Here’s the chart I’m currently trading. ADAUSDT on Binance, 6 hourly candles, with 15 bar and 60 bar moving averages added to help spot a crossover as soon as it happens. When short crosses long from below a trade could be on, depending on the prediction of future return made by the XGBoost model. Exit strategy is 2% take profit or stop loss. Only about 1 trade per month with this setup, but backtesting did show significant profit over the past 18 months. However, previous backtesting looked good for my stat arb strategy too, and that didn’t work out so well in the long run. I’m not going to over commit again.
I’ve done some testing using other values than the 15/60 bars that I’ve used here for the two moving averages, and the results are very different. Seems like my initial guesses are right on the sweet spot, at least for this trading pair. I wonder how brittle it is though. Perhaps it’s just chance that gives me good results now, but maybe in a couple of months that won’t be the case. It doesn’t take much of a change to wipe out the profit completely, even produce a loss. I don’t really trust backtesting much, given my past experience.