A pity I discovered this thread so late. Thanks a lot for the courage of sharing your ideas publicly.
It is not that easy task to create your own working strategy, first of all because you think of plethora of different signals that can be used and that you want to be used, secondly because the signals you have chosen may very well fit the historical data, with no guarantee that they will work in future - bringing you back to the point one, I believe, with the need to add some more signals and making the whole idea overly complex. That is where you are now, I believe.
Now, if I may suggest something is to check, if signal #1 has the long enough observation window? That is whether the medium term signal is enough to filter our major trend change and thus adjust the asymmetry of signal #3 accordingly.
Thanks  Not sure I understand your question correctly. Probably better to go through it based on the pseudocode I posted: average-fast = f(x)
average-fast-sig = f'(x)
average-mid = g(x)
average-mid-sig = g'(x)
average-slow = h(x)
average-slow-sig = h'(x)
sig-1 := if average-mid > average-mid-sig, buy. if average-mid < average-mid-sig, sell.
sig-2 := if average-fast > average-fast-sig, buy. if average-fast < average-fast-sig, sell.
sig-3 := if average-slow < average-slow-sig, sell.
trade-signal := if sig-1 == sig-2 == sig-3 == sell, sell. if sig-1 == sig-2 == buy, buy. o/w, do nothing.
You're asking me if I could leave out sig-3 and get the same results? No, of course not. Otherwise, I would have never introduced that asymmetry  Without sig-3 (slow), sig-1 alone (medium) is still quite profitable. Just that it is a lot more profitable together with the "bubble filter". |
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I find tls are the way to go they are the earliest indicator.. best risk reward.. others either repaint or they get you in late.. you always have to have an exit or stoploss with any entry and its hard to with moving averged which are already late
True, but: how do you backtest a discretionary strategy (based on trendline estimations, among others)? There's no way around the following dilemma: Using the full range of human intuition, pattern recognition and, well, intelligence, yields "discretionary trading". Quite possible the most profitable way to trade, but also the hardest one to estimate, quantitatively, if and how profitable it is. Algorithmic trading is a reduction of the above in terms of available algorithms (not everything a human can do can be implemented as a TM), it gives some additional capacity however (crunching big data), and it comes with a boon: running the algorithm on historical data to estimate performance. I'm dismissing neither. Both are valuable tools. I just reject any easy answer that says "only algo trading works", or "only discretionary trading gives good results". Both answers would be missing the trade-off involved in this decision, imo. |
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What is it about mathematicians that, towards the end of their productive period, they venture into the "softer" fields, and, well, generally flame out there?
Indeed. Newton and Pascal come to mind. But there are exceptions - Euler and Gauss, for example, if I am not mistaken. Well, what would you do after your productive period is over?  Obvious, isn't it? Look at your URL bar   |
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Of course by then, most Brazillians will be living in mud huts, reverting to cannibalism and pimping out their daughters for for cans of spam after eating all the University Professors.
Harsh. He might not be exactly a preeminent economist, but I heard some of his 1980s contributions to computational geometry are not exactly irrelevant. What is it about mathematicians that, towards the end of their productive period, they venture into the "softer" fields, and, well, generally flame out there? Hubris, probably. Something our little crypto crowd knows a thing or two about ^_^ |
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^ Agreed. But in my opinion, "someone" is a group, and they're not guided by some coordinated goal to move the market in this or that direction. What we see is more likely an emergent phenomenon, arising from the combination of a (pretty understandable, currently) desire of profit taking at the obvious resistances (target based trading), followed by panicky momentum to the downside (emotional traders and investors "losing hope"), followed by some real buying pressure at "low prices" (i.e. new money getting in) plus the initial traders covering their shorts at the sign of a significant capitulation bottom.
It's what the 2011 capitulation *should* have looked like, imo. That weird almost uninterrupted fall from $32 to $2 was before a sufficiently large amount of capital was in the hands of traders that knew what they're doing (EDIT: also, before large scale margin trading was possible).
I don't see a strategy here, only cause and effect, plus emotion driven overshoot. But, yes, I admit: I can't prove my hypothesis either.
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Hey, why write something original when you can just quote yourself From the wall thread... Can we eventually let this "FPR" meme die gracefully?
Not saying it's a completely bad way to visualize the market forces, especially to drive home a certain point to the "permahodling" crowd, but a much more accurate way (imo) of saying what has been going on since around July/August is that we're in a traders' market, while previously, since about late 2012/early 2013, we've been in a market that favored holders.
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Last post for today Here we go again... Buy @236, Bitfinex Buy @237, Bitstamp (previous trade: Sell @311, Bitstamp) I'm sure most in here know that we're dangerously close to a zone of major resistance, in the form of the 2014 downwards trendline, currently at around 255-260 USD. The algorithm is mostly "dumb momentum" however, and doesn't take support/resistance trendlines into account though, so, as before: don't blindly follow this signal. |
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actually, full disclaimer: i do not trade using these signals. to date i've done a bit better than my lazywhale system, because im not as lazy. but i thought lets just see how it does. i'd imagine most lazy-whale systems wont do well during small trend flipping periods. best just not to trade maybe. im my case, the long timescale signal and can easily flip back and forth several times this week. often the signal will flip and its just a warning to be buying or selling over the following week. the lazyWhale will come in and be the floor/ceiling for the next little while, etc... its easy to see how a simple system would have crushed this exponentially growing market over the years. certainly doesn't mean it will continue. Goomba's 10/21 thread ( https://bitcointalk.org/index.php?topic=60501) is a great example of a solid lazy-whale system. Hm. Respectfully disagree Goomba's thread is what got me into algorithmic trading back in the day, but I never liked the ultra simple setup he used... I remember writing a long post about backtesting several versions of it, under more realistic assumptions (trading cost, and profit "stability" over time). In the end I had to conclude that a pure EMA strategy works, but one has to accept many many unprofitable trades in the process (which is okay if you only care about the total profit, but the goal of this signal is to minimize the occurrence of "unnecessary" trades) I'm still very surprised that your signal is based on a single pair of parameters. I think you posted about a backtest on Bitstamp data... did you ever test it on Gox data (mainly to see where it would have sold during the $32 bubble)? If I understand correctly what you're doing, and your smoothing is applied uniformly, you do get very similar results (i.e. not selling too early during the big "bubbles") despite only one parameter pair. Full disclaimer from my side: I never found a pair that can do that If the parameters are "wide" enough to no sell too early in a bubble, they fail to buy back early enough during a reversal. If they are "narrow" enough to buy back at a good spot, they also sell to often in a rally. |
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At least for now, it is *strongly* defined by traders removing speculative excess rather quickly (NB: I'm not complaining about that. That's what mature markets tend to do.).
I wish that was the case, but cannot help but think that when the speculative mania hits for real, the infrastructure is still not as reliable that people would be inclined to sell their bitcoins en masse to cap it. Regulations. Taxes. Scams. AML. KYC. Happens too quickly. Fear to lose out when price is +20% per day. I'd say the bubble is almost certain, but of course more muted than the previous one (which was more muted than the one before, and that more than the one before that in 2011). I'm not fixated on the idea that there won't be any "bubbles" anymore either. Just that I try to separate the notion "we're (mostly) going up from here" (which I consider at least a possibility) and "the market is ruled by traders" (which I consider a certainty, for now). During a real "bubble rally" (like early 2011 and early + late 2013), we went up *and* anyone brave enough to regularly attempt profit taking prematurely was most likely punished, i.e. had to rebuy a lot higher. Until, of course, the end of those bubbles... Then it paid off big time |
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Please post both your indicator changes on the forum.
Isn't that exactly what we've been doing? Bucktotal's signal flipped to 'buy' earlier today. My own signal still suggests the same position as before (USD), for now. |
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OP: I think what you wanted to do was a good idea (profiting as much as possible from bitcoin's price behaviour but integrating trading into the mix but with the least effort (aka fewer trades possible)), but the actual implementation might not be the best one. First of all it is based on assumptions that should not be taken for granted: "(1) Bitcoin can experience massive gains in very short time, so by default, your position should be long.
(2) However, if there is a very clear trend reversal to the downside, sell.
(3) If you sold too early (into a downtrend that didn't manifest), don't hesitate to buy back at a small loss if necessary, because: see (1) above."A trader should not be biased, for all he knows, bitcoin is a bubble that might continue to crash once it actually bursts. So the "favour a long position" strategy might work as long as bitcoin is in "pump mode", until it doesn't (the "dump mode"). A trader should only focus on the chart, it should tell him all he needs to know. I think you should just forget about algorithms and complicated indicators and just trade with very basic TA tools like triangles and trend lines (on high time frames only, considering you want to minimise effort as a trader) depending on how much effort you want to put in the "trading part" of the investment strategy (if you want to incorporate short selling or not, how many trades do you want do perform every a month/every few months, etc). Instead of "LazyWhale algorithm", it would just be the "LazyWhale strategy". An example using 2013-2014:  Most of these is what I actually did in my trading (while shorting on the downside instead of just holding USD) and posted them here (as others have, it's just to say that it's not just hindsight ), playing smaller waves too tho (it depends how "Lazy" you want your "LazyWhale" to be). If you use complicated indicators and such, your "buy signal" might be a mistake and you might buy at a top. You should instead use simple trade setups like "buy the wedge breakout/sell the wedge breakdown" because that way you know that when you execute your trade the price will move in your direction massively right away. You're able to time the market (and estimate the magnitude of a trade) and avoid getting chopped off by consolidations and noise that might mess with your indicators and algorithms. PS: you cannot really see the double top in that high time frame but on lower ones it is pretty flagrant. Nice trades, if you followed them all That said: this is supposed to be an exercise in algorithmic trading, i.e. I'm trying to define a completely automated signal and see how far I can get with it. Never said that's the only way of trading, or even that I am relying on it exclusively. About the other point, "traders shouldn't be biased" (to the upside, in this case)... I answered that as well in my OP I'd say It's actually the premise of this method that it has such a bias, i.e. it only makes sense to even consider using this signal under the assumption that you are an "investor" who believes in Bitcoin's long term potential, but you would also like to have some protection from the (often extreme) drawdown your position can suffer in this market. Short version: I claim the flaws of this method that you are mentioning aren't flaws under the basic assumptions of it. However, the objections raised before, that there are too few trades over the entire history to have any real certainty about the backtesting results, or that there was no clear separation between training and testing data, are absolutely valid. |
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If BTC is going to be a "success, sort of" and have the kind of growth that results in ~$2000 in 2020, do you also think that would mean another speculative bubble (or two?) along the way to that point?
Funny. Just started forming some thoughts about that yesterday... Short answer: no idea. Longer answer: I realized I should probably keep the following two events separate, conceptually: 1) price will rise above $1200, 2) there will be another "bubble rally". I'm still inclined to think 1) will take place (or at least, there's a good chance for it), but this is not necessarily only possible in the form of 2). The market has fundamentally changed, maybe. At least for now, it is *strongly* defined by traders removing speculative excess rather quickly (NB: I'm not complaining about that. That's what mature markets tend to do.). So I can see us rising to a new ATH, driven by actual demand, but "bubbles" like of Ye Olde Bitcoin History might be a thing of the past. Or at least, I'm trying to prepare myself for that possibility. |
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Are we considering at all the likely failure of fiat? With US debt being mathematically impossible to pay off and how interconnected the world economy is, it's just a matter of time. An alternative will be needed, and bitcoin is the most advanced form of money we have ever had. The panopticon portion of the western governments will like it too.
This is basically (6) "Bitcoin will be chosen from outside as an alternative to failing fiat currencies". It's close to (5) but the motivation behind is somehow different. Not something we (sort of bitcoin believers) are in charge of. Edit: It's highly unlikely, as I presume bitcoin will just be seen aa a perfect supplementary to the existing monetary infrastructure. I'd say, "fiat is a ponzi, and eventually will fall" is the motivation of those who believe in (4) or (5) distributions, depending on whether they think it'll crumble to dust during their lifetime or only afterwards, I guess For those among us who aren't exactly sold on that idea, (3) is about as good as it gets, but with plenty of variation still, depending on *how much* of a complement to national currencies crypto will turn out to be. |
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First, as a caveat: Careful with the resurgence of bull threads. Precious little evidence we're out of the bear market yet. Just saying. That said, I'm in favor of EV calculations like this one. Definitely a lot more motivated (in my opinion) than the extremely speculative pure price extrapolations from historic price data, that almost invariably arrive at stellar values, without evidence or reasons why price should continue to grow like this... So, here's my take on EV calculations: the individual probability distributions will vary greatly between whoever does calculations of this kind, but I believe, from a more abstract point of view, the following claims hold: Claim (A): Calculations of this kind, and the distributions over possible outcomes, broadly fall into 5 "classes", namely:(1) "Bitcoin fails. Completely." - mass centered around near-zero to single digit USD values per coin. (2) "Bitcoin will fail to gain any serious traction." - mass centered around values that will sound very low to current "bulls", i.e. single digits, at best double digit price, 5 years from now. (3) "Bitcoin will be a success. Sort of." - mass centered around prices higher than now, but not vastly higher. High triple digits, low quadruple digits. (4) "Bitcoin will either fail, or take over the world!" - mass centered around very high prices, high quadruple digits easily, but does assign some mass for "total failure" scenarios. (5) "Bitcoin will take over the world. Practically ensured." Self evident what that one looks like. Claim (B): A lot of Bitcoin supporters/investors/believers (lots of smart ones as well, Gavin said something to this effect as well, iirc) believe "Either Bitcoin will be worth *a lot*, or practically *nothing*!". In terms of my classification above, that would be distributions of type #4.Claim (C): This belief, i.e. "scenario #4", is overestimated/overrepresented among investors. In reality, by the "law of the success of the mediocre", something like scenario #3 is more likely, and should be more widely held as the basis of EV calculations. So much for the more abstract thoughts on this. Practically, like I said, I consider something like #3 to be the best approximation of what could happen in the future... Bitcoin will be a "qualified success". Maybe similar to Linux (occupying a niche for consumers, but also running the show behind the scenes, just not noticeable to most). Or maybe, it'll be more than a niche product, but mainly for functions that don't require extremely high total valuation of the network (i.e. used widely as "ledger", but not "store of value"). With those premises, I arrive at a value of around $2000 for a time period of ~5 years. Those estimates and how I arrive at them are way too vague to and uncertain to put my (or anyone else's) life savings into it, in my opinion, but over a 5 year horizon I can reasonably see a factor 10 increase of price compared to where we are now - so not a bad point to put some speculative capital into it. An increase like this would be not quite as drastic as the "Everyone who holds one single coin will be set for life!" meme, but still pretty remarkable if it would happen (and it would require a far from trivial average price increase of 50-60% per year for that 5 year period). But essentially, a calcuation like above is the basis for the "investment" portion of my Bitcoin stash. The "trading" portion doesn't need this motivation though |
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Right, I remember your post from last time now. Alright, so now I'm actually interested what's going on ... if you don't mind the question (and I sure can't complain if you do, after being pretty mum about my own algorithm initially as well ), are you using a similar logic like I do for my signal (as in: asymmetric sell condition to account for Bitcoin's "bubbles"), or something entirely different? |
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Sorry, missed that post it seems.
How about we do the work for you, and tell you the entry position?
Mine was $25! I promise! ^_^
LOL it's not that much of work. Most of us started at 100 USD. Just need to find the people who were added later on (all of them started below 100) it's just a boring job that is on my TODO list One suggestion, if I may? Maybe enter a field for that value now for new participants, so that at least the 'digging up old posts' task, whenever it happens, is capped to the current size |
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^ Remarkably similar then. Mine is getting close as well, but I decided not to post "predictions of signal changes" anymore... I'll update if and when it flips, that's prediction-y enough |
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Can we eventually let this "FPR" meme die gracefully?
Not saying it's a completely bad way to visualize the market forces, especially to drive home a certain point to the "permahodling" crowd, but a much more accurate way (imo) of saying what has been going on since around July/August is that we're in a traders' market, while previously, since about late 2012/early 2013, we've been in a market that favored holders.
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2) On btcwisdom, for Coinbase, it says 'volume disabled', but tradeblock.com/markets/base/xbt-usd/ seems to be able to get the volume data for Coinbase. Could you maybe take a look at it to see if you can get the same data? I think Coinbase will become pretty important among the USD exchanges over the coming months.
I believe it is still showing the old brokerage service, not the new exchange. That's plausible. Just noticed that Coinbase, the exchange, actually now makes their 24h volume public directly on site (i.e. without being logged in). Don't think they did this from day 1, but this probably means there is a volume feed of the exchange now. Would be great to have an updated 'coinbase' market on bitcoinwisdom |
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Sorry, missed that post it seems.
How about we do the work for you, and tell you the entry position?
Mine was $25! I promise! ^_^
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