Title: Trading strategy using genetic algorithms
Post by: rhbot on July 17, 2017, 01:16:52 PM
We invented our own trading method using genetic algorithms for optimizations. We focused on Bitcoin and Ethereum because of high volatility and liquidity of a market. We are using our own market indicators which we are ran through GA (genetic algorithm). We found out it preforms better than other very popular indicators like RSI, MACD, DEMA... Our algorithm runs on any candlesticks sizes, the more data it has, the better it performs. It is not dependent on time. If you run MACD/RSI/DEMA on small candlesticks it performs very poorly. Here are the results (fee 0,25%, slippage 0,05): since this year's bull market http://imgur.com/TsP7jlcEntry at Exit at Exposure Entry balance Exit balance P&L Profit 2017-03-10 21:10 2017-03-18 05:29 7 days 1.014 2.309 1.295 127.775 2017-03-19 00:36 2017-03-20 02:39 a day 2.302 2.535 0.233 10.135 2017-03-20 14:06 2017-03-25 22:57 5 days 2.527 3.069 0.542 21.455 2017-03-28 06:14 2017-03-28 07:58 2 hours 3.060 2.959 -0.101 -3.304 2017-03-29 21:12 2017-03-30 00:17 3 hours 2.950 2.822 -0.128 -4.335 2017-03-30 13:44 2017-03-30 17:51 4 hours 2.814 2.723 -0.091 -3.233 2017-04-12 19:20 2017-04-17 06:05 4 days 2.715 3.022 0.307 11.326 2017-04-22 17:57 2017-05-01 21:03 9 days 3.013 3.970 0.957 31.763 2017-05-02 14:22 2017-05-03 01:36 11 hours 3.958 3.782 -0.176 -4.447 2017-05-03 06:18 2017-05-05 01:44 2 days 3.771 4.231 0.460 12.189 2017-05-06 15:57 2017-05-07 21:31 a day 4.218 4.206 -0.012 -0.274 2017-05-12 04:07 2017-05-15 21:54 4 days 4.194 4.389 0.195 4.653 2017-05-18 04:13 2017-05-22 02:56 4 days 4.376 6.219 1.843 42.130 2017-05-22 07:12 2017-05-22 09:46 3 hours 6.201 6.372 0.172 2.770 2017-05-23 04:38 2017-05-25 14:39 2 days 6.353 6.266 -0.087 -1.366 2017-05-27 11:48 2017-05-30 09:04 3 days 6.248 7.913 1.665 26.655 2017-05-30 19:24 2017-05-31 15:24 20 hours 7.889 8.389 0.500 6.335 2017-05-31 19:52 2017-06-01 01:49 6 hours 8.364 7.847 -0.517 -6.184 2017-06-01 03:00 2017-06-01 08:02 5 hours 7.823 7.555 -0.268 -3.422 2017-06-06 14:16 2017-06-08 18:14 2 days 7.533 7.559 0.026 0.351 2017-06-09 15:30 2017-06-11 08:48 2 days 7.536 8.827 1.290 17.120 2017-06-12 05:05 2017-06-14 01:44 2 days 8.800 10.387 1.586 18.028 2017-06-14 16:16 2017-06-15 00:18 8 hours 10.355 10.114 -0.241 -2.331 2017-06-15 07:35 2017-06-15 10:46 3 hours 10.084 9.622 -0.462 -4.582 2017-06-15 15:33 2017-06-18 18:44 3 days 9.593 9.959 0.366 3.814 2017-06-20 08:55 2017-06-20 13:34 5 hours 9.929 9.766 -0.163 -1.638 2017-06-20 21:35 2017-06-21 09:42 12 hours 9.737 9.461 -0.276 -2.835 2017-06-22 23:20 2017-06-23 02:22 3 hours 9.432 9.257 -0.175 -1.858 2017-06-26 21:00 2017-06-27 09:13 12 hours 9.229 9.179 -0.050 -0.544 2017-06-27 18:43 2017-06-30 19:47 3 days 9.152 10.452 1.300 14.209 2017-07-14 19:00 2017-07-15 19:28 a day 10.421 10.304 -0.116 -1.115 since latest downtrend market http://imgur.com/KKHk3Gc Entry at Exit at Exposure Entry balance Exit balance P&L Profit 2017-06-04 00:33 2017-06-04 23:11 a day 1.087 1.186 0.099 9.102 2017-06-06 14:16 2017-06-08 18:14 2 days 1.182 1.186 0.004 0.351 2017-06-09 15:30 2017-06-11 08:48 2 days 1.183 1.385 0.202 17.120 2017-06-12 05:05 2017-06-14 01:44 2 days 1.381 1.630 0.249 18.028 2017-06-14 16:16 2017-06-15 00:18 8 hours 1.625 1.587 -0.038 -2.331 2017-06-15 07:35 2017-06-15 10:46 3 hours 1.583 1.510 -0.073 -4.582 2017-06-15 15:33 2017-06-18 18:44 3 days 1.506 1.563 0.057 3.814 2017-06-20 08:55 2017-06-20 13:34 5 hours 1.558 1.533 -0.026 -1.638 2017-06-20 21:35 2017-06-21 09:42 12 hours 1.528 1.485 -0.043 -2.835 2017-06-22 23:20 2017-06-23 02:22 3 hours 1.480 1.453 -0.028 -1.858 2017-06-26 21:00 2017-06-27 09:13 12 hours 1.449 1.441 -0.008 -0.544 2017-06-27 18:43 2017-06-30 19:47 3 days 1.436 1.640 0.204 14.209 2017-07-14 19:00 2017-07-15 19:28 a day 1.635 1.617 -0.018 -1.115 since ETH lifetime http://imgur.com/RC1iTHR Entry at Exit at Exposure Entry balance Exit balance P&L Profit 2015-11-09 01:36 2015-12-03 00:46 24 days 0.999 0.736 -0.263 -26.302 2016-01-28 17:35 2016-02-16 09:58 19 days 0.734 1.330 0.596 81.245 2016-02-21 12:22 2016-03-03 15:25 11 days 1.326 2.755 1.429 107.737 2016-03-04 14:28 2016-03-07 08:48 3 days 2.746 3.038 0.292 10.617 2016-03-08 08:51 2016-03-14 21:59 7 days 3.029 4.022 0.993 32.798 2016-03-15 10:11 2016-03-16 17:39 a day 4.010 3.893 -0.117 -2.930 2016-03-19 08:23 2016-03-19 21:54 14 hours 3.881 3.671 -0.210 -5.409 2016-03-21 03:31 2016-03-24 01:52 3 days 3.660 3.989 0.328 8.972 2016-03-30 06:44 2016-04-07 16:18 8 days 3.977 3.233 -0.744 -18.710 2016-04-16 23:45 2016-04-25 01:47 8 days 3.223 2.820 -0.403 -12.514 2016-04-30 05:37 2016-05-04 20:40 5 days 2.811 3.472 0.660 23.496 2016-05-05 16:39 2016-05-06 11:16 19 hours 3.461 3.341 -0.120 -3.475 2016-05-08 15:34 2016-05-10 00:15 a day 3.331 3.273 -0.058 -1.732 2016-05-10 09:16 2016-05-19 14:41 9 days 3.263 4.840 1.577 48.312 2016-05-19 20:02 2016-05-23 13:32 4 days 4.825 4.716 -0.110 -2.273 2016-05-24 19:19 2016-05-25 14:12 19 hours 4.702 4.278 -0.424 -9.015 2016-05-26 17:59 2016-05-27 00:52 7 hours 4.265 4.108 -0.157 -3.682 2016-05-29 04:17 2016-05-29 18:39 14 hours 4.096 3.792 -0.304 -7.416 2016-05-29 21:33 2016-06-10 10:02 12 days 3.780 3.882 0.101 2.676 2016-06-12 17:39 2016-06-14 15:16 2 days 3.870 4.157 0.287 7.414 2016-06-17 04:09 2016-06-17 07:51 4 hours 4.144 3.850 -0.295 -7.115 2016-06-20 12:59 2016-06-20 13:34 35 minutes 3.838 3.647 -0.191 -4.982 2016-06-20 14:06 2016-06-21 17:15 a day 3.636 4.159 0.523 14.383 2016-06-21 23:47 2016-06-28 02:50 6 days 4.146 4.404 0.258 6.225 2016-06-29 15:24 2016-07-01 04:50 2 days 4.391 4.045 -0.346 -7.876 2016-07-14 02:41 2016-07-26 10:08 12 days 4.033 4.831 0.798 19.784 2016-07-26 15:15 2016-07-26 23:36 8 hours 4.817 4.467 -0.350 -7.268 2016-07-26 23:59 2016-07-28 05:31 a day 4.453 4.577 0.124 2.782 2016-08-02 22:52 2016-08-29 04:24 a month 4.563 5.435 0.872 19.100 2016-08-30 16:13 2016-09-24 10:51 25 days 5.419 5.922 0.503 9.288 2016-09-27 21:10 2016-10-05 21:06 8 days 5.904 5.765 -0.139 -2.359 2016-11-01 22:25 2016-11-09 03:41 7 days 5.748 5.302 -0.446 -7.752 2016-11-22 09:34 2016-11-24 15:39 2 days 5.286 4.706 -0.580 -10.974 2016-11-25 13:13 2016-11-27 20:51 2 days 4.692 4.307 -0.385 -8.214 2017-01-05 12:59 2017-03-18 05:29 2 months 4.294 15.988 11.695 272.372 2017-03-19 00:36 2017-03-20 02:39 a day 15.940 17.556 1.616 10.135 2017-03-20 14:06 2017-03-25 22:57 5 days 17.503 21.259 3.755 21.455 2017-03-28 06:14 2017-03-28 07:58 2 hours 21.195 20.494 -0.700 -3.304 2017-03-29 21:12 2017-03-30 00:17 3 hours 20.433 19.547 -0.886 -4.335 2017-03-30 13:44 2017-03-30 17:51 4 hours 19.489 18.859 -0.630 -3.233 2017-04-12 19:20 2017-04-17 06:05 4 days 18.802 20.932 2.130 11.326 2017-04-22 17:57 2017-05-01 21:03 9 days 20.869 27.497 6.629 31.763 2017-05-02 14:22 2017-05-03 01:36 11 hours 27.415 26.196 -1.219 -4.447 2017-05-03 06:18 2017-05-05 01:44 2 days 26.117 29.301 3.183 12.189 2017-05-06 15:57 2017-05-07 21:31 a day 29.213 29.133 -0.080 -0.274 2017-05-12 04:07 2017-05-15 21:54 4 days 29.045 30.397 1.352 4.653 2017-05-18 04:13 2017-05-22 02:56 4 days 30.306 43.073 12.768 42.130 2017-05-22 07:12 2017-05-22 09:46 3 hours 42.944 44.134 1.189 2.770 2017-05-23 04:38 2017-05-25 14:39 2 days 44.001 43.400 -0.601 -1.366 2017-05-27 11:48 2017-05-30 09:04 3 days 43.270 54.803 11.534 26.655 2017-05-30 19:24 2017-05-31 15:24 20 hours 54.639 58.100 3.461 6.335 2017-05-31 19:52 2017-06-01 01:49 6 hours 57.926 54.344 -3.582 -6.184 2017-06-01 03:00 2017-06-01 08:02 5 hours 54.181 52.327 -1.854 -3.422 2017-06-06 14:16 2017-06-08 18:14 2 days 52.170 52.353 0.183 0.351 2017-06-09 15:30 2017-06-11 08:48 2 days 52.196 61.132 8.936 17.120 2017-06-12 05:05 2017-06-14 01:44 2 days 60.949 71.936 10.988 18.028 2017-06-14 16:16 2017-06-15 00:18 8 hours 71.721 70.049 -1.672 -2.331 2017-06-15 07:35 2017-06-15 10:46 3 hours 69.839 66.639 -3.200 -4.582 2017-06-15 15:33 2017-06-18 18:44 3 days 66.439 68.973 2.534 3.814 2017-06-20 08:55 2017-06-20 13:34 5 hours 68.766 67.640 -1.127 -1.638 2017-06-20 21:35 2017-06-21 09:42 12 hours 67.437 65.525 -1.912 -2.835 2017-06-22 23:20 2017-06-23 02:22 3 hours 65.328 64.114 -1.214 -1.858 2017-06-26 21:00 2017-06-27 09:13 12 hours 63.922 63.574 -0.348 -0.544 2017-06-27 18:43 2017-06-30 19:47 3 days 63.383 72.389 9.006 14.209 2017-07-14 19:00 2017-07-15 19:28 a day 72.172 71.367 -0.805 -1.115 For comparison MACD http://imgur.com/XojKrDfDEMA http://imgur.com/Buf6jcBWe used Gekko trading bot for backtesting and Poloniex as the exchange. We have been running this strategy for quite a while but we wanted to see how it performs in bear market. It is easy to make money in bull market using almost any strategy but it is hard to make profit in downtrends. It is even harder to be profitable in bull and bear markets with the same strategy. Link to auction of this strategy: https://bitcointalk.org/index.php?topic=2028949
Title: Re: Trading strategy using genetic algorithms
Post by: HabBear on July 17, 2017, 04:28:31 PM
Ok, this is fantastic. Thanks for evolving how we track bitcoin prices and activity. I presume you're doing this to come up with more reliable predictive analytics so we can all determine which direct the future price and activity is heading?
A few questions:
(1) Have you test your information to prove that your genetic algorithm correctly predicts (relatively speaking of course) the future?
(2) What's your track record for getting it right?
(3) How do we us your predictive analytics to help our buying or selling behavior?
Maybe you're not to that point yet, maybe you're at the point of sharing the analysis. All of it's good, just excited to see where this takes us!
Title: Re: Trading strategy using genetic algorithms
Post by: aeternus on July 17, 2017, 11:10:27 PM
We invented our own trading method using genetic algorithms for optimizations. We focused on Bitcoin and Ethereum because of high volatility and liquidity of a market. We are using our own market indicators which we are ran through GA (genetic algorithm). We found out it preforms better than other very popular indicators like RSI, MACD, DEMA... Our algorithm runs on any candlesticks sizes, the more data it has, the better it performs. It is not dependent on time. If you run MACD/RSI/DEMA on small candlesticks it performs very poorly. Here are the results: since this year's bull market http://imgur.com/TsP7jlcEntry at Exit at Exposure Entry balance Exit balance P&L Profit 2017-03-10 21:10 2017-03-18 05:29 7 days 1.014 2.309 1.295 127.775 2017-03-19 00:36 2017-03-20 02:39 a day 2.302 2.535 0.233 10.135 2017-03-20 14:06 2017-03-25 22:57 5 days 2.527 3.069 0.542 21.455 2017-03-28 06:14 2017-03-28 07:58 2 hours 3.060 2.959 -0.101 -3.304 2017-03-29 21:12 2017-03-30 00:17 3 hours 2.950 2.822 -0.128 -4.335 2017-03-30 13:44 2017-03-30 17:51 4 hours 2.814 2.723 -0.091 -3.233 2017-04-12 19:20 2017-04-17 06:05 4 days 2.715 3.022 0.307 11.326 2017-04-22 17:57 2017-05-01 21:03 9 days 3.013 3.970 0.957 31.763 2017-05-02 14:22 2017-05-03 01:36 11 hours 3.958 3.782 -0.176 -4.447 2017-05-03 06:18 2017-05-05 01:44 2 days 3.771 4.231 0.460 12.189 2017-05-06 15:57 2017-05-07 21:31 a day 4.218 4.206 -0.012 -0.274 2017-05-12 04:07 2017-05-15 21:54 4 days 4.194 4.389 0.195 4.653 2017-05-18 04:13 2017-05-22 02:56 4 days 4.376 6.219 1.843 42.130 2017-05-22 07:12 2017-05-22 09:46 3 hours 6.201 6.372 0.172 2.770 2017-05-23 04:38 2017-05-25 14:39 2 days 6.353 6.266 -0.087 -1.366 2017-05-27 11:48 2017-05-30 09:04 3 days 6.248 7.913 1.665 26.655 2017-05-30 19:24 2017-05-31 15:24 20 hours 7.889 8.389 0.500 6.335 2017-05-31 19:52 2017-06-01 01:49 6 hours 8.364 7.847 -0.517 -6.184 2017-06-01 03:00 2017-06-01 08:02 5 hours 7.823 7.555 -0.268 -3.422 2017-06-06 14:16 2017-06-08 18:14 2 days 7.533 7.559 0.026 0.351 2017-06-09 15:30 2017-06-11 08:48 2 days 7.536 8.827 1.290 17.120 2017-06-12 05:05 2017-06-14 01:44 2 days 8.800 10.387 1.586 18.028 2017-06-14 16:16 2017-06-15 00:18 8 hours 10.355 10.114 -0.241 -2.331 2017-06-15 07:35 2017-06-15 10:46 3 hours 10.084 9.622 -0.462 -4.582 2017-06-15 15:33 2017-06-18 18:44 3 days 9.593 9.959 0.366 3.814 2017-06-20 08:55 2017-06-20 13:34 5 hours 9.929 9.766 -0.163 -1.638 2017-06-20 21:35 2017-06-21 09:42 12 hours 9.737 9.461 -0.276 -2.835 2017-06-22 23:20 2017-06-23 02:22 3 hours 9.432 9.257 -0.175 -1.858 2017-06-26 21:00 2017-06-27 09:13 12 hours 9.229 9.179 -0.050 -0.544 2017-06-27 18:43 2017-06-30 19:47 3 days 9.152 10.452 1.300 14.209 2017-07-14 19:00 2017-07-15 19:28 a day 10.421 10.304 -0.116 -1.115 since latest downtrend market http://imgur.com/KKHk3Gc Entry at Exit at Exposure Entry balance Exit balance P&L Profit 2017-06-04 00:33 2017-06-04 23:11 a day 1.087 1.186 0.099 9.102 2017-06-06 14:16 2017-06-08 18:14 2 days 1.182 1.186 0.004 0.351 2017-06-09 15:30 2017-06-11 08:48 2 days 1.183 1.385 0.202 17.120 2017-06-12 05:05 2017-06-14 01:44 2 days 1.381 1.630 0.249 18.028 2017-06-14 16:16 2017-06-15 00:18 8 hours 1.625 1.587 -0.038 -2.331 2017-06-15 07:35 2017-06-15 10:46 3 hours 1.583 1.510 -0.073 -4.582 2017-06-15 15:33 2017-06-18 18:44 3 days 1.506 1.563 0.057 3.814 2017-06-20 08:55 2017-06-20 13:34 5 hours 1.558 1.533 -0.026 -1.638 2017-06-20 21:35 2017-06-21 09:42 12 hours 1.528 1.485 -0.043 -2.835 2017-06-22 23:20 2017-06-23 02:22 3 hours 1.480 1.453 -0.028 -1.858 2017-06-26 21:00 2017-06-27 09:13 12 hours 1.449 1.441 -0.008 -0.544 2017-06-27 18:43 2017-06-30 19:47 3 days 1.436 1.640 0.204 14.209 2017-07-14 19:00 2017-07-15 19:28 a day 1.635 1.617 -0.018 -1.115 since ETH lifetime http://imgur.com/RC1iTHR Entry at Exit at Exposure Entry balance Exit balance P&L Profit 2015-11-09 01:36 2015-12-03 00:46 24 days 0.999 0.736 -0.263 -26.302 2016-01-28 17:35 2016-02-16 09:58 19 days 0.734 1.330 0.596 81.245 2016-02-21 12:22 2016-03-03 15:25 11 days 1.326 2.755 1.429 107.737 2016-03-04 14:28 2016-03-07 08:48 3 days 2.746 3.038 0.292 10.617 2016-03-08 08:51 2016-03-14 21:59 7 days 3.029 4.022 0.993 32.798 2016-03-15 10:11 2016-03-16 17:39 a day 4.010 3.893 -0.117 -2.930 2016-03-19 08:23 2016-03-19 21:54 14 hours 3.881 3.671 -0.210 -5.409 2016-03-21 03:31 2016-03-24 01:52 3 days 3.660 3.989 0.328 8.972 2016-03-30 06:44 2016-04-07 16:18 8 days 3.977 3.233 -0.744 -18.710 2016-04-16 23:45 2016-04-25 01:47 8 days 3.223 2.820 -0.403 -12.514 2016-04-30 05:37 2016-05-04 20:40 5 days 2.811 3.472 0.660 23.496 2016-05-05 16:39 2016-05-06 11:16 19 hours 3.461 3.341 -0.120 -3.475 2016-05-08 15:34 2016-05-10 00:15 a day 3.331 3.273 -0.058 -1.732 2016-05-10 09:16 2016-05-19 14:41 9 days 3.263 4.840 1.577 48.312 2016-05-19 20:02 2016-05-23 13:32 4 days 4.825 4.716 -0.110 -2.273 2016-05-24 19:19 2016-05-25 14:12 19 hours 4.702 4.278 -0.424 -9.015 2016-05-26 17:59 2016-05-27 00:52 7 hours 4.265 4.108 -0.157 -3.682 2016-05-29 04:17 2016-05-29 18:39 14 hours 4.096 3.792 -0.304 -7.416 2016-05-29 21:33 2016-06-10 10:02 12 days 3.780 3.882 0.101 2.676 2016-06-12 17:39 2016-06-14 15:16 2 days 3.870 4.157 0.287 7.414 2016-06-17 04:09 2016-06-17 07:51 4 hours 4.144 3.850 -0.295 -7.115 2016-06-20 12:59 2016-06-20 13:34 35 minutes 3.838 3.647 -0.191 -4.982 2016-06-20 14:06 2016-06-21 17:15 a day 3.636 4.159 0.523 14.383 2016-06-21 23:47 2016-06-28 02:50 6 days 4.146 4.404 0.258 6.225 2016-06-29 15:24 2016-07-01 04:50 2 days 4.391 4.045 -0.346 -7.876 2016-07-14 02:41 2016-07-26 10:08 12 days 4.033 4.831 0.798 19.784 2016-07-26 15:15 2016-07-26 23:36 8 hours 4.817 4.467 -0.350 -7.268 2016-07-26 23:59 2016-07-28 05:31 a day 4.453 4.577 0.124 2.782 2016-08-02 22:52 2016-08-29 04:24 a month 4.563 5.435 0.872 19.100 2016-08-30 16:13 2016-09-24 10:51 25 days 5.419 5.922 0.503 9.288 2016-09-27 21:10 2016-10-05 21:06 8 days 5.904 5.765 -0.139 -2.359 2016-11-01 22:25 2016-11-09 03:41 7 days 5.748 5.302 -0.446 -7.752 2016-11-22 09:34 2016-11-24 15:39 2 days 5.286 4.706 -0.580 -10.974 2016-11-25 13:13 2016-11-27 20:51 2 days 4.692 4.307 -0.385 -8.214 2017-01-05 12:59 2017-03-18 05:29 2 months 4.294 15.988 11.695 272.372 2017-03-19 00:36 2017-03-20 02:39 a day 15.940 17.556 1.616 10.135 2017-03-20 14:06 2017-03-25 22:57 5 days 17.503 21.259 3.755 21.455 2017-03-28 06:14 2017-03-28 07:58 2 hours 21.195 20.494 -0.700 -3.304 2017-03-29 21:12 2017-03-30 00:17 3 hours 20.433 19.547 -0.886 -4.335 2017-03-30 13:44 2017-03-30 17:51 4 hours 19.489 18.859 -0.630 -3.233 2017-04-12 19:20 2017-04-17 06:05 4 days 18.802 20.932 2.130 11.326 2017-04-22 17:57 2017-05-01 21:03 9 days 20.869 27.497 6.629 31.763 2017-05-02 14:22 2017-05-03 01:36 11 hours 27.415 26.196 -1.219 -4.447 2017-05-03 06:18 2017-05-05 01:44 2 days 26.117 29.301 3.183 12.189 2017-05-06 15:57 2017-05-07 21:31 a day 29.213 29.133 -0.080 -0.274 2017-05-12 04:07 2017-05-15 21:54 4 days 29.045 30.397 1.352 4.653 2017-05-18 04:13 2017-05-22 02:56 4 days 30.306 43.073 12.768 42.130 2017-05-22 07:12 2017-05-22 09:46 3 hours 42.944 44.134 1.189 2.770 2017-05-23 04:38 2017-05-25 14:39 2 days 44.001 43.400 -0.601 -1.366 2017-05-27 11:48 2017-05-30 09:04 3 days 43.270 54.803 11.534 26.655 2017-05-30 19:24 2017-05-31 15:24 20 hours 54.639 58.100 3.461 6.335 2017-05-31 19:52 2017-06-01 01:49 6 hours 57.926 54.344 -3.582 -6.184 2017-06-01 03:00 2017-06-01 08:02 5 hours 54.181 52.327 -1.854 -3.422 2017-06-06 14:16 2017-06-08 18:14 2 days 52.170 52.353 0.183 0.351 2017-06-09 15:30 2017-06-11 08:48 2 days 52.196 61.132 8.936 17.120 2017-06-12 05:05 2017-06-14 01:44 2 days 60.949 71.936 10.988 18.028 2017-06-14 16:16 2017-06-15 00:18 8 hours 71.721 70.049 -1.672 -2.331 2017-06-15 07:35 2017-06-15 10:46 3 hours 69.839 66.639 -3.200 -4.582 2017-06-15 15:33 2017-06-18 18:44 3 days 66.439 68.973 2.534 3.814 2017-06-20 08:55 2017-06-20 13:34 5 hours 68.766 67.640 -1.127 -1.638 2017-06-20 21:35 2017-06-21 09:42 12 hours 67.437 65.525 -1.912 -2.835 2017-06-22 23:20 2017-06-23 02:22 3 hours 65.328 64.114 -1.214 -1.858 2017-06-26 21:00 2017-06-27 09:13 12 hours 63.922 63.574 -0.348 -0.544 2017-06-27 18:43 2017-06-30 19:47 3 days 63.383 72.389 9.006 14.209 2017-07-14 19:00 2017-07-15 19:28 a day 72.172 71.367 -0.805 -1.115 For comparison MACD http://imgur.com/XojKrDfDEMA http://imgur.com/Buf6jcBWe used Gekko trading bot for backtesting and Poloniex as the exchange. We have been running this strategy for quite a while but we wanted to see how it performs in bear market. It is easy to make money in bull market using almost any strategy but it is hard to make profit in downtrends. It is even harder to be profitable in bull and bear markets with the same strategy. We decided to sell strategy only to the highest bidder, because if too many people used it, it would not be as profitable as it is. We are selling source code of the final strategy. We can also help you configure Gekko trading bot to run our strategy. Bid starting price is 299 ETH or BTC equivalent. You can bid via PM or post in this topic. Auction ends in 21 days. You talk about an auction but you posted this in the economics section instead of the sub forum of auctions in the market place, maybe you should create the auction there and close this thread or move this thread to that section.
Title: Re: Trading strategy using genetic algorithms
Post by: pitham1 on July 18, 2017, 12:13:32 AM
You are trying to use wrong avenues to try and sell your algorithm. 300 ETH = 60k USD. People over here try and sell digital accounts for a few cents. Even if your algorithm is actually worth it, it is way out of the league of users of this forum.
Title: Re: Trading strategy using genetic algorithms
Post by: rhbot on July 18, 2017, 10:30:23 AM
Ok, this is fantastic. Thanks for evolving how we track bitcoin prices and activity. I presume you're doing this to come up with more reliable predictive analytics so we can all determine which direct the future price and activity is heading?
A few questions:
(1) Have you test your information to prove that your genetic algorithm correctly predicts (relatively speaking of course) the future?
(2) What's your track record for getting it right?
(3) How do we us your predictive analytics to help our buying or selling behavior?
Maybe you're not to that point yet, maybe you're at the point of sharing the analysis. All of it's good, just excited to see where this takes us!
This strategy still uses tehnical analysis and its lagging indicators, so it can't predict the future. The algorithm is excelent at spotting patterns, better than we humans are. It can't predict black swan events, it can't predict mtgox event or coinbase going offline... well maybe that last one it can :) The point is, it spots events faster than we usually can, but it can't forsee them. At least not yet. We are developing a more general strategy that should work on any market and should adapt to any market conditions. We are also working on something that is not just using lagging indicators for its strategy, but it is still too early to say anything about it. You can see the track record from results, it spots uptrends really well and is usually very quick at correcting itself if it's wrong. It won't try to catch falling knives and it won't try to sell the top too often. The goal was to beat buy&hold strategy, which it did. It is not that hard to find the "correct" strategy in backtesting. The algorithm using GA will evolve some magic formula for the backtest dataset and craft the strategy for it. Here is one example - http://imgur.com/xnDBnia. The problem is, if you adjust a dataset just a bit, the strategy won't be necessary best anymore. If you shift the candlestick just for a few minutes, you can get very different results - http://imgur.com/nnE44CiIt was a real challenge to find a strategy that works on more general datasets. This is where GA helps the most.
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