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The New Vault Strategy

Gerhard 1mo ago · ♥ 1 · 💬 1 · 👁 323
Using the medium-term trend while removing some noise via the 2-day SMA
Asset
AssetBitcoin
ModeBacktest
Indicators
Indicator 1SMA (2)
Indicator 2SMA (116)
Exposure & Leverage
ExposureLong Short
Long Lev2.5x
Short Lev2x
Lev ModeOptimal
SizingCompound
Date Range & Capital
Start2018-01-01
End2026-03-11
Capital$10000
Fee0.05%

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Metric SMA(2)/SMA(116) (2.5x Long, 2x Short) Buy & Hold
Performance
$100 would be $199,076.96$503.65
Ann. Return 152.61%21.80%
Sharpe Ratio 1.360.64
Sortino Ratio 1.960.86
Risk
Max Drawdown -85.02%-81.28%
Drawdown Duration 1y 4m 25d2y 10m 15d
Volatility 129.1%65.9%
Beta 0.501.00
Calmar Ratio 1.800.27
Trades
Trades 49Long 49
Short 49
Win Rate 32.0%Long 24.0%
Short 40.0%
Avg Win / Loss +284.0% / -11.8%Long +692.6% / -13.8%
Short +38.9% / -9.3%
Profit Factor 11.31Long 15.83
Short 2.79
Avg Duration 60dLong 64d
Short 56d
Annual
Best Year +711.4% (2020)+303.5% (2020)
Worst Year -29.3% (2018)-72.3% (2018)

Comments (1)

gabixbt 26d ago (edited)
Hi Gerhard, Please can you explain more on the "Lev Mode - Optimal", I mean how it will work in live enviroment or maybe you can share it with sample data. I know for shorts we will set and forget but for Long will update the leverage daily, this part i am not sure how you will do it. thanks