//01 Out-of-Sample Back Testing with BitCoin ($BTCUSD)

01 Out-of-Sample Back Testing with BitCoin ($BTCUSD)

After 48K tests with Bitcoin EOD data after 2012 against various training sets it is clear data two kind of instrument groups fits more effectively against this popular crypto currency (BTCUSD).

The group with 169 instruments (mostly large cap stocks) with very shifting volatility together with a group consisting of 24 of the most popular instruments globally seems to have the best qualifications to predict future movements of the crypto currency.

The calculations of the target function seems to need to be quite long (over 21 days) even due the test is measure the risk adjusted return after one days holding for the period 1st January 2012 to present time.

The most popular feature seems to come from indicators made of Regression lines, Simple moving average, Rte of change and Stochastic.

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By | 2017-10-03T10:42:02+00:00 September 14th, 2017|RnD|0 Comments

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