I created a portfolio rebalancing strategy, that I am currently paper trading with. It is, primarily, based on mean-reversion principle with a few rules in place, and geared towards cryptocurrencies, in general.
I double the commission to account for slippage as well as when rebalancing I first sell all assets I am holding and then, buy them even if same. This adds a few pips of random slippage as well, at the least.
Here are a few plots I obtained from this strategy in backtesting. I used
1h as well as
1d ticks from Bittrex.
1d timeframe backtesting result with a
0.5% (0.25% bittrex + 0.25% slippage) commission fee:
1hr timeframe with
Now, since the chosen domain does not provide extensive history, I am unable to test this strategy on a longer timeframe.
And, therefore, I would like to know how I can ascertain that the strategy is indeed useful? I, particularly, would like the 1hr timeframe equity curve, but adding commission there ruins everything.