GBTC and Trendfollowing
Posted: Fri Apr 24, 2020 7:59 pm
I threw the GBTC Bitcon ETN into Portfoliovisualizer for a try at trendfollowing, and both moving averages and absolute momentum made it more palatable:
Jan 2016 - March 2020 (3 yrs, 3 mo)
5 mo simple moving average: CAGR 111%, MaxDD -53%, Sortino 3.74, 6 trades
5 mo absolute momentum: CAGR 126%, MaxDD -53%, Sortino 3.98, 8 trades
Buy & Hodl: CAGR 73%, MaxDD -82%, Sortino 2.69 {the drawdown shook most everyone out}
Hmmmmmmmmmmmm....
Jan 2016 - March 2020 (3 yrs, 3 mo)
5 mo simple moving average: CAGR 111%, MaxDD -53%, Sortino 3.74, 6 trades
5 mo absolute momentum: CAGR 126%, MaxDD -53%, Sortino 3.98, 8 trades
Buy & Hodl: CAGR 73%, MaxDD -82%, Sortino 2.69 {the drawdown shook most everyone out}
Hmmmmmmmmmmmm....