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article originally from fmz.com https://blog.mathquant.com/2019/01/08/discovery-of-an-htf-trading.htmlHigh-frequency market maker strategyHigh liquidity and there is no commission fee or very low The principle of this strategy is extremely simple. It can be understood as a high-frequency market-making strategy. almost anyone could write it. Like all high frequency strategies, this strategy is based on orderbook. The following picture shows the order distribution of a typical bitcoin exchange. Buying list BuyingPrice SellingPrice Selling list  You can see the buying order list on the left, the number of pending orders for different prices, and the selling order list on the right. if a person wants to buy Bitcoin and does not want to wait for a pending orders, he can directly send the market price order. This kind of order will automatic inquiry the next price no matter the price gap between the buy and sell price. Image that he has send a large market order, which will impact the price, but the impact will not last forever, there are always people who want to do the opposite trading. Therefore, the price is most likely to recover to pervious price in a very short time. It is the same mechanism that someone who want sell their coins. Take the pending order in the picture above for example. If you want to buy 5 coins directly, the price will reach 10377. If someone wants to sell 5 coins directly, the price will reach 10348. This price gap is your profit margin. The strategy will send a buying order at a price slightly higher than 10,348, such as 10,348.01(0.01 higher than 10348 is for the safety and make sure the order can be executed). At the same time, it will send a selling order at 10376.99(0.01 lesser than 10377, same reason as above). If this situation happened, it will obviously earn the profit between this price gap. Although it will not perfectly happen every time, the probability of making profit is actually very high. Someone may ask, what if the price gap is very narrow? Especially in those low liquidity markets It also works, say if the price gap is less than 1.5, we can look the price gap opposite way, which doing it by add 10 at the selling price and minus 10 at the buying price, after we adding 10 to expand this small price gap, we get a new large price gap, then we keep the same trading method we discussed above, another round of price gap searching and trading. More explanation:What if I don't have enough money or coins?This kind of situation is very common in the small-scale funds. which is that the money only enough for sending buying or selling order, this is not a big problem. In fact, you can join the logical judgment strategy of the currency-coins balance. but in the process of balancing the currency-coins, you may loss the probability of making profit. After all, every trading in this strategy is a probabilistic chance. I prefer to keep waiting for the buying or selling action complete. Thus, this also means that wasting potential trading chance. How is the position managed?At the beginning, they all bought and sold at full positions. Later, with the profit you earned, they will be divided into different groups according to different parameters, and they would not be completely trading at one time. No stop loss?This strategy has a complete logic for buying and selling pending orders. I don't think there is a need for a stop loss (which can be discussed), you can image an account’s burst as a stop lost (which means that you can’t put too much money in at one time) How to adjust the strategy for making coins?The parameters are symmetrical so far, for example, the selling order list of 8 coins upwards, and the buying order list of 8 coins downwards, let’s make it slightly unbalanced, the upward change to the selling order list of 15 coins makes the coin-selling action harder to executed. Also, a greater chance to buy it back at a lower price. This will earn coins. The opposite way is earning money. In fact, the strategy is so effective, in the long run, both coins and money are increasing. How to deal with floating losses?A single transaction will have a loss for sure. Such as the price rises after the selling, the price of the coin falls after the buying. Such floating loss does not need to be dealt with, because this is a high frequency trading strategy that the order-sending is very frequent. it will have executed thousands of times every day. Floating losses are normal, as long as the probability of making profit is large. How to prevent the “black swan” situation?Cryptocurrency has a lot of black swan situation, sometimes the price will suddenly drop down, there is no chance of selling at all. This situation does not have to worry too much, because the “black swan” time often brings high volatility, and this strategy is specific designed to earn this part of profit, the loss can also be earned back very soon. Also note that this strategy is only related to the current depth of pending order list, does not care about historical market and its own historical transactions, this strategy does not have the concept of a single loss, in fact, a single winning rate is very high. Code explanation：var floatAmountBuy = 20; set the buying price’s lowest range to 20
var floatAmountSell = 20; set the selling price’s highest range to 20
var diffPrice = 3; set the minimum price gap to 3
var Interval = 3000; set the interval time to 3 seconds
This function is used to cancel any uncompleted order and any pending order in case of any other situation out of the strategy. Also, we used a for loop to check if current account has any order before the strategy starts. Here is an example of using our API function GetOrder, for more information, please see our API documents.
function CancelPendingOrders() {
var orders = _C(exchange.GetOrders);
for (var j = 0; j < orders.length; j++) {
exchange.CancelOrder(orders[j].Id, orders[j]);}
}
We use the bid price function GetPrice() for getting the order depth information, pay attention to the different order depth information lengths of different platforms, if you have traversed all the orders, there is still no information that you need (many 0.01 grid orders will be this case), then use GetPrice ('Buy') to get the buying price.
function GetPrice(Type, depth) {
var amountBids = 0; Declared variable
var amountAsks = 0;
Calculate the buying price and get the depth of the buying price list.
if(Type == "Buy"){ if loop to determine the buying price
for(var i=0;i<20;i++){ for loop to cycle the depth of the order list
amountBids += depth.Bids[i].Amount; self-adding to reach the 20 maximum border
if (amountBids > floatAmountBuy){ determine whether the cycle is gathering enough depth
return depth.Bids[i].Price + 0.01; return the price and also add 0.01
}
}
}
if(Type == "Sell"){ same as above
for(var j=0; j<20; j++){
amountAsks += depth.Asks[j].Amount;
if (amountAsks > floatAmountSell){
return depth.Asks[j].Price - 0.01; return the price and also minus 0.01
}
}
}
return depth.Asks[0].Price If you traverse the full depth and still do not meet the demand, you return a price to avoid program bugs.
}
The main function onTick() will checking the K-line frequently. The cycle time set here is 3 seconds
function onTick() {
var depth = _C(exchange.GetDepth);
var buyPrice = GetPrice("Buy", depth);
var sellPrice = GetPrice("Sell", depth);
Diffprice is the default price gap, if the current price gap is less or equal than the default price gap, it will start to look the price gap opposite way, which doing it by add 10 at the selling price and minus 10 at the buying price hang a relatively deeper price. Like we discussed above.
if ((sellPrice - buyPrice) <= diffPrice){
buyPrice -= 10;
sellPrice += 10;
}
CancelPendingOrders(); Revoke all original orders, this just a safety Measure. In fact, there are often cases where the new price is the same as the pending order price.
var account = _C(exchange.GetAccount); Get account information to determine how much money and how many coins are currently in the account
var amountBuy = _N((account.Balance / buyPrice-0.1), 2); The amount of bitcoin that can be bought, _N() is the precision function of the FMZ platform, which will keep only two digits after the decimal points.
var amountSell = _N((account.Stocks), 2); The amount of bitcoin that can be sold, noticed that there is no limit on the position, so, put a small Part of your fund in order to test it first.
if (amountSell > 0.02) { send the selling order. 0.02 means that some exchange house requires a minimum order amount. You need get this information from the exchange house.
exchange.Sell(sellPrice, amountSell);
}
if (amountBuy > 0.02) { send the buying order.
exchange.Buy(buyPrice, amountBuy);
}
}
function main() {
while (true) {
onTick();
Sleep(Interval); Sleep, go to the next cycle, sleep time was set to 3000 milliseconds(3 seconds)
}
}
The entire program is less more than 40 lines, it looks very simple and easy, as we mentioned at the beginning, this strategy is only can be used in those markets with high liquidity and low commission fee. Retail traders provide the space for this high frequency trading strategy. Nowadays, the situation is different, it’s very hard to find a zero-commission fess and high liquidity exchanges house. But there is still a lot of room for quantitative strategy without high frequency. article originally from fmz.com https://blog.mathquant.com/2019/01/08/discovery-of-an-htf-trading.html
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right now, the major issue of bitcoin i think is that very few people holding most part of the entire bitcoin.
Technically speaking，it is way far from “Effective market”，also why the price just move so fast,
only one day, when these major "big player" exiting the market and let small retail trader take over the their share, the value invertment will have a place in this market.
although, this day may never come. or most of us may not have that kind of life time to see it come.
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2. When to open a position
The action of opening a position comes from the generation of a trend breakthrough signal. If the current price breaks through the upper track, it will generate a buy position signal.
I tried using Donchian channel once, but it somehow gave a me lot of false signals so I gave up. I may revisit it in the future, as it showed some promise. It seemed to me that it could be especially good for trend following, which I think this system does very well. A question: How about waiting for 2 consecutive breaks through the upper track? Is such a signal more trustworthy than using just one break through the upper Donchian line? great advise, this strategy is just a framework, in real market enviroment, i think there are still lot of parameter need to be modify. |
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4. How to do dynamic stop loss
If the holding position is long positions and the price of the asset falls by 2N based on the last holding position (or adding position), then stop loss for all positions;
If the holding position is short position and the price of the asset has increased by 2N based on the last holding position (or adding position), then the entire position must be closed.
Of course, the user can customize the dynamic stop loss plan, such as a 0.5N drop to start partial closing position, instead of waiting for a 2N decline after a rush to close the position; after all, the impact cost is there.
if my crypto exchange does not have a stop loss function. What should I do then? almost most of them have the API interface, which means you can connect it through certain programming skills, check this website, fmz.com it all done the job for you , you just need some programming skills to code your trading ideas if you are interested. |
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article originally from fmz.com
Bitcoin for most people who are not familiar with, is still treated with misunderstandings and doubts.
A question for you:
If people who entered the field of bitcoin in the early stage had more than 100,000 bitcoins, they would have a lot of wealth and can buy goods and services. Isn't this loot?
Now, we will try to answer this question.
01. Price of Bitcoin
Putting aside the hype, in essence, the price of something rises, either the value of the thing is re-excavated, or the currency that measures the price is depreciating, or the two work together.
The essence of value is consensus, and the value of bitcoin lies in consensus. Those who influence the price of bitcoin are not those who are scornful, but those who have consensus.
In the past 10 years, bitcoin prices have gone from scratch, from 10,000 bitcoins for 2 pizzas to 1 bitcoin worth 26,000 yuan, except for some speculation factors, mainly for groups with consensus on Bitcoin are growing up.
The skyrocketing price of Bitcoin certainly makes some early-stage visitors happy, and many people envy and hate, but many people overlook one point: those who bought Bitcoin early, they took high risks. If Bitcoin fails, their investment will go directly to zero.
Those who entered the Bitcoin field early could also invest their money in stocks, bonds, real estate, etc., but they chose Bitcoin and took the corresponding risks.
Of course, even now, Bitcoin is still a social experiment, and no one can determine what will happen to Bitcoin in the future.
02. What is wealth looting?
"The looting of wealth" means that the value of the wealth is shrunk, and only for those who own the wealth, it has no effect on others.
For example, we all know that inflation in Venezuela is serious. Suppose Jimmy saved 10 million Bolivars (Venezuela currency units) in the bank at the beginning of the year. The 10 million Bolivars can buy a car; Dan is a poor man with no bank deposits. A year later, the currency depreciated by 50%, Jimmy's 10 million Bolivars can only buy "half-car", and wealth has shrunk by half. Dan had no deposits, and the currency depreciation did not affect his deposits because he did not have any deposits.
Bitcoin is similar. Bitcoin price fluctuations only affect Bitcoin holders and have no effect on ordinary people.
03. Bitcoin is owned by a minority of people
Since the price fluctuation of Bitcoin only affects those who hold Bitcoin, how many people hold Bitcoin?
At present, there are 22573341 (more than 2257,000) addresses with Bitcoins. Although it is difficult to accurately estimate the number of Bitcoin users, according to a number of media and institutional surveys, the number of Bitcoin users will not exceed 20 million. Bitcoin users account for only 0.286% of the total population, compared with more than 7 billion people worldwide.
So we can't say that Bitcoin is looting "most people" because there are too few people who own Bitcoin.
04. To sum up
In many countries, bitcoin is defined as a "goods." Buying and selling Bitcoin is voluntary. Whether the price rises and falls, whether it "loots wealth", will only affect people who own Bitcoin, and this group is currently less than 0.3% of the total population. .
For the majority of ordinary people, no matter how the future development of Bitcoin is, it will not affect them, how can we say that "bitcoin is looting the wealth of most people"?
article originally from fmz.com
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i do arbitrage trading across these mainstream exchanges, try it at fmz.com
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I just read this and to be sincere, this is the first time I’m seeing anything called Turtle Strategy. But I’m not really understanding this strategy so I’ will just bookmark this page and come back later to read it and see if I can understand how it works. Already have a strategy, if this seems better, might try it out later. Thanks for sharing.
no problem, glad you like it! |
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It's too complicated for me because I don't learn to trade too deep. So far, I only use a simple strategy which is buying low and sell high, and it's working for me. I will learn the other strategy, but I realize it will need more time to master and now, I don't have much time to learn many things, so I stick with my strategy. At least, that strategy can give me a profit, but I am sure that there are people who can learn more from that Turtle Trading Strategy.
good for you , any method, making profit is the only standard, only truth about trading. I will suggest you backing up this turtle trading strategy with a chart illustrations if possible this will enable newbie traders to fully grasp and understand the strategy better and encourage interested traders to demo trade and ascertain its workability and verify it here kudos to you for taking your time on this strategy. thanks a lot , will do that |
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It's too complicated for me because I don't learn to trade too deep. So far, I only use a simple strategy which is buying low and sell high, and it's working for me. I will learn the other strategy, but I realize it will need more time to master and now, I don't have much time to learn many things, so I stick with my strategy. At least, that strategy can give me a profit, but I am sure that there are people who can learn more from that Turtle Trading Strategy.
good for you , any method, making profit is the only standard, only truth about trading. |
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I used to hear this strategy when trading forex, the turtle strategy includes a well-known strategy in forex, but I never applied that strategy, can you include images so that I can easily understand it,
https://www.fmz.com/strategy/132298check here, more info you may interested. I visited the site, I once used an indicator like that, seems to have to combine it with other indicators, I think you will be stuck with a false signal if you only use that indicator..  it's a platform you write your own trading strategy by some easy programming languages, if that situation happened, it must bacause the programming writing part is bad. the main purpose of the platform is for traders to write their own trading bot, also some finished and tested trading bot for them to choose. |
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I used to hear this strategy when trading forex, the turtle strategy includes a well-known strategy in forex, but I never applied that strategy, can you include images so that I can easily understand it,
https://www.fmz.com/strategy/132298check here, more info you may interested. |
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In my experience, generally speaking, the simpler the system, the more robust it is. Beginning traders make the mistake of trying to develop a system that is rarely wrong. There is no Holy Grail of systems.
The Holy Grail of trading is inside of you, in terms of knowing yourself and your emotional weakness, and working to trade in a way to minimize harm from your weaknesses.
You can knock yourself out trying to create a system that is rarely wrong....you start with perhaps a pair of moving averages, then when it shows some promise but is wrong a few times in a row, you add some other indicator...then another and another. The result is, at best a system that has been "curve-fitted" to your test data and is not robust in real trading. The other effect is that your new super 5 layer indicator system
filters out too many trades.
Here's what I mean: Every trader using a mechanical system, which is what the "turtles" used, should know his/her system's "expectancy". If I have 100 trades, 60 of them profitable with an avg profit of
$20...and 40 losing trades with an average loss of $18, my expectancy is (.60 * 20) - (.40 * 18) = $4.80 / trade. The beginner mistake is to add layers of filters to the system to try to raise the expectancy
higher. In doing so, if they succeed it usually results in fewer trades, so even though each trade is more profitable than before the system was modified, they make less money because their new trade selection
parameters are stricter and gives fewer trades.
Example: I have system A detailed above: Expectancy of $4.80 / trade and with those selection parameters I get 100 trades/year....so I make $480
I then tweak system A and manage to raise its expectancy to $7.00 / trade. This new system (B) with stricter selection rules to filter out more losers only
generates 60 trades a year. Even though each trade makes more $, it only makes $420 in the same amount of time that system A made $480
Accept that losing is part of profitable trading. Casino's dont mind losing b/c they know that time is on their side. All they want is more chances to let their
statistical edge work for them and eventually/inevitably make them profitable.
As for what time frames to trade....day trade, swing trade, trend trade...that's where knowing yourself and your risk tolerance and ability to sit tight on a trade is critical. If you find a system that works on a daily chart using a 20 day indicator...but you know you are more risk averse and want a shorter horizon, test the system using the same number of chart bars(20 for the daily example that
I just mentioned) using 20 bars of an hourly/30 min/15 min/5 minute chart as a starting point for your testing.
great point! i totally agree! traders must have a plan, no matter what kind of trading method. take the risk you can bear, take the risk you can manage. everything else just let it happen. |
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article originally from fmz.com
There are many global digital currency exchanges, and the same currency in market is not always effective in pricing due to many factors affecting. The same pair has spread among two or more exchanges. As long as there is a spread, there is arbitrage. Arbitrage through spreads is basically risk free in the digital currency market.
Suppose the EOS/USDT pair: the price in Huobi is 11, the price in Binance is 10, and the EOS has spread of 1 USDT between the two exchanges. Suppose you hold 1 EOS in Huobi, following the principle of selling high and buying low, sell 1 EOS in Huobi to get 11 USDT, spend 10 USDT to buy 1 EOS in Binance, then you net earned 1 USDT, and the amount of EOS remains unchanged. Although there is such a spread, manual arbitrage often has many uncertainties due to the time-consuming, poor accuracy and price changes of manual operations. Through the quantitative model to capture arbitrage opportunities and develop arbitrage trading strategies, and programmatic algorithms automatically release trading orders to the exchange, quickly and accurately capture opportunities, and efficiently earn income, which is the charm of quantitative arbitrage.
1. Cross-market two-side hedging arbitrage
The two-side arbitrage is also called direct arbitrage and bilateral arbitrage. It is through the discovery that the same transaction pair (like: EOS/USDT) has a spread in two different exchanges, and the behavior of high-selling and low-buying to take the spread profit.
The amount of hedged profit and loss is equal, and the same base currency is bought and sold in both markets to ensure that quote currency is transferred.
Suppose the Huobi EOS/USDT price is 8, and the Okex EOS/USDT price is 10. Follow the principle of buying low & selling high. Suppose that there are 100 USDTs held in Huobi and 10 EOSs in Okex, the arbitrage process:
1) Use 80 USDT to buy 10 EOS in Huobi, and then there are 10 EOS and 20 USDT in Huobi account.
2) Sell 10 EOS in Okex to get 100USDT, then there are 0 EOS and 100 USDT in Okex account.
After 1 round (1, 2 can be simultaneously carried out) hedging transactions (10 EOS for the amount of hedging), the user still has 10 EOSs, and the number of USDT becomes 120, and the net profit is 20 USDT.
When the high-priced market holds base currency or the low-priced market holds quote currency or fiat, it can carry out two-way cyclic hedge arbitrage.
When there is no base currency in the high-priced market or no quote currency in the low-priced market, arbitrage needs to put fiat in the low-price market.
When the arbitrage gain is greater than the arbitrage cost, and it’s stored in fiat account, you can perform cyclic arbitrage. (Moving bricks needs to pay attention to time risk)
2. Cross-market triangle hedge arbitrage
Triangular arbitrage, also known as indirect arbitrage or multilateral arbitrage, is to use three or more currency exchange rate spreads for trading in three or more trading markets at the same time. Triangular arbitrage is the arbitrage of cross-exchange rate pricing errors. If EOS/USDT=10, EOS/ETH=0.01, ETH/USDT=500, the fair price of ETH/USDT formed as 1000 by EOS/USDT and EOS/ETH cross-price, and the current price of ETH/USDT is 500. There is spread for arbitrage.
If EOS/ETH=0.5, EOS/USDT=10, USDT/ETH=0.01, the fair price of EOS/ETH formed by EOS/USDT, USDT/ETH is 400, and the current price of ETH/USDT is 500. Poor, follow the principle of buying low & selling high, can carry out arbitrage. as the picture shows:
Suppose you initially have 2 EOS, and you sell to get 1 ETH, then sell 1 ETH to get 100 USDT, and then sell 100 USDTs to get 10 EOS. After the triangle round, the number of EOS is changed from the initial 2 to 10.
3. triangle loop arbitrage in same exchange
Based on the principle of triangular arbitrage, use the spread of three pairs on the same exchange to trade, and there is no need to remove your currency. Calculated by 10,000 yuan, even if the arbitrage gain is only 0.1%, if one thousand times of arbitrages is executed in one day, the one-day income will become 21,700 annualized income, and no need to remove currency in account, never.
article originally from fmz.com
I love arbitrage myself. But I have some remarks with what you posted in your topic. Crossmarket two-side arbitrage.You should take the trading fees into account. You will have to pay fees as well on the sell on the one exchange and the buy on the other exchange. So if you buy for 80$ EOS on the one exchange you will pay a fee of 0.075 to 0.25% depending on the exchange. If you sell your 10EOS on the other exchange you will pay the fee again. So in best case you only paid 0.15% and in worst case depending on the exchange you pay 0.5% fees in total. The example you used explains it clearly but I do not think price differences of 20% (8 on the one 10 on the other) doesn't occur that many times. So people must be well informed before they start arbitrage trading. Cross market triangle hedge arbitrageThe example in your post looks unrealistic. Turning 2 EOS in 10 EOS with a single cross market triangle arb trade is just not possible. As well in this example you forget to mention the fees. In this arb strategy you even have to pay fees 3 times to execute the arb trade. Something I should certainly mention to do so. Triangle loop arbitrage in same exchangeOne very large mistake you make. You do not take any fees into account. You are speaking about 1000 arbitrage trades in 1 day and are talking about if only the arb has a 0.1% gain. This sounds like everything is that easy. This strategy even if arbs are executed on the same exchange it takes 3 different trades to execute the arb. Let say for example if you trade on Binance and have BNB to decrease the fee than you still pay 0.225% fees to execute the entire arb trade. So 0.1% gain arbs are not profitable cause you pay way more fees than you make profits from the trade. And now I a talking about the cheapest fees in the industry. If for example you use bittrex you pay a flat fee of 0.25%. So in order to execute your arb you will pay 0.75% fees in total which means you will have to find arbitrage opportunities of at least 1% to make 0.25% profits. So to become profitable in some way you will have to search for arbitrage opportunities of 0.5% or higher before you can start talking about profits. This brings us at the 1000 trades daily. I wish you good luck to find 1000+ arbs on an exchange in 1 day that qualify to make you profit (taking fees into account. So my only advice is to add fees in any post that is posted related to arbitrage trading, cause a lot of people post arbitrage trading topics just like it is an easy way to make money, but a lot of these pèrsons forget to mention fees and do not add them into their calculations. And let the fees be one of the most crucial elements in arbitrage trading. If you do it in sport betting mostly there is no fee applied. But in crypto fees are a crucial element to take into account. you are right, this article is from way back, lots of things has changed , thanks a lot |
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What this article is missing is the volatility and quickness of changes in crypto markets.
Even tough it states as disclaimer at the beginning stating "uncertainties due to the time-consuming, poor accuracy and price changes of manual operations" it keeps on talking about how it could be profitable disregarding what it says.
Yes, there could be chances of doing this and making a profit but at this late stage of crypto trading almost all arbitrage chances are covered by auto bots and people with a lot of money.
Hence, for a person with not a big amount it would be hard to do arbitrage because of quick price changes, transaction fees and withdrawal fees associated with crypto trading. So, making it really difficult for low income people to test this method and make the entry barrier very high.
thanks a lot, this just a general idea how does this kind of trading works, you got a great point, so many details need to be considered. |
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normal retail trader like most of us, even with the most advanced computing equipment, you still need solve the algorithm level of software issues. therefore, financial engineering is a systemic work. but it really just for pros?
i don't think so, we can't deal with the sub-minutes level of ticker date. but above a higher level of time period, such as 4-hour daily weekly and so on. with some traditional technical analysis, you will have a bigger change to be profitable.
what i trying to say is that at this "kind of level" of quantitative trading. we don't expected to be a rocket scientist, but at least we can take advantage the disciplinary management of computer to executed a reasonable and profitable trading strategy, which brings the next advantage of automated trading, we can backtest it as long, multi-variety and cross-variety as we want. it's impossible to do it by manual trading. also, after some backtest to prove a profitable trading strategy, the capital management method become more realistic, otherwise you just guess the trading results link to your capital management.
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no one cares?  Of course someone has read your post and to be honest, I'm not aware of this kind of strategy. Everyone has already some trading strategy that works so they don't want to overly complicate things on their end. Personally though, I need to read more and understand how I can apply it, however, I'm not into trading right now because of the market conditions, but maybe I will give it a try. thanks a lot |
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1. To make money, you must rely on the normal value of the goods to appear discounts and pay attention to accident events.
2. Like other great investors, Soros is very concerned about “expected internal value.” The expected internal value is equivalent to the average weight value of the potential investment results. An investment philosophy that is different from most people is only sensible when the value is expected to be positive. On the one hand, Soros can make a bigger bet than other investors; on the other hand, there is no fundamental difference between Soros and other investors in the processing of the investment process.
3. Financial markets are often unpredictable, so an investor needs to have a variety of different scenarios. The market is “time” predictable, but this does not mean that the market is “always” unpredictable. If an investor is patient and can wait for a chance to successfully bet on pricing bias, then he can beat the market.
4. The hardest thing to judge is: what level of risk is safe. Risk is the possibility of your loss. There are three situations that must be faced: sometimes you know the natural characteristics and possibilities of a risk event (such as throwing a coin); sometimes you only know the nature of the event, but don’t know its possibilities (such as a specified stock price within 20 years); sometimes you may not even know the characteristics of the event that may harm you in the future (such as the vicious “black swan” event).
5. You have a lot of feedback loops, some of which are positive and some of which are negative. These feedbacks interact with each other to produce an unconventional price pattern that prevails for most of the time. But in a few cases, the development of some bubbles has released all of its potential, so as to mask the effects of other influencing factors.
6. The best way to be “safe” is to have a “safety margin.”
7. Your right or wrong is not the most important. The most important thing is how much you can make when you are right, and how much you will lose when you are wrong.
8. The most important thing for an investor is the “magnitude of correctness”, not how high the “correct frequency” is. If the odds of winning in a bet are large enough, then you make a big bet. When Soros felt that he was right, almost no investor was able to make a bigger bet than him.
9. I only go to work when there is a reason to go to work, and I am really doing things on the day I go to work. Keeping a busy trading state creates a lot of costs and errors. Sometimes not being so active is often the best thing an investor can do.
10. If the investment is a kind of entertainment, if you have fun, you may not have made any money. Really good investments are boring. If you are very excited about your investment, then you may be in the gambling, not the investment. The best way to stop yourself as a gambler and not to be a gambler is to bet only when the odds are good for you.
11. If the future price is to be reflected, the current market price is always wrong. The market can influence the events it expects. The market and people’s perception of the market are interactive. There is a two-way reflexive relationship between cognition and reality. This is a process that initially promotes self-reinforcement, but ultimately leads to self-destruction, or it can be said that this is a bubble. Each bubble is formed by a tendency to interact with a wrong concept in a reflexive way.
12. In real life, there is very little real equilibrium — market prices are always accustomed to volatility. Equilibrium is the basis for many macro economists to make assumptions, but Soros thinks that equilibrium is actually a fantasy. Equilibrium makes mathematical calculations perfect, but often does not match the facts. Soros once said: “Economic thinking needs to start thinking about real-world policy issues, rather than simply creating more mathematical equations.” The formation of Soros’s investment perspective is not based on reason, for example: “When long-term trends kinetic energy is lost, short-term volatility tends to rise. The reason is simple — the investors who follow the trend can’t find a direction at this time.” Soros also believes: “The process of prosperity — collapse is asymmetrical in form. After a long-term, gradual boom is often a short, short-lived collapse.”
13. Economic history is never ending a lie after a lie, never be the truth. Being able to explain what happened in the past in words does not mean that the explanation is correct or that the basis of a theory can be used to predict the future. Human beings have a shortcoming of “afterthought smart.”
14. I am rich just because I know when I am wrong. I basically ‘survived’ because I realized my mistakes. We should realize that human beings are like this: wrong, not shameful, shameful is that if you can’t correct your mistakes.
article originally from fmz.com
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article originally from fmz.com
There are many global digital currency exchanges, and the same currency in market is not always effective in pricing due to many factors affecting. The same pair has spread among two or more exchanges. As long as there is a spread, there is arbitrage. Arbitrage through spreads is basically risk free in the digital currency market.
Suppose the EOS/USDT pair: the price in Huobi is 11, the price in Binance is 10, and the EOS has spread of 1 USDT between the two exchanges. Suppose you hold 1 EOS in Huobi, following the principle of selling high and buying low, sell 1 EOS in Huobi to get 11 USDT, spend 10 USDT to buy 1 EOS in Binance, then you net earned 1 USDT, and the amount of EOS remains unchanged. Although there is such a spread, manual arbitrage often has many uncertainties due to the time-consuming, poor accuracy and price changes of manual operations. Through the quantitative model to capture arbitrage opportunities and develop arbitrage trading strategies, and programmatic algorithms automatically release trading orders to the exchange, quickly and accurately capture opportunities, and efficiently earn income, which is the charm of quantitative arbitrage.
1. Cross-market two-side hedging arbitrage
The two-side arbitrage is also called direct arbitrage and bilateral arbitrage. It is through the discovery that the same transaction pair (like: EOS/USDT) has a spread in two different exchanges, and the behavior of high-selling and low-buying to take the spread profit.
The amount of hedged profit and loss is equal, and the same base currency is bought and sold in both markets to ensure that quote currency is transferred.
Suppose the Huobi EOS/USDT price is 8, and the Okex EOS/USDT price is 10. Follow the principle of buying low & selling high. Suppose that there are 100 USDTs held in Huobi and 10 EOSs in Okex, the arbitrage process:
1) Use 80 USDT to buy 10 EOS in Huobi, and then there are 10 EOS and 20 USDT in Huobi account.
2) Sell 10 EOS in Okex to get 100USDT, then there are 0 EOS and 100 USDT in Okex account.
After 1 round (1, 2 can be simultaneously carried out) hedging transactions (10 EOS for the amount of hedging), the user still has 10 EOSs, and the number of USDT becomes 120, and the net profit is 20 USDT.
When the high-priced market holds base currency or the low-priced market holds quote currency or fiat, it can carry out two-way cyclic hedge arbitrage.
When there is no base currency in the high-priced market or no quote currency in the low-priced market, arbitrage needs to put fiat in the low-price market.
When the arbitrage gain is greater than the arbitrage cost, and it’s stored in fiat account, you can perform cyclic arbitrage. (Moving bricks needs to pay attention to time risk)
2. Cross-market triangle hedge arbitrage
Triangular arbitrage, also known as indirect arbitrage or multilateral arbitrage, is to use three or more currency exchange rate spreads for trading in three or more trading markets at the same time. Triangular arbitrage is the arbitrage of cross-exchange rate pricing errors. If EOS/USDT=10, EOS/ETH=0.01, ETH/USDT=500, the fair price of ETH/USDT formed as 1000 by EOS/USDT and EOS/ETH cross-price, and the current price of ETH/USDT is 500. There is spread for arbitrage.
If EOS/ETH=0.5, EOS/USDT=10, USDT/ETH=0.01, the fair price of EOS/ETH formed by EOS/USDT, USDT/ETH is 400, and the current price of ETH/USDT is 500. Poor, follow the principle of buying low & selling high, can carry out arbitrage. as the picture shows:
Suppose you initially have 2 EOS, and you sell to get 1 ETH, then sell 1 ETH to get 100 USDT, and then sell 100 USDTs to get 10 EOS. After the triangle round, the number of EOS is changed from the initial 2 to 10.
3. triangle loop arbitrage in same exchange
Based on the principle of triangular arbitrage, use the spread of three pairs on the same exchange to trade, and there is no need to remove your currency. Calculated by 10,000 yuan, even if the arbitrage gain is only 0.1%, if one thousand times of arbitrages is executed in one day, the one-day income will become 21,700 annualized income, and no need to remove currency in account, never.
article originally from fmz.com
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