backtest yielded over a 25x return (2414.44%). By trading intraday on only Mondays and tying up capital for a mere 8 hours per week, one would have nearly quintupled their money (385.86%).
Said another way, 4.7% of the time in the market captured 16% of the gains. That’s a 3.4x improvement in return per unit of time in the market (capital efficiency).
If returns are reinvested (read: compounded), participating only during intraday hours accounts for 24% of the time exposure and captures 84% of the gains for a 3.5x capital efficiency.
Daily returns were binned in 25 basis point (bp) increments and charted against a gaussian (normal) distribution. The distribution curve more accurately aligns with a laplace distribution vs a normal distribution.
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