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https://github.com/sc4recoin/simple-crypto-breakout-strategy
Catch breakouts by opening positions based on the previous day's range. Popularized by Larry Williams.
https://github.com/sc4recoin/simple-crypto-breakout-strategy
bot btc cryptocurrency ethereum ftx golang momentum-strategy trading-bot
Last synced: 10 days ago
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Catch breakouts by opening positions based on the previous day's range. Popularized by Larry Williams.
- Host: GitHub
- URL: https://github.com/sc4recoin/simple-crypto-breakout-strategy
- Owner: SC4RECOIN
- Created: 2021-04-13T01:02:08.000Z (almost 4 years ago)
- Default Branch: main
- Last Pushed: 2023-09-13T01:26:20.000Z (over 1 year ago)
- Last Synced: 2024-11-16T02:08:19.763Z (3 months ago)
- Topics: bot, btc, cryptocurrency, ethereum, ftx, golang, momentum-strategy, trading-bot
- Language: Go
- Homepage:
- Size: 685 KB
- Stars: 24
- Watchers: 3
- Forks: 6
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# Simple Cryptocurrency Breakout Strategy
Catch breakouts by opening positions based on the previous day's range. Popularized by Larry Williams.
## Strategy
1. Get previous day's high and low
2. Set limit order based on previous day's range
3. Close position at end of day
## Backtest
The following are results from a backtest from `2020-01-01` to `2020-12-31` with the below config. A simple buy & hold strategy is used as a benchmark.
```json
{
"ticker": "ETH-PERP",
"k": 0.6,
"stoploss": 0.02,
"leverage": 1
}
```
| Metric | |
| ---------------------- | -------- |
| Trades | 113 |
| Max Drawdown | -7.230% |
| Return | 304.713% |
| Benchmark Max Drawdown | -61.446% |
| Benchmark Return | 471.245% |
The model underperforms the benchmark, however, the model is very successful in reducing downside exposure. Increasing the leverage to 2x or 3x will significantly outperform the benchmark while maintaining tolerable drawdowns in portfolio value.
## Docker
Make sure to set `secret` and `key` in `config.json` or pass as env vars.
See `Makefile`
```bash
> docker build breakout-trader .
> docker run -p 4000:4000 breakout-trader
```
Navigate to `http://localhost:4000` for dashboard
## Dashboard
The dashboard can be used to monitor your open orders and positions. The bot can also be disable and all positions and orders can be closed manually. Supports mobile view.
| Dashhoard |
| ------------------------------------ |
|  |
### V2
See the [v2 branch](https://github.com/SC4RECOIN/simple-crypto-breakout-strategy/tree/v2) for more configuration options like shorting and moving averages. This is the branch I am using and testing from but might not be ready for use and is subject to change. It also integrates with slack which I haven't made optional yet.