Release of strategy JW V4.8.0

jason  ·  2018 Sep 27

On September 26th we released a new version of our strategy version 4.8 with improvements based on the last two trades as seen below.

Trade 300 and 302

Trade ID 300

The first trade showed sudden high downwards volatility after a long period of steady price increase of BTC. I highly suspect this drop was due to the released funds of worth nearly $1B, related to a Silk Road wallet. The bitcoins from this wallet were sent to different exchanges including Bitmex. You are not going to send this much to different exchanges and to Bitmex, to let it sit there. I suspect coming months will see similar sudden price drops and hikes.

It is therefore important to have our strategy react faster in such situations. Before the drop our pending profit was over 11%. We sold after 3-4 hours with only around 4% profit left. Version 4.8 improves this by securing 5.8% profit instead.

Trade 300

Trade ID 302

Trade 302

As can be seen in V4.7 we entered during the green background vertical line which indicated a reversal of the ranging trend (white background) after some of our other indicators passed us the green light too. The market turned bearish again as seen in the change to the red background. We kept the trade but we should exit once the market turns bearish again.

We never make new trades in bearish markets but we should also exit once we hold a position and it's turning bearish. This would have kept our losses of -5.15% to 1.94%. V4.8 exits once we enter bear markets.

Backtest

To make sure the changes do not affect major historical positions, we ran several backtests. One running from January 2018 until 25 Sept 2018 can be seen below. In August we will close a position because a short bear trend is appearing, which is caused because we just decided to not hold in any bear market. Shortly after the bull market returns and we enter again. This will result in a loss of 1.59%, but this is a sacrifice well worth it because we don't know if the bear market will continue down.

V4.7 Backtest V4.7

V4.8 Backtest V4.8

These two updates will improve performance of 4,9% over a timespan of 2018-01-01 00:00UTC to 2018-09-25 09:00UTC and will secure less losses and more profits in the future in similar situations.

Let us know if you have any questions and I'm happy to answer them.