Bitcoin trading strategy

Levent Yilmaz

Hi Daniel, Happy new Year! How can I backtest the bitcoin trading strategy of Alain Glücksman? Thank you

scottz1

@Levent-Yilmaz 1. Can you post the description of the strategy and the rules, or psuedo-code?
2. Do you have bitcoin historical data?
3. What timeframe does the system work on? eg. 5 minute bars, daily, or some other type of chart?

Levent Yilmaz

@scottz1 Hi, Thank you. You can find the report here https://ethz.ch/content/dam/ethz/special-interest/mtec/chair-of-entrepreneurial-risks-dam/documents/dissertation/master thesis/Master_Thesis_Glücksmann_13June2019.pdf

jeff lee

class BollingerBandsW(bt.Indicator):
    alias = ('BBW',)
    lines = ('bbw',)
    params = (('period', 20), ('devfactor', 2.0), ('movav', MovAv.Simple),)

    plotinfo = dict(subplot=True,
                    bbw=dict(_name='bbw', color='green', ls='--', _skipnan=True), )

    def __init__(self):
        self.boll = bt.indicators.BollingerBands(self.datas[0], period=self.params.period, devfactor=self.params.devfactor)
        self.lines.bbw = (self.boll.top - self.boll.bot) / self.boll.mid

jeff lee


class VolatilityLevel(bt.Indicator):
    alias = ('VolatilityLevelIndex',)

    lines = ('bbw', 'VLI_fast', 'VLI_top', 'VLI_slow',)

    params = (
        ('period', 20),
        ('devfactor', 2.0),
        ('movav', MovAv.Simple),
        ('fast_period', 20),
        ('slow_period', 100),
    )

    plotinfo = dict(subplot=True,
                    bbw=dict(_name='bbw', color='green', ls='--', _skipnan=True),
                    VLI_fast=dict(_name='VLI_fast', color='red', ls='--', _skipnan=True),
                    VLI_top=dict(_name='VLI_top', color='lightred', ls='--', _skipnan=True),
                    VLI_slow=dict(_name='VLI_slow', color='blue', ls='--', _skipnan=True),
    )

    def __init__(self):
        self.lines.bbw = BollingerBandsW(self.data, period=self.params.period, devfactor=self.params.devfactor)
        self.lines.VLI_fast = self.p.movav(self.lines.bbw, period=self.p.fast_period)
        self.lines.VLI_slow = self.p.movav(self.lines.bbw, period=self.p.slow_period)
        std = bt.ind.StdDev(self.lines.bbw, period=self.p.slow_period)

        self.lines.VLI_top = self.lines.VLI_slow + 2 * std

enjoy

Levent Yilmaz

@jeff-lee Hi Jeff, thank you very much. Best regards,