Our flagship indicator for trading cryptocurrencies known as Gemini has both mean-reversion and trend-following characteristics allowing its use in all market environments. Without further ado, let's jump into the numbers, because in trading, its the ultimate determinant between winners and losers.
Starting with an initial $10,000, Gemini beats buy and "hodl" investors in Bitcoin by $116,269 over a three-and-a-half year period. Note: our system tests start on April 1st, 2014--this date was chosen as Bitcoin prior to that date was extremely erratic and the Mt. Gox hack had crashed the price of Bitcoin over 90%, from over $1000 per coin to $100. We feel that going forward, Bitcoin has garnered enough mainstream attention, that crashes of that magnitude should be a thing of the past!
While most of our subscribers are professional investors, we have enough individual investors as well to make it worthwhile to go through some of the numbers. Our out-performance was achieved in that 3 1/2 year period with 15 trades. Our trades assumed a $50 commission/fee/slippage on both entry and exit. Out of those 15 trades, 13 were closed out with a profit (86% win-rate), while 2 of the trades were exited with losses (14%).
Although we are pleased with our substantial increase in net profit over buy-and-hold, what we are most proud of is our limited drawdown. Drawdown is the percentage of money lost from the peak of a trade, to its lowest point. Maximum drawdown is the highest value measured across all trades. In this case, buy-and-hold Bitcoin investors have had to tolerate (most unsuccessfully), a maximum drawdown of over -75%! That is a loss that is just too severe for us to accept. Fortunately, in the same time frame, our indicator had a maximum drawdown of just -23.27%--a much more acceptable and tolerable loss.
The indicator uses multiple entry strategies and multiple exit strategies. It uses a mean-reversion indicator for trade entry as long as Bitcoin is above its moving average. It holds until any one of a handful of exit conditions are met, a percent stop loss (to keep our profits as well as limit losses), a cross below a moving average, or a cross of the indicator below a predetermined boundary.
Trades List and Monte Carlo Simulation:
MCR Market Report - The Leader in Cryptocurrency Analytics
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