DLPAL Trading Strategy for bitcoin with 5% profit target and stop loss has 69% win rate and 100% out-of-sample return.
The in-sample for training and test is from 01/01/2011 to 12/31/2015. The out-of-sample for validation is from 01/01/2016 to 05/30/2017.
Below is the DLPAL S workspace used for in-sample unsupervised feature identification and supervised train and test.
The results are shown below:
Each line in the results is a strategy that satisfies the performance parameters specified. Index and Index Date are used internally to classify strategies. Trade on is the entry point, in this case the Open of next bar. P is the success rate of the strategy, PF is the profit factor, Trades is the number of historical trades, CL is the maximum number of consecutive losers, Type is LONG for long strategies and SHORT for short strategies, Target is the profit target, Stop is the stop-loss and C indicates whether % or points for the exits, in this case it is %. Last Date and First Date are the last and first date in the data file.
DLPAL found 13 long strategies in the in-sample. Below is the equity performance in in-sample and out-of-sample with DLPAL code generated for Amibroker platform.
Win rate is 69%. CAGR is about 80% in combined sample. Net return in out-of-sample is about 100% with 46 trades. Year-to-date return is 77%.
DLPAL S is only $575 for the first year and if the license is renewed for a second year at the same guaranteed price, then the license is converted to lifetime. Click here for more details.
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Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.