The holy grail of trading must exist, but it is not what we think it is, winning every battle. This is the latest short-term strategy in our community. Let's look at the data first.
In half a year, for BTC contracts, 15-minute orders were made, a total of 72 transactions were made, with a comprehensive winning rate of 72.22% and a profit-loss ratio of 2.915
We conducted a high-leverage stress test on this strategy and concluded that the strategy can achieve a 30-fold profit in half a year at a 50-fold leverage and 25% position ratio. The maximum monthly drawdown is only 7%.
You must be curious about the trading logic of this system.
To sum up in one sentence, this system gives the system enough free space while ensuring a sufficiently low risk of drawdown.
1. Quantity and price calculation: only do fast, accurate and ruthless transactions, with quantity before price, and enter the market with sufficient transaction volume to ensure short-term profits
2. Dynamic stop loss: By dynamically calculating the stop loss level, we can avoid short-term fluctuations from damaging the transaction while ensuring a sufficiently low stop loss level.
3. Retracement algorithm: In the short-term, there are frequent fluctuations. In order to keep the profits, the system provides a large enough profit-taking space. At the same time, through the support of the retracement algorithm, it can be timely to lock in profits when the market may reverse.
The transaction process is as follows:
1. Entry signal
We calculated the entry opportunities of long and short positions by calculating historical data and combining some technical indicators. Considering that 70% of the time may be a consolidation market, we control the entry opportunities of long and short positions to 2~3 times a day. We have made statistics and found that the long-term benefits are the best with 2~3 entry opportunities a day. We also avoided some deep sideways periods.
2. Signal filtering
In fact, if you enter the market every time you have the opportunity, the overall winning rate can reach more than 60%. However, we found that because the trading is on the 15-minute scale, the utilization rate of funds is very low if you enter the market every time, because sometimes after entering the market, you have to wait 1 to 2 days before you can place a profit order.
As for short-term trading, the most important thing is the utilization rate of funds, which means that you can take profit orders in a short period of time and then roll over and compound the profits. This is different from long-term trading strategies, which are about following the big trend. But short-term trading is about rolling over and compounding profits.
To this end, we introduced volume-price calculations to filter entry opportunities. After the system sends an entry signal, if the trading volume is very low at this time, then it will take a long time to enter the market, because the volume precedes the price. Maybe you don’t feel it when I say this.
For example, the Federal Reserve held a meeting at 8 pm on May 3, which triggered a favorable market for BTC at the 15-minute level. The system issued a long entry signal at 8:30 pm that night. At this moment, the trading volume reached 8.5 times the K-line at 8:15. Volume precedes price, so enter the market decisively and go long
As you can see, in just 20 minutes, I earned nearly 1300U
3. Stop loss
We use ATR to calculate a fixed stop loss, but we find that when the market is sideways and suddenly starts, the stop loss calculated by ATR is very low and can be easily damaged by short-term fluctuations. When the market continues to rise, the entry orders appear, and the stop loss of ATR is too large, which will result in a huge loss if it is hit.
Therefore, we enlarge the ATR stop loss by 5 times. Yes, that's right, in this way, in 80% of the sideways market starts, it will not be easily damaged. Of course, you will say, if it is damaged, it will lose more.
Actually, no. In ATR stop loss, we have conducted a statistical analysis of the 15-minute historical data for 4.5 years and given a minimum stop loss point. That is to say, some orders may not hit ATR, but hit the minimum stop loss point, while some may hit ATR. But no matter which one, we control the single stop loss at a very low risk level.
4. Take Profit & Drawdown
Because the stop loss position of ATR is very large, we use a fixed profit and loss ratio to stop profit for the large stop loss position. In other words, the system will stop profit only when there is a relatively large market trend.
But what if you can’t hit the take-profit point because it’s too big?
Here we have to mention the retracement algorithm. We have introduced the retracement algorithm into the system and calculated the best retracement ratio in the past four years. If you hit the take-profit point, you will get a lot of profit from the unilateral market. If you don’t hit it, it doesn’t matter. With the help of the retracement algorithm, you can also get good profits. Using the leverage and position ratio we calculated, the average profit for the entire position can be around 10% for each retracement. And if one order hits the unilateral market and completes a large take-profit, in history, we have achieved a profit of more than 35% for a single order for the entire position. And all of this is short-term. Thanks to our volume and price calculations, it all happens quickly, and the profits are quickly pocketed.
For example, this is a short order on the night of April 2. If you stop profit according to the profit and loss ratio, even if the profit and loss ratio is 1.2, you will need to suffer a 3.28% drop to stop profit. Of course, this is not impossible, and you can stop profit in a large one-sided market.
However, when the system fell by 1.46%, the retracement algorithm was enabled and the profit was taken out, as you can also see. Then the price began to reverse and rise.
The advantage of this profit-taking method is that you can also take advantage of the big market, but there are not big market conditions every day. Usually, there will be a retracement algorithm to help you get a good profit.
Summarize:
This strategy has a comprehensive winning rate of 72.22% and a profit-loss ratio of 2.915. Under reasonable leverage, you can achieve more than 30 times the profit in half a year through rolling positions. There are several key points:
1. Through volume and price calculation, find the position that is about to rise or plummet and enter the market to improve capital utilization. By shortening the holding time, the contract fee can also be effectively reduced.
2. Stop loss is not the bigger the better, nor the smaller the better. In the former case, your profit and loss ratio will be very poor, and in the latter case, your winning rate will be very poor and you will not make any money. A scientific stop loss is that the order has enough room to fluctuate, but the stop loss can be stopped at a reasonable point. Get a high winning rate and a high profit and loss ratio
3. There are actually many ways to stop profit. Some people are used to stop profit by profit-loss ratio, some are used to stop profit by unilateral, and some people do dynamic stop profit. In the short-term trading strategy, we have integrated these stop profit methods. While ensuring that we can take advantage of the unilateral big market profit, we can also take the profit in time before the reversal. This is the core of short-term stop profit, because short-term trading focuses on rolling warehouse compound interest, and short-term frequency and speed are the key
