Algorithmic Crypto Trading

February 6, 2022
|
Fintech

Prelude

This is the first "pitch" I have led for Texas UCF. Texas UCF stands for Texas Undergraduate Computational Finance. I joined the selective club the second semester of my freshman year.

Website: texasucf.org

Contents

The PDF presentation is at the following link: https://drive.google.com/file/d/1kPaR00zSFPAIQIypFOlLI3OpmyQDTT1d/view?usp=sharing

The rest of this blog post will just be a summary and/or commentary on the pitch.

Hypothesis

This is the premise behind the pitch.

  1. Crypto and related assets are volatile
  2. Many institutional investors have not yet created Crypto trading desks
  3. Hence, as retail investors, there may be “older” strategies that are still profitable

To trade volatility we can:

  1. Option Straddles - Data hard to find for backtesting purposes
  2. VIX Futures - Doesn’t exist for BTC at the time (or it was not very common)
  3. Momentum Trading - What we will try
Backtesting

We used Python to backtest momentum strategies using the following indicators with various parameters and currencies:

  1. RSI
  2. Bollinger Bands
  3. MACD
Other

We also tried other ways to trade/research.

  1. Pairs Trading
  2. Impulse Response
  3. Candle Stick Pattens (mostly momentum or reversal based)

Conclusion

None of our strategies beat holding, especially considering fees and spreads.

Thanks for reading!