( 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.
- 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?
- What are good ‘spread’ value to test for BTCUSD?
- What are good ‘slippage’ values to test for BTCUSD?
- 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