An Important Note for this Bitcoin Futures Information
The process we use to create these strategies is complicated.
Every strategy has been validated with extensive walk-forward analysis every step of the way. Given the complications created by the short price history of BTC, we also added a few tougher tests.
However since the look backs for some of the walk-forward analyses are a bit brief, we thought it best to show how all of the walk-forward analyses for these strategies did.
For each strategy we first present an abbreviated report for each strategies walk-forward matrix. Each walk-forward in this strategy family was done on a historical look-back from December 17, 2017 through September, 2020.
This is the most important information. It provides the most robust and complete statistics for the strategy.
This section is labeled "Historical Background."
This is followed by the strategies current equity curve and performance. The look-back for these reports is quite variable. It is the look back of the most recent in-sample optimization window plus the latest data. This will change with each new optimization update.
This section is labeled "Current Performance".