Playing the Short Side on SPX
Lately, I’ve been getting involved in the cryptocurrency frenzy. However, I do sincerely believe that the intrinsic value of these currencies are nowhere near their current dollar values; personally, it feels like another “tulip mania”. That aside, there’s still an opportunity to make some profits with these currencies by trading them and so far, it seems like a simple momentum algorithm would work. I’ve uploaded my Python Notebook script for my moving-average optimization to my Github. Below, I’ve detailed the four main cryptocurrencies I’m holding and their respective algorithm summaries. The backtests are conducted using closing prices from CoinMarketCap and the returns look quite impressive.
BTC – April 28, 2013 to September 13, 2017
- Optimal MA cross is: 10-20
- Optimal return: 9,191.38%
ETH – August 7, 2015 to September 13, 2017
- Optimal MA cross is: 15-30
- Optimal return: 41,317.47%
LTC – April 28, 2013 to September 13, 2017
- Optimal MA cross is: 25-40
- Optimal return: 20,773.48%
NEO – September 9, 2016 to September 13, 2017
- Optimal MA cross is: 10-50
- Optimal return: 12,022.93%
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