crytocurrency data source:
https://www.kaggle.com/jessevent/all-crypto-currencies/data
http://www.cryptodatadownload.com
Tested strategies:
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Results/3D_Reversion
Data: Daily OHLC, volume and market cap data of about 1400 crypto currencies.
Universe: Select top 100 in market cap and daily trading volume above 1M USD.
Strategy: Rank 3-Day risk adjusted returns, long the bottom half and short the top half.
Transaction Cost: 10bps one-way.
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Results/BTCEUR_BTCUSD
Data: Minute OHLC of cyptocurrency pairs
Universe: BTC/EUR and BTC/USD
Strategy: Volatiltity in EUR/USD is neglegible compared to volatilities of BTC/EUR and BTC/USD, reversal strategy similar to bollinger band.
Transaction Cost: 5bps one-way.
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Results/BTC_LTC
Data: Minute OHLC of cyptocurrency pairs
Universe: BTC/USD, LTC/USD and BTC/LTC
Strategy: Reversal strategy about ratio = BTC/USD.div(LTC/USD).div(BTC/LTC)
Transaction Cost: 5bps one-way.