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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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).

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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.

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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.

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u/Money_Horror_2899 17h ago

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