Tips for backtesting this BTC algo? (Details inside)

( If you came here just for the algo (in the comments), consider lending a hand first. )

I’ve got a BTC strategy that backtests well but I need some help refining my testing.

Typically when I backtest my FX algos (eg EURUSD), I test for slippage and various bid/ask spreads. I’ve got what i think is a winning algorithm for BTC, but I’ve never traded crypto.

Here are my questions.

  1. I noticed there is a BTCUSD currency pair, so my algo is written for this. Is this a good way to algo-trade BTC? What other (preferred) approaches are there?
  2. What are good ‘spread’ value to test for BTCUSD?
  3. What are good ‘slippage’ values to test for BTCUSD?
  4. When backtesting, do we need to adjust the historical for broker timezone?

Thanks in advance. Strategy Details in the first comment.

NOTE: While I welcome feedback on the algorithm itself, this post is about improving my testing process, not strategy performance. There are many reasons I can think of why this may not succeed, and that is a conversation for another thread 🙂

Submitted October 26, 2020 at 10:37PM by shock_and_awful
via https://ift.tt/34wRyRf

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