Playing the Short Side on SPX
I’m testing a few more things now and since cryptocurrency movements are heavily influenced by volume, I decided to also include the Money Flow Index as part of the buy-and-sell signal. Overall, I’ve decided to just stick with the four major cryptocurrencies: BTC, ETH, LTC, and ZEC. I’m discretionary trading NEO based on a simple 5-20 simple moving average cross. Otherwise, I’m incorporating the MFI into the signal for the other cryptos. Below is a summary of my backtests using Bitfinex daily data. A summary table with the following thresholds is listed below:
| Ticker | SMA | MFI Threshold | Out of Sample Return | In Sample Sortino |
|---|---|---|---|---|
| BTC | 10 | 56.52 | 0.78 | 0.12 |
| ETH | 20 | 37.5 | 2.75 | 0.06 |
| LTC | 50 | 28.57 | 1.52 | 0.02 |
| ZEC | 75 | 9.09 | -0.04 | 0.25 |
BTC
ETH
LTC
ZEC
Related posts
