10-year cumulative return rate of 23,000 times, maximum drawdown 41% by franklili on TradingView.com
Is Bitcoin too volatile to invest?
I used 10 years of Bitcoin historical data and the new Bitcoin factor indicator to backtest Bitcoin's long-term strategy. The cumulative return rate was 23,000 times, the maximum drawdown was 41%, and the annualized Sharpe ratio was 3.27.
In the above figure, the yellow line is the account equity, which was US$10,000 on October 1, 2011, and US$230 million on November 8, 2021.
The red line is the cumulative rate of return, whose value on November 8, 2021 is 23269 times.
The green line is the annualized Sharpe ratio, which has a value of 3.27 on November 8, 2021.
The blue line is the new factor indicator. When it is less than -0.8, it starts to buy in batches and the number of days to open a position is 5 days. When it is greater than 1, it starts to sell in batches and the number of days to sell is 5 days. My last article, “New Bitcoin Factor Indicator Has 10-Year Accuracy of 92%,” details this indicator. Its value on November 8, 2021 is 0.84, which is close to 1. Please be aware of the risks.
The olive green line is the annualized rate of return, and its value on November 8, 2021 is 1.7.
The yellow line is the position ratio. The maximum value is 1 and the minimum value is 0. This strategy does not use leverage.
The purple line is the maximum retracement ratio. When the maximum retracement ratio is greater than 40%, the background is red. Its value on February 18, 2012 was -41%. The maximum retracement rate decreases year by year, and the maximum retracement rate in 2021 is -25% on January 27, 2021.
In the overview of the strategy tester, the number of transactions is 31, the winning rate is 100%, the average transaction profit rate is 750 times, and the average position holding time is 599 days.
This strategy is suitable for ordinary investors and is a powerful tool to achieve financial freedom.