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TRADE BITCOIN USING SIMPLE GOOGLE TREND STRATEGY

Explanation

Please read this paper first: https://goo.gl/yQteFm

This strategy (version 1) can be summarized as the following:

  • When the relative change of google trend data for bitcoin is positive: BUY
  • When the relative change of google trend data for bitcoin is negative: SELL

The only parameters is the delta_t, which is used to compute the relative change of google trends data.

The script also includes two improved versions. Version 2 can be summarized as the following:

  • When the relative change ratio, r, is positive: BUY using f(r) percentage of the available cash
  • When the relative change ratio, r, is negive: SELL f(r) percentage of the available BTC

f(r) is a shifted sigmoid function with parameter scale.

Version 3 is similar to version 2. But the parameters are separated in BULL and BEAR market. BULL/BEAR are determined by the derivative of the google trends data after applied a savgol fitering.

Result

Imgur

There is also a jupyter notebook for illustration.

THIS IS JUST A SIMPLE DEMO. NOT A TRADING ALGO. NO STATISTICAL TEST HAS BEEN DONE.