It's a nice method, it actually menages to keep the huge advantages of trading but without the constant attention at the market required in trading.
It's a nice method in backtesting so far  There is one thing though that I don't get. You seem to be using a different strategy now in order to decide if it's time to buy or sell. Look at the picture below, it seems that currently saying that if we go in the $330-$340 the current USD position must be kept. But how's that, those targets would represent just a natural correction to the bounce after the last $275 flash crash... The same kinda scenario happened in April-May when we bounced off the $340 flash crash, it seems that the bounce corrented itself and you actually bought in the LazyWhale algo. It looks to me that you used the opposite strategy that you are using it now... http://i60.tinypic.com/2l9jn0w.pngI can see the confusion, but no, I (or rather, the algorithm) doesn't use a different strategy now than for the April/May signal. There's more than one variable at play in the signal, so, while the two situations look similar superficially perhaps, they are not identical for purposes of a signal. That said, as I said above, the method isn't static. For example, some parameters are updated as new historic data is available. However, it's a relatively minor difference, and not the reason for the difference you noted. Think of it as different context producing different output for the same input (EDIT: or, if you want to think of the context as input as well, simply a different input) |
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Man, since you posted this BTC has been as flat as I've ever seen it, well since the 16th anyway, with a slight trend downwards, does your algo predict a bottom at all, or does it just wait for the shift?  I think we all see the coming UP, just a question of when... The bottom has been called many times, have we already seen it? I think so but just my 0.02 bits... It's 90% momentum. It's about as unpredictive as it gets  (not completely true of couse, after all, even a momentum driven signal makes /some/ prediction. But it's not predictive in the sense that EW is, for example, saying that from observation 1, 2 together with rules A, B, we are likely to have seen the bottom or not) |
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Sorry, nothing going on yet. Still the same price regions I mentioned earlier: rise to ~400 will most likely trigger a BUY, a fall to ~340 (without finding support there) will push the next buy signal further into the future. As long as price doesn't move, nothing changes. And re: the buy/sell button... Only next to an equally big button saying "Method very much experimental still. Follow at your own risk." EDIT: Added a 'Signal Updates' section to the beginning of the first post |
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Can complex, sophisticated algorithms enable safe and reliably profitable trading over reasonably long time periods? Sure, sufficient evidence for that is available. But these are in a completely different league than arbitrarily chosen lines drawn by humans with bullish/bearish glasses on or absurdly simplistic indicators that provide hardly any more information than a good look at the bare chart itself.
Now you are moving goalposts. If you admit that some TA is useful then it is a fallacy to only give stock to "complex, sophisticated algorithms". Indeed, simpler algorithms tend to be more useful because they often have a better noise/signal ratio and you end up making fewer trades. This is clearly not the message of your OP, which opens with the tone of your run-of-the-mill "TA is astrology!! and tea-leaves!! and snake-oil!!" thread. These are actually quite common on this board and you are simply adding to the noise, yourself. While I do understand your concern for the sheep who follow the amateurs' not-so-knowing direction on forums like /r/bitcoinmarkets, we can take some consolation in that the issue is somewhat self-regulating. It is always heart-breaking to see dangerously uninformed people lose their life savings playing with bitcoin. But whether they are trading on bad advice or just trusting their funds with shady third-parties as part of a HYIP, there is literally nothing that can stop a fool and their money from parting. tl;dr The problem is ignorance, all around, not bad science. It is the environment in which it thrives. Spot on (and pretty concise as well). I've tagged you as a poster with one of the highest no. of quality posts out of total no. of posts ratio, imo... not sure if that means I should ask you to post more often or not |
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So in your view, this:  is not a likely continuation, in a similar way to how May played out:  |
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@lucif
I can certainly see another (minor) breakdown in the coming weeks, but I'm wondering why you said earlier that you think hitting 360s would make it a bad picture for the bulls?
To me it looks like we could go all the way to ~340 for a re-test, and it would look a lot like April 16 to May 19 earlier this year. (Of course it would only be similar if there is good support at that level)
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But I did notice a bit of a red flag going through this thread: something about a version number, as if you are going to sell this program of yours. Surely You're Joking, Mr. Feynman?
Version numbers are standard practice even for personal coding projects simply because version control is important when adding to or debugging existing code. Your projections are odd and unwarranted. We'll let the author comment? If he says he intends to sell this program, will you eat crow publicly? For someone who seems to be program himself (you do, I guess?) you sure a paranoid about my version numbers. Parts of this algo are 'fixed', some parts are readjusted over time without my doing, and then there are some manual adjustments (like the conditional stops I put in in the last version) that require keeping track of those changes. That's why version numbers. And no, this isn't a "pay for signals" deal, even though there's nothing wrong with that either (I've subscribed to more than one TA newsletter in the past, and gladly paid for the service.) If it turns out I really have something useful on my hands (and I am absolutely not sure about that myself yet), I will just stop posting the signals if I note they fuck up my own trading. Right now, that's not a danger (no tradeable signals yet), so why not make it public and talk about it? Guess you're not an academic, otherwise you'd get that there can be "selfish" motivation besides financial means |
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I would say this is simple EMA10/21 crossover strategy on 3d graph. Can't be wrong if you do that way. Too bad I realised it too late...
Nah, not really, take a look at the actual targets. Pretty far off. 3d EMA21/10 ACO would have sold right into the post-consolidation breakdown, while my signal came during the late consolidation itself (example: EMA ACO sell in February 2014 at <700, my signal January 2014 ~800) Actually, guy in here who said earlier the signals look a lot like 1d Ichimoku cloud was closer, but that's still not how it works under the hood. I've said all I'm willing to say right now about the mechanics: a) it's momentum based (so in that sense, it does resemble your EMA ACO method), b) there's some notion of "trend confluence" captured, I believe. Now, I'm curious myself to find out how it performs on new data. |
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There are people (on the Internet, writing about it, in fact) claiming to do physics and having invented perpetuum mobile devices.
An actual physicist pointing out that's just bunk science, and that their claims can safely be ignored is also just committing a 'No True Scotsman Fallacy', by your interpretation.
The low signal/noise ratio on a forum like this, and the large number of thoughtless practitioners of the more cargo cult-ian aspects of TA in here, are not sufficient reason to conclude that TA in principle doesn't work.
You know, I'd just like to actually see one of those guys who safely made billions with TA. Otherwise I will simply dismiss them into the same category as perpetuum mobiles (that's actually a nice comparison you came up with there, oda ). But I guess they are probably all too busy living the elusive, seclusive rich people life after they safely conjured up all those billions. Don't think anyone made a billion in this market yet. Not enough liquidity, no sufficiently established exchange yet. A million or two on the other hand... I'm pretty sure some managed to do that by trading. How would you want them to prove it was due to a strategy though? Just posting a list of trades, even if profitable, could be still just a result of chance. |
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...
To me this reads like a variation of the No True Scotsman Fallacy:
"Scotsman Indicators give you false trade signals? Well, then of course he's not a TRUE Scotsman you must be using it wrong!"
There are people (on the Internet, writing about it, in fact) claiming to do physics and having invented perpetuum mobile devices. An actual physicist pointing out that's just bunk science, and that their claims can safely be ignored is also just committing a 'No True Scotsman Fallacy', by your interpretation. The low signal/noise ratio on a forum like this, and the large number of thoughtless practitioners of the more cargo cult-ian aspects of TA in here, are not sufficient reason to conclude that TA in principle doesn't work. |
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backtesting is good and all.... but I'm not sure that this is applicable. The time frame too extreme, in bitcoins case. We're never going back to the days of 2011, early adopters got theirs already, no use creating a model that assumes you can start from the beginning.
If you condense the timescale to this year alone, how would you have held up?
Not sure if I agree with you on this (that 2011 should be ignored)... I believe the market data from back then can still inform future trades, even if the prices from back then never come back. Also, I've said it more than once, everything so far are hypothetical profits. The real test will be seeing if the parameters / constraints I found will hold up in the future. Re: this year's profit only. Assuming a starting position of 1 BTC as of 2014-01-01, a 1:1 strategy based on this method's output (and assuming no trading costs) has a current account of 1154 USD (~2.95 BTC at current price), based on 3 trades. (yes, I know. very little data points.) |
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Even if you guys are not whales (let's call you dolphins  ), or even for people with even less - don't banks get suspicious when you receive/send a couple thousand back and forth? If your bank is not openly hostile to Bitcoin (few in Europe actually are, it seems. Take a look at this thread maybe: https://bitcointalk.org/index.php?topic=264679.0), and you plan to pay taxes on your capital gains, that shouldn't be a problem. |
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Interesting paper, didn't know it before. Thanks. You know... the cool thing about the EMH (weak or strong, doesn't matter) is how easy it is to empirically falsify it. Just one factor, in one market that yields a result above the significance cutoff (maybe even adjusted for unpublished results ) is enough to at least declare the EMH for that market dead. So, if you don't mind, I'll add a link to your paper to my canned response in the future: To see how the new t-ratio benchmarks better differentiate the statistical significance of factors, in Figure 3 we mark the t-ratios of a few prominent factors. Among these factors, HML, MOM, DCG, SRV and MRT are significant across all types of t-ratio adjustments, EP, LIQ and CVOL are sometimes significant and the rest are never significant. So you just make it up as you go along, or did you run the factors through a stats filter? Re EMH, your empirical falsification would be Warren Buffet of course... Good luck and let us know when it is open season to insult you... I'll be watching this thread. ;-)That's all I'm asking for. (also, sorry for the earlier ad hominems) Thou shalt insulteth me for my incompetence to put together a proper indicator (which is very much a possibility), but not attacketh with the blunt sword that is the ETH. EMH (don't know why I had to pull Zurich into this) I "make it up as I go along", to use your words (I assume you mean if I can say if my results would pass a significance filter). But I think I said more than once that I'm aware that there's no guarantee of continued profits in the historic range. Hence, the "public experiment", as I called it from day 1. I'll note this however: one of the most robust factors (across markets, if I understood them correctly - I skimmed the article) Harvey et al mentions is, non-surprisingly, momentum. Which is .. ta daa .... what my indicator is built up on as well. I hereby claim statistical significance by vague similarity (that should be a thing, I think) |
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Your canned response always includes an insult too? How thoughtful (Not).
True. The insult is added on the spot to fit the particular instance of stupidity on display. (bad temper sometimes. sorry.) Interesting paper, didn't know it before. Thanks. You know... the cool thing about the EMH (weak or strong, doesn't matter) is how easy it is to empirically falsify it. Just one factor, in one market that yields a result above the significance cutoff (maybe even adjusted for unpublished results :D) is enough to at least declare the EMH for that market dead. So, if you don't mind, I'll add a link to your paper to my canned response in the future: To see how the new t-ratio benchmarks better differentiate the statistical significance of factors, in Figure 3 we mark the t-ratios of a few prominent factors. Among these factors, HML, MOM, DCG, SRV and MRT are significant across all types of t-ratio adjustments, EP, LIQ and CVOL are sometimes significant and the rest are never significant. |
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[incoherent rambling about EMH and markets]
Here, have my canned response for cases like this: |
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"Analysis never ends" - Is this only for EW? If so please accept our apologies for the inappropriateness.
Have to agree with lebing, more or less. I posted some charts and lines in here as well, but usually as a question to lucif. In general, it's better to keep this thread uncluttered as quite a few people like to know what OP thinks. Also, terminology suggestion: "hourly 200day Bollinger" sounds weird... You are tracking a 200h SMA/BB, I would say |
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This is a truly great thread, it really seems that your lazy whale method works Oda!
I think I might try following it from now on, which will be a first for me in midterm trading.
So as a rookie I really have ro ask:how do you whales do it when your position is usd? Do you just keep the fiat in the exchanges? After MtGox I feel uneasy leaving even my smal amounts hanging around...
Thanks :) Please keep in mind that the real test of the method will be the future signals. Backtesting results look promising, but as pointed out by others in here and me as well, it's not possible to rule out entirely that they're mostly the result of curve fitting. Re: 'where to keep your USD'. I'm not a whale myself, but I'll answer anyway :) I do feel reasonably secure keeping a non-trivial USD position on Bitstamp for an extended time. They strike me as slightly "bland" exchange perhaps (no margin trading, not ideal for bot traders, intrusive KYC/AML procedure), but as a consequence of that, they seem comparably secure as well to me. Also, never had any trouble or delays with withdrawals (USD or BTC), so I'm willing to take that risk for now and keep my USD on their account. That said, I only trade with a /portion/ of my BTC position - so, if things go terribly wrong on the exchange side, I won't be down entirely. |
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New version (V3.2). Updated to include (rather "lax") stop loss triggers. I backtested a range of stop percentages to make sure they don't interfere with the signals (and corresponding trades) in the past. The point was not to optimize historical profit further (which would be cheating imo), but adding a level of safety to the output of the method. Exact percentage values at which stops are set changes, but roughly, around 10%, 15%. Suggested position still USD. Here's an updated view, with the approximate area in which either a buy signal is triggered (green), or a change to a buy signal becomes unlikely in the short to mid term (red).  |
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... a "built in" ... stop loss
+= |
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Any chance we're seeing a regular flat correction playing out since 417?
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