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A simple momentum rotation system for crypto. There's no slippage modelling but the trade frequency isn't too high so slippage shouldn't eradicate the returns. It doesn't perform well going back further in time but recent market dynamics may be in its favor.  Use at your own risk.

Warren Harding

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To be sure slippage should be checked before trading it. It's just a simple draft at this point. Interesting compounding annual return of 105186.455% though.

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The average win is 3.43%. The average loss is -1.31%. That's high enough that slippage shouldn't completely destroy it. As mentioned elsewhere liquidity is an issue on GDAX, so for large accounts slippage will have to be considered, or else a more complex position building system will have to be integrated.

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I used Binance's fee rate of 0.1%. GDAX is much higher for market orders at 0.3%, a figure that almost completely destroys the returns. A limit order based position building system will have to be integrated to make it potentially profitable on GDAX. Slippage looks low on the GDAX site though....

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Hi Warren! Thank you for presenting your algorithm. When I have time, I will try to reproduce it in Python while adding a conservative slippage model and limit orders (0% maker fee on GDAX!) as you recommend. 

By the way, do you happen to know what is the default slippage when we initialize a brokerage model (e.g. GDAX)? Is it dependent on the brokerage and/or the security, or is it "universal"?

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Hi Benjamin. Thanks for the interest. I'm not sure how default slippage is handled, I've been meaning to find that out myself. Maybe someone else here can help out with that.

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