Trendbot
Trendbot is an automated cryptocurrency trading bot that uses a dual-momentum trading strategy. Trendbot rebalances your portfolio by allocating a larger position into coins with the strongest uptrend. If all coins are in downtrends then it will allocate all of your capital into USDT.
Backtest
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Past performance may not be indicative of future results.
Marginbot
Marginbot builds on the Trendbot dual-momentum approach by using triple-momentum, a third layer of momentum which measures the average trend strength of the coins in your portfolio.
To calculate the triple-momentum value, the average trend strength over multiple time frames were combined to generate a score. The relationships between Trendbots expectancy and volatility relative to the triple-momentum score was studied.
Expectancy and Volatility
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Expectancy: Average periodic return. |
Volatility: Average degree of price or return variation. |
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Margin Multiple
The margin multiple is the multiple applied to Trendbot's positions to get Marginbot’s. For example, if there is a margin multiple of 2.0 given the current market conditions, Marginbot will double the positions of Trendbot with the help of margin trading.
The relationships found in the "expectancy and volatility" section above was used to calculate the margin multiple. The margin multiple function is rewarded with expectancy and punished by volatility.
Backtest
After applying the margin multiple function to Trendbots strategy, the following Marginbot backtests were produced.
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Past performance may not be indicative of future results.
Statistics
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Return (from 1.00) |
Total Positions |
Expectancy |
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Bitcoin |
14.25 |
1284.00 |
0.21% |
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HODL |
20.38 |
1284.00 |
0.24% |
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Trendbot |
349.79 |
816.67 |
0.72% |
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Marginbot |
4373.24 |
960.82 |
0.88% |
Data
Backtests were from Sept 12th, 2017 to March 17th, 2021 with BTC, ETH, XRP, ZEC, NEO, XMR, ETC, DASH, OMG, WAVES, QTUM, BCH, XLM, BNB, EOS. Assuming trading costs of 0.15%. Interest on Marginbot was not applied.