Gap Trading Strategy: CME Bitcoin

30 Nis 2020

I created a strategy which finds gaps on CME Futures market for Bitcoin, BTC1! and opens a long or short position on the crypto exchange depending on what kind of gap was found (up or down) on CME.

Up gap: today open price > previous day high price
Down gap: today open price < previous day low price

Two lines below the main chart show when gaps appear. The green line represents the size of up gaps, when it crosses zero it gives a long signal. The red line - represents the size of down gaps, when it crosses zero - short signal.

Instead of having to look between multiple charts, this simply overlays the past weeks open and close should a gap appear.

Usage:

Strategy flips long / short depending of indicator signals. It could cut the position by stop loss or take profit.

Features:

• ability to set stop loss and take profit in %
  
• ability to set delta for gaps (if you want to filter small ones)
  
• ability to choose strategy type. Standart: Long Up/Short Down || Inverse: Short Up/Long Down.
  

Backtesting:

Backtested on BTCPERP ( FTX ) and XBTUSD (Bitmex).

It shows a low drawdown, a small number of trades and 50% of profit for the 2020.

For example, I set high delta for down gaps to filter small ones

Strategy doesn't repaint.

7 May 2020

Sürüm Notları

> Added ability to choose timeframe for BTC1! values. Available options: 120min, 240min, Day, Week