Gap Trading Strategy: CME Bitcoin
I created a strategy which finds gaps on CME Futures market for Bitcoin,
BTC1!
and opens a long or short position on the crypto exchange depending on what kind of gap was found (up or down) on CME.
Up gap: today open price > previous day high price
Down gap: today open price < previous day low price
Two lines below the main chart show when gaps appear. The green line represents the size of up gaps, when it crosses zero it gives a long signal. The red line - represents the size of down gaps, when it crosses zero - short signal.
Instead of having to look between multiple charts, this simply overlays the past weeks open and close should a gap appear.
Usage:
Strategy flips long / short depending of indicator signals. It could cut the position by stop loss or take profit.
Features:
Backtesting:
Backtested on
BTCPERP
( FTX ) and
XBTUSD.P
(Bitmex).
It shows a low drawdown, a small number of trades and 50% of profit for the 2020.
For example, I set high delta for down gaps to filter small ones
Strategy doesn't repaint.
BTC1!
and opens a long or short position on the crypto exchange depending on what kind of gap was found (up or down) on CME. Up gap: today open price > previous day high price
Down gap: today open price < previous day low price
Two lines below the main chart show when gaps appear. The green line represents the size of up gaps, when it crosses zero it gives a long signal. The red line - represents the size of down gaps, when it crosses zero - short signal.
Instead of having to look between multiple charts, this simply overlays the past weeks open and close should a gap appear.
Usage:
Strategy flips long / short depending of indicator signals. It could cut the position by stop loss or take profit.
Features:
- ability to set stop loss and take profit in %
- ability to set delta for gaps (if you want to filter small ones)
- ability to choose strategy type. Standart: Long Up/Short Down || Inverse: Short Up/Long Down.
Backtesting:
Backtested on
BTCPERP
( FTX ) and
XBTUSD.P
(Bitmex). It shows a low drawdown, a small number of trades and 50% of profit for the 2020.
For example, I set high delta for down gaps to filter small ones
Strategy doesn't repaint.
リリースノート:
> Added ability to choose timeframe for BTC1! values. Available options: 120min, 240min, Day, Week
