Combining reactivity of VFI & MFI with Multi-MA trending

16 May 2020

ETHUSD

Hi fellow crypto traders,

I'm back at work with a new strategy indicator building up on two previous strategies:
- One using MFI & VFI that I developed a while ago, tailored for BTC @ 30 Min resolution, which did perform well in backtesting but proved to perform badly on the long-run
- One using Multi Moving Average (Multi MA), from a strategy of a fellow trader I came across recently and fine-tuned to my own usages on ETH

The results of this merge is a strategy ( + alerts ) that seems to hold pretty well over time, providing the best results on ETHUSD, 2H resolution on Bitstamp

In more details:

• The source and resolution of the data used to compute the Moving Average is decorrelated from the computation of MFI & VFI.
  
• The default settings (source: CEXIO:ETHUSD, resolution: 2H) are optimized for best performances as far as I've tested
  
• The MFI & VFI strategy used to have different signals for open VS close a trade (a position could get closed way before another way gets opened). This new combined strategy always enter an opposite position, so when the MFI & VFI part of this new merged strategy decide to close a position (e.g.: close a short), the opposite position is immediately taken (e.g. continued: open a long)
  
• Both parts (MFI & VFI versus Multi-MA) work together for 55%+ winning trade and less than 20% drawback
  
• The testing strategy is by default the one of my trading environment: re-invest the whole available USD balance at each trade, 3x leverage, 0.07% trading fee