Algo Trading Final Assignment

For this project, you will use Ninja Trader to create and back test an algorithmic trading strategy in the bitcoin market, using all available daily historical data from Coinbase. Follow these steps:

1. Think of and create a strategy in strategy builder, using one or more indicators/conditions, that you think would be profitable. (You might play with several different strategies before you decide which one to go with for this assignment.) Describe the strategy in words, and explain why you think it may be profitable. Refer to what you learned from Daveys book. Create your own strategy, do not use the SMA crossover strategy that we used in earlier assignment. Also click view code and paste the strategy code into an appendix.

1.1. You have to make sure that your strategy produces enough trades to be reasonably testable. Recall that Davey recommends for a strategy to generate about 30 trades per parameter you include.

2. Backtest the strategy using historical BTCUSD price data available from Coinbase using strategy analyzer. Make sure to include a reasonable trading fee.

2.1. First, do an initial backtest run using the first year of available data to see how it performs with default parameters. (You will have to look at the charts first to see the date that data starts being available. Should be sometime in 2015.) Paste screenshot of the Summary tab for the strategy. Describe what you see.

2.2. Run the optimizer using first year of data, see how the strategy performs with optimal parameters. Then, using these optimal parameters, run the strategy on year 2 of data. Paste screenshot of optimizer results, and of year2 backtest results. Describe what the results tell you about your strategy. Does it perform better or worse than in year1?

2.3. Use the walkforward optimization, with optimization and test windows being large enough to have sufficient quantity of trades within these windows, to do a walk forward test of your strategy. Paste screenshots of the results of walkforward tests. Describe performance of strategy in walkforward tests.

2.4. Discuss your test results. Compare your strategy profit to buy-and-hold for the time period of the test. Describe how the strategy performs in different test periods. Does it perform better in an up market or a down market? Is the performance consistent over time? Would you be willing to throw real money at it?