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Author Topic: Dynamic Trade Strategy Generation and Algorithmic Trading Bot  (Read 732 times)
CookieFactory
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July 17, 2016, 05:19:57 PM
Last edit: August 08, 2016, 11:07:59 PM by CookieFactory
 #1

I've been working on an application that, in a nutshell, tells me when to buy/sell. 

I've recently arrived at a minimum viable product. The "batch" analysis portion is fully functional. The real-time bot is able to monitor and perform paper trades against a given exchange, and send me email notifications of when I should buy or sell.

Based on the strategy generation and analysis portion, I've found strategies that produce some 200% returns (over buy and hold) when run over the given analysis time period. Eye-popping numbers for sure, and I'm excited to see if the real time paper trading holds up. Here is an example of the latest trade signals (all of which I've executed with real money):

Jul 16, 2016 at 4:49 PM BTC (Daily chart) BUY at 662.5121901 - currently open trade
Jul 15, 2016 at 12:38 AM ETH (4 Hour chart) SELL at 12.17
Jul 13, 2016 at 12:54 AM ETH (4 Hour chart) BUY at 10.46002995

I made a post on this in the Wall Observer BTC/USD thread a few days ago but it was deleted for being off-topic(?). Anyway, it's too early to tell but I'm cautiously optimistic about how viable this is.

Is there any one else doing anything similar? If so, please PM me and we can compare notes and perhaps collaborate. Some features I'm planning on adding are genetically producing new strategies and monte carlo simulation to predict future time series data.
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RyNinDaCleM
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July 17, 2016, 07:01:57 PM
 #2

I'd like to see more....
When you get a signal, and before a move (for or against it) happens, post it. That's what makes believers here. If you got it, flaunt it, and congrats if you can consistently beat B&H.

I'm not asking for details on how you arrived to your signal, just as a sort of proof of concept... For posterity

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August 08, 2016, 11:58:07 AM
 #3

Well, I'll invest some time and implement automated posting (not against TOS right?) but for now I'll update manually.

BTC Buy at [end time: 08/08/2016 00:00:00, close price: 597.310000]
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August 08, 2016, 09:50:39 PM
 #4

Just as some background info, I started "beta" testing on 6.23 buying 0.823 BTC at 595 USD for a total order value of 489.685 USD. 

Today the price of BTC is 597 so a buy and hold strategy would've yielded a gain of 0.3%. Right now I have 533.45 USD which is a gain of 8.9%.
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August 08, 2016, 10:38:00 PM
 #5

Just as some background info, I started "beta" testing on 6.23 buying 0.823 BTC at 595 USD for a total order value of 489.685 USD. 

Today the price of BTC is 597 so a buy and hold strategy would've yielded a gain of 0.3%. Right now I have 533.45 USD which is a gain of 8.9%.

How frequently do you get a signal?

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August 09, 2016, 02:09:21 PM
 #6

Just as some background info, I started "beta" testing on 6.23 buying 0.823 BTC at 595 USD for a total order value of 489.685 USD. 

Today the price of BTC is 597 so a buy and hold strategy would've yielded a gain of 0.3%. Right now I have 533.45 USD which is a gain of 8.9%.

How frequently do you get a signal?


It's highly dependent on market conditions and I monitor several different time periods but long story short, typically once every 2-3 days.
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August 10, 2016, 01:18:35 AM
 #7

BTC Sell [end time: 09/08/2016 20:00:00, close price: 602.626272]
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August 10, 2016, 02:12:47 AM
 #8

This is interesting. Is the bot profitable or do you think it can be profitable than a buy and hold type of trading strategy? Sometimes I think the more active a person is in trading the more chances of him losing his money. For a bot to do this I think those chances are magnified.

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RyNinDaCleM
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August 10, 2016, 02:24:11 AM
 #9

This is interesting. Is the bot profitable or do you think it can be profitable than a buy and hold type of trading strategy? Sometimes I think the more active a person is in trading the more chances of him losing his money. For a bot to do this I think those chances are magnified.

A bot 100% eliminates emotion from the equation (a huge source of bad trades). It also does exactly what you tell it to do, and only that. The biggest problem is, when you see a bot in action (and believe me, they leave traces of their presence) you can learn how the bot reacts to a situation and it becomes game-able and/or predictable. Nothing worse than a bot that can't win and due to predictability, loses money very fast.

CookieFactory
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August 10, 2016, 12:05:06 PM
Last edit: August 10, 2016, 12:19:31 PM by CookieFactory
 #10

A bit after the fact, but while I was sleeping a buy signal was generated:

BTC Buy at [end time: 10/08/2016 00:00:00, close price: 595.121000]


This is interesting. Is the bot profitable or do you think it can be profitable than a buy and hold type of trading strategy? Sometimes I think the more active a person is in trading the more chances of him losing his money. For a bot to do this I think those chances are magnified.

A bot 100% eliminates emotion from the equation (a huge source of bad trades). It also does exactly what you tell it to do, and only that. The biggest problem is, when you see a bot in action (and believe me, they leave traces of their presence) you can learn how the bot reacts to a situation and it becomes game-able and/or predictable. Nothing worse than a bot that can't win and due to predictability, loses money very fast.

At least according to the regression analysis portion, the top strategies theoretically produce some 200% returns over buy and hold (net fees).

Eliminating emotion was one of the big motivations for developing this. The predictability and "action signature" of a bot is also a good point and something I'll be mindful of as I continue to develop the real-time component. The strategies that have bubbled to the top are almost all pretty obscure (although you might be surprised at how profitable buying on Monday and selling on Wednesday has been for ETH!) and not easy for a human to intuit or track in working memory. That said, by leveraging visibility into the exchange order books (among other things) there are several techniques I can employ to obfuscate activity and "blend-in" so to speak.

The real-time portion of the application is the currently the least mature. I have a good amount of experience developing bots in other domains so I'm excited to see what I can do here.



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August 10, 2016, 04:18:47 PM
 #11

BTC sell on [end time: 10/08/2016 12:00:00, close price: 613.405980]
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August 10, 2016, 08:22:34 PM
 #12

BTC Buy on [end time: 10/08/2016 16:00:00, close price: 603.535995]

Signals coming in fast and furious of late. Hmmm...
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