Trading Bear

🐂📈 Not a market bear.
Finding inefficiencies in all markets. Discretionary Trading, Systematic Trading, Crypto, Prediction Markets.

[Trading Bear @TradeWithABear]

On my journey to build a portfolio of systematic strategies, I will start by backtesting the following ideas.
I will use Codex and Python.

Breakout:
- Donchian Channel with trailing stops (on Daily and H4)
- Intraday breakouts based on ATR (volatility) and key high/low levels (yesterday, ATH, 52‑week high/low, and pivots)

Exit criteria are crucial here: I will test both time‑based exits and trailing exits using MA/VWAP.

Momentum:
- Daily timeframe: trend continuation after a pause
- TDI - and MA‑based momentum strategies (expected to fail)
- VWAP momentum (expected to fail)

Mean Reversion:
- Standard deviation bands around VWAP

I plan to backtest these strategies in a raw form (without pre‑filtering) as well as with regime filtering, distinguishing between low‑ and high‑volatility periods.
Instruments

Stocks and crypto in the beginning.

I would really appreciate further insights and tips on what to pay particular attention to.
I have no experience trading mean‑reversion strategies, as I have always traded breakouts and momentum/trend strategies.

[Trading Bear @TradeWithABear]

@PKycek Does this mean for smaller, personal accounts the achieveable results would theoretically be better if extend to eg top 100?
Or will spreads etc eat the edge there, regardless of size

[Trading Bear @TradeWithABear]

You miss a critical point here - which to be fair is hard to answer without further statistical details.

But there is - percentage of time in the market, % of capital used, and not to mention the better risk adjusted returns - which in combination with other strategies could lead to a much higher return on a portfolio level

[Trading Bear @TradeWithABear]

Trump on Strait of Hormuz.

[Trading Bear @TradeWithABear]

@SystematicPeter Is the Portfolio with 33% allocation each or 100% depending on signals?

[Trading Bear @TradeWithABear]

@optionsly @quantian1 15 sharpe? Where? 😂

[Trading Bear @TradeWithABear]

@AtcoTrader @ConcretumR Wow! Then this really surprises me - as I would assume a lot of noise, but will test myself and check out the distribution

[Trading Bear @TradeWithABear]

@PKycek Thanks - I already got the book on my list.
I was just curious if you are still trading inside bar/pinbar setups though?

[Trading Bear @TradeWithABear]

@yuriymatso sooo you expect one last pump? haha

[Trading Bear @TradeWithABear]

@SystematicPeter So it‘s for quick „idea testing“?

[Trading Bear @TradeWithABear]

@macrocephalopod Well tbf, couple years back you could do this with Bitcoin…manually…crazy days

[Trading Bear @TradeWithABear]

@TraderOrion Are you using Tradingview Backtesting?
I‘m pretty sure that there is some sort of bias or error in this backtests

[Trading Bear @TradeWithABear]

@KobeissiLetter Stock is up 3% now.
If Bulls are lucky this ignites another leg up for the whole market.

[Trading Bear @TradeWithABear]

@ripster47 Let‘s just hope for a non-event

[Trading Bear @TradeWithABear]

What is extremely noticeable in the last couple years. Gap between Institutions and Retail got smaller.

And somehow retail traders are even at advantage.

While Instis have to deal with more and more regulatory overhead, the costs of implementing technology + data etc. got so small that almost everyone can run a decent setup at home.

It will not stop, just get different I guess.
Core principles will always work.

[Trading Bear @TradeWithABear]

@yuriymatso @SystematicPeter Trying to become the textbook example of selection bias?

I have another strategy you could backtest:
100% long Bitcoin in 2010 - hold until October 2025.

...what you should do:
Get Quality data.
Backtest it on HISTORICAL index constituents (eg. S&P500)

[Trading Bear @TradeWithABear]

I did some backtests on Crypto and from my experience with them the CME futures make trading them easier (at least for my backtests).
My explanation is that the 24/7 market creates a lot of time where there is just „noice“ so signals vanish and edge erases.
What is your thought on this?

[Trading Bear @TradeWithABear]

@Valckrie I use Codex via CLI and on a VPS via Openclaw every day.
Mainly for researching/backtesting systematic strategies.
And it improved my productivity/speed a lot