{"id":40890450,"date":"2025-01-16T12:16:19","date_gmt":"2025-01-16T06:46:19","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890450"},"modified":"2025-01-16T12:16:19","modified_gmt":"2025-01-16T06:46:19","slug":"simple-trend-following","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2025\/01\/16\/simple-trend-following\/","title":{"rendered":"Simple Trend-following"},"content":{"rendered":"\n<p>Our introduction to trend-following posts on Zerodha Varsity (Part <a href=\"https:\/\/zerodha.com\/z-connect\/varsity\/could-trend-following-be-a-successful-trading-strategy-part-i\">I<\/a>, <a href=\"https:\/\/zerodha.com\/z-connect\/varsity\/could-trend-following-be-a-successful-trading-strategy-part-ii\">II<\/a>, <a href=\"https:\/\/zerodha.com\/z-connect\/varsity\/could-trend-following-be-a-successful-trading-strategy-part-iii\">III<\/a>, <a href=\"https:\/\/zerodha.com\/z-connect\/varsity\/could-trend-following-be-a-successful-trading-strategy-part-iv\">IV<\/a> and <a href=\"https:\/\/zerodha.com\/z-connect\/varsity\/could-trend-following-be-a-successful-trading-strategy-part-v\">V<\/a>) used tradfi instruments to build a basic model. What if we applied the same principles on crypto assets?<\/p>\n\n\n\n<p>To keep things simple, we&#8217;ll pick only two assets: BTC and ETH. The portfolio is evenly split between the two. Since crypto markets are 24\/7\/365, we&#8217;ll divide each day into 24 hour slots and construct a daily series based on the closing prices at each hour. The portfolio is further split into 24 parts each. Each position is an average of a binary trend signal.<\/p>\n\n\n\n<p>Individually, trend-following boosts the Sharpe ratio of each asset.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/crypto\/simple-trend\/sma.btcusd.all.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/crypto\/simple-trend\/sma.ethusd.all.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>You may not have captured the absolute highs but you would have avoided the steep drawdowns.<\/p>\n\n\n\n<p>They are stronger together than individually.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/crypto\/simple-trend\/sma.all.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>Needless to say, leverage in this scenario would be fatal.<\/p>\n\n\n\n<p>Code on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/crypto\/simple-trend\">github<\/a>.<\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Our introduction to trend-following posts on Zerodha Varsity (Part I, II, III, IV and V) used tradfi instruments to build a basic model. What if we applied the same principles on crypto assets? To keep things simple, we&#8217;ll pick only two assets: BTC and ETH. The portfolio is evenly split between the two. Since crypto &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2091073,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[4053],"tags":[3793],"class_list":["post-40890450","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-crypto","tag-trend-following","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890450","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890450"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890450\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2091073"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890450"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890450"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890450"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}