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backtesting

Changes to the Bull Bear Bitcoin Strategy

February 11, 2020 by sanz prophet Leave a Comment

The Bull Bear Bitcoin Set has been running live at TokenSets since January 16, 2020. After 4 re-balances there is a clearer picture of the slippage expected, which is in the 0.6% – 0.8% area. This slippage is expected to fall in 0.3-0.5% range once more resources are brought in. Until then and based on …

Read moreChanges to the Bull Bear Bitcoin Strategy

Filed Under: backtesting, Crypto, strategy, strategy development Tagged With: bitcoin, bullbearbitcoin, strategy, tokensets

Better than mean-reversion? An Adaptive Multi-Strategy System

November 2, 2012 by sanz prophet 9 Comments

Mean reversion strategies have been very popular since 2009. They have performed exceptionally well for the past 10 years, performing well even during the 2008-09 bear market. Different versions have been popularized, notably by Larry Connors and Cezar Alvarez (previous post) as well as many others in the blog-o-spere such as David Varadi of CSS analytics (DV2) and Michael Stokes @ MarketSci. …

Read moreBetter than mean-reversion? An Adaptive Multi-Strategy System

Filed Under: adaptive, backtesting, SPY, strategy development

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