NWMA Aroon IFT Strategy applied to 2-years timeframe BTC

10 Mar 2019

This is a two year strategy return of our 2-year strategy inspired to Manfred G. Dürschner Aroon-Oscillator-IFT-NWMA Trading System.
Even if our strategy is similar, Fast and Short NWMA MA crossover is specifically tuned from the original paper and we used an additional Force Filter and exit method.

Our opensource NWMA implementation in Pine Script is here (with references to Dürschne's original paper):

From the paper original paper:

The indicator is the Aroon-Oscillator (AO), which is defined as the difference between the Aroon up and Aroon down.

• The AO is not applied to a price series but to a NWMA applied to the price series: NWMA [ price series | n1, n2 ].
  
• Cycle periods for the NWMA are n1 = 89 days and n2 = 21 days (λ = 4.2).
  
• Cycle period for the AO is 5 days: AO [NWMA | 5].
  
• An Inverse Fisher Transformation (IFT) is applied to the AO: IFT [AO].
  
• The IFT digitizes the AO witout lag.
  
• Settings: Buy IFT > 0, sell IFT < 0.
  

Note: this strategy takes as a reference Coinbase prices and takes long and short positions even if standard Coinbase does not allow the opening of short positions.
Coinbase was chosen because price series is more consistent and less prone to statistical flukes and flash crashes.

This strategy is Invite only, hope you enjoy
CryptoStatistical