So for some of you who may not know CME has added a Micro offering for Bitcoin futures with a much more reasonable intraday margin requirement of $500 as of May 1st (MBT) as compared to $40,000 for BTC. With that I have been letting it traded for a couple of weeks to get some data and history on it, which is needed to do back testing and get some parameters to use in a Algo. With that I ran some testing last night and have found some settings to try using Renko Bars and have found the following:
Now looking at this the Profit Factor is solid, the Percent profitable is as well, most interesting to me is that the average win value is about the same as the average loss. So with that said even with the win rate being say 60% vs 80% this algo should still make money. Keeping in mind that this is based on only a couple of weeks of data we have no real idea on how well this will turn out over time, but I will be running this in SIM.
Honest Information 