Constantius - Profitable trend analysis - Margin trading
Constantius is our new trend-following strategy based on trend and momentum detection. Best working on liquid cryptos, here is the ETH-based example.
Strategy has lot of parameters hard-coded, this makes strategy tuning simple with only two parameters remaining.
About strategy:
— No repainting
— No “security” function, so this strategy fully works on given timeframe
— No waiting for bigger candle close
Fun fact: Constantius is steadly profitable since 8 USD per ETH, check by yourself!
About high-leverage trading and reality check of backtest results:
High leverage was in mind when we were designing this strategy. In short, if we use real margin of 1.5% on Bitmex that equals real leverage of 67. Real leverage means that is no subsidy payment for the Bitmex insurance fund of exchange. Putting it simple, our stop loss is 1.5% below entry price for longs. That gives us an opportunity to trade position size that is about x3 of our initial capital when actually risking 5% percent of equity. We can also fine-tune our risk appetite, so risking 2% of equity with 1.5% stop loss gives us about x1.2 on our initial capital, and risking 2% of equity with 3% stop loss gives us tradable position of 60% of our capital. Credits for this system going to Antiliqudation tool.
We're trying to make backtest modes as realistic as we can, so there is leverage modelling:
— Initial capital: 130 USD. That means we put the price of 1 ETH in the beginning of testing.
— Fixed order size of 2.6 ETH per position. That means we're using 4% of equity per trade.
— We have more than 1000 orders. It is hard to monitor them 24/7 so automation is good thing to use.
— Commission of 0 is real in implementation, as some exchanges pays you -0.025% (negative) market maker commission. Automated order execution is necessary for zero commission, and a special type of order that tries to enter a position with a limit order that is constantly adjusted to be at the front of the order book is needed. So automation tools calls it “aggressive” order. Please look for ways of automation listed on Pine Coders site.
— Slippage can be set in “aggressive” orders, here in backtests default is zero.
There are lot more details about algotrading and leverage nuances, feel free to contact and ask for anything.
Use the link under backtesting results block to obtain access to this strategy!
Strategy has lot of parameters hard-coded, this makes strategy tuning simple with only two parameters remaining.
About strategy:
— No repainting
— No “security” function, so this strategy fully works on given timeframe
— No waiting for bigger candle close
Fun fact: Constantius is steadly profitable since 8 USD per ETH, check by yourself!
About high-leverage trading and reality check of backtest results:
High leverage was in mind when we were designing this strategy. In short, if we use real margin of 1.5% on Bitmex that equals real leverage of 67. Real leverage means that is no subsidy payment for the Bitmex insurance fund of exchange. Putting it simple, our stop loss is 1.5% below entry price for longs. That gives us an opportunity to trade position size that is about x3 of our initial capital when actually risking 5% percent of equity. We can also fine-tune our risk appetite, so risking 2% of equity with 1.5% stop loss gives us about x1.2 on our initial capital, and risking 2% of equity with 3% stop loss gives us tradable position of 60% of our capital. Credits for this system going to Antiliqudation tool.
We're trying to make backtest modes as realistic as we can, so there is leverage modelling:
— Initial capital: 130 USD. That means we put the price of 1 ETH in the beginning of testing.
— Fixed order size of 2.6 ETH per position. That means we're using 4% of equity per trade.
— We have more than 1000 orders. It is hard to monitor them 24/7 so automation is good thing to use.
— Commission of 0 is real in implementation, as some exchanges pays you -0.025% (negative) market maker commission. Automated order execution is necessary for zero commission, and a special type of order that tries to enter a position with a limit order that is constantly adjusted to be at the front of the order book is needed. So automation tools calls it “aggressive” order. Please look for ways of automation listed on Pine Coders site.
— Slippage can be set in “aggressive” orders, here in backtests default is zero.
There are lot more details about algotrading and leverage nuances, feel free to contact and ask for anything.
Use the link under backtesting results block to obtain access to this strategy!