I am testing various technical trading rules (TTR) on the cryptocurrency market.
I have already setup some significance tests, to compare the returns and volatilities.
I would now like to test it from a different angle using the ROC model, often applied when backtesting PD [Probability of Default] models. I am just not sure if this is actually feasible in the environment I am trying to apply it.
The logic I have applied until now is that if the output of my TTR is a "BUY" and the underlyings returns that day is bigger than zero, it is a TRUE BUY on the other hand if the return of the underlying is smaller than zero that day I get a FALSE BUY. Having this information I think I should be able to set-up a ROC model.
My question here would be, is this approach actually feasible? Has someone already taken this approach?