A Bitcoin Futures Strategy Using Regression Slope as Price Momentum

Summary

This strategy treats the regression slope of a smoothed price range as a measure of market speed or momentum. It calculates the highest high and lowest low over 35 bars, averages those two levels, smooths that midpoint with a moving average, and measures the slope of the smoothed series. A rising slope is interpreted as strengthening momentum and prompts a long position; a falling slope prompts a short position. The strategy uses a fixed trade size.

The article reports a one-hour backtest on a quarterly Bitcoin futures contract from January 2019 to February 2020, with a fixed size of 200 contracts. It states that the test produced 1,261 trades, estimated profit of 4.68 BTC, annualized return of about 140%, maximum drawdown of 14%, and a Sharpe ratio of 0.117. These are reported results from a single historical test; no benchmark, robustness analysis, or discussion of parameter sensitivity is provided, so they do not establish that the approach will generalize.

Key ideas

• The strategy uses the regression slope of a smoothed midpoint between rolling highs and lows as its momentum measure.
• The calculation uses a 35-bar range and smooths the range midpoint with a moving average.
• A rising slope triggers long positioning, while a falling slope triggers short positioning.
• The reported test used hourly data for a quarterly Bitcoin futures contract and fixed-size trades.
• The performance figures come from one backtest and do not demonstrate robustness across markets or periods.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.