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
Buy and hold outperformed with regard to win rate vs trading overnight or intraday.
Day trades with a Friday exit yielded the greatest win rate.
Buy and hold outperformed with regard to average win magnitude vs trading overnight or intraday.
Day trades with a Thursday exit had the greatest average win magnitude.
Buy and hold outperformed with regard to lose rate vs trading overnight or intraday.
Day trades with a Friday exit had the lowest loss rate.
Trading overnight outperformed with regard to lose rate vs intraday or buy/hold.
Day trades with a Monday exit had the lowest average loss magnitude.
Compound Annual Growth Rate
Max Drawdown Duration
Buy and hold outperformed with regard to total return vs trading overnight or intraday.
Day trades with a Monday exit had the greatest total P/L.
Profitability of various day trading strategies had mixed results.
Buy and hold outperformed over the duration of the backtest vs trading overnight or intraday.
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.
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.
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