Short Term Intraday Long Only Crypto Strategies
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The document describes two short-term trading models for a spot market/long only strategy. Model 1 generates hourly oscillating signals for quick deleveraging, while Model 2 uses hourly RSI cutoffs from multiple timeframes. Backtests of Model 1 show average hourly turnover of 5.6% with 10 bps transaction costs included, and sensitivity analysis was performed by varying strategy parameters to assess robustness. Results for different parameter sets and the impact of transaction costs on profits are also presented.
Short Term Intraday Long Only Crypto Strategies
- 1. Short term models Spot market/Long Only
- 2. Highly profitable intraday long only strategies Highly robust, improve every underlying
- 3. Models Model 1 : Hourly oscillating signal for a quick deleveraging Model 2: Hourly RSI cut off
- 5. Metrics model 1 10 bps transaction costs hardcoded in backtest Average turn-over per hour : 5.6% of the asset
- 6. Sensibility analysis We vary the strategy parameters model around its optimal to assess the robustness of the strategy.
- 7. Calmar map for parameters variations
- 8. Results per parameters set
- 9. Transaction costs drive the profits
- 10. Model 2 : RSI multi-frequency based model
- 11. Mix