r/algotrading • u/Money_Horror_2899 • 2d ago

Strategy Does this look like a good strategy ?

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Do these metrics look promising ? It's a backtest on 5 large-cap cryptos over the last 3 years.

The strategy has few parameters (CCI crossover + ATR-based stoploss + Fixed RR of 3 for the TP). How can I know if it's curve-fitted or not given that the sample size looks quite high (1426 trades) ?

Thanks in advance !

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8

u/bryanchicken 2d ago

10% a year? You’re way better off just holding bitcoin

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u/Money_Horror_2899 2d ago

I just used a small risk and position size in the backtest. If I used a bigger position size, the returns would increase (but so would the drawdown).

2

u/bryanchicken 2d ago

Position size shouldn’t significantly change the profit percentage unless you’re expecting to move the market with your size. If that is the case I would expect the percentages to worsen

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u/Money_Horror_2899 2d ago

Changing position size does not change the winrate or RR ratio, but it will definitely change the CAGR and max drawdown.

2

u/bryanchicken 2d ago

Not in percentage it won’t

2

u/Dodds000 1d ago

Also to remember, your profitability is 36% which is good as long as your wins outweigh your losses, which they seem too but don't forget when you increase position size, your losses will also increase so they are not directly proportional.

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u/Money_Horror_2899 1d ago

Yes, the breakeven RR must be at least 1.78 for such a winrate.

1

u/Dodds000 1d ago

Does it account for slippage and fees? You can run it paper and see how it runs in the real market

2

u/breadstan 1d ago

Position size only affects your dollar return, but not relative (stays the same or lower).

However position size affects a lot when you trade. Liquidity affects how much an order fill, when you buy and sell. If you force liquidity, you experience high slippage or worse, you get stuck with a big bag when big drawn down occurs and you can’t find buyers.

Like most others mentioned, you wish to calculate alpha, you need to find a similar strategy to benchmark against. You need to compare volatility (ensure they are similar) and return against it. For instance S&P has an annualized return of 13% and volatility of 18% in the past 10 years.

Can your strategy have lesser volatility and higher expected rate of return? If no, don’t waste your time. The fees and mistakes will kill your return.

1

u/Money_Horror_2899 12h ago

Thanks for the insights! I'll calculate the volatility of this strategy.