Bitcoin Quant Modeling

[quantsig]

http://blogdotquantsigdotnet.files.wordpress.com/2013/04/picture-22.png

Howdy folks,

We're somewhat new here but have been lurking for a bit. I'd just like to put out a feeler to see if anyone is interested in utilizing BTC price models. Above is an example of one of our development models pricing today's action on the EUR cross.

We have some ideas for additional models and are keen to know if there is any demand. They are of course designed for trading, but also provide assistance in many other areas (risk/hedging/etc).

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[quantsig]

We continue our BTC modeling experiments, with somewhat surprising results. Shown below are two of the BTCEUR variants we are currently testing with.

http://blogdotquantsigdotnet.files.wordpress.com/2013/04/picture-4.png
This first (Intramarket) model sources input data solely from BTC markets, such as BTCUSD, BTCGBP, etc.

http://blogdotquantsigdotnet.files.wordpress.com/2013/04/picture-7.png
This second (Intermarket) model sources input data from BTC markets as well as traditional markets, such as FX, Debt, Equity, Commodities, etc.

Judging from the improved performance (lower dRMS) of the Intermarket models, it appears there is indeed a strong correlation between BTC markets and the traditional macro picture.

Full blog post can be found http://blog.quantsig.net/2013/04/05/btc-models/

[dustintrammell]

These charts look really cool and I think I see what's going on, but how would you use this for the scenarios you describe such as trading?

[quantsig]

These charts look really cool and I think I see what's going on, but how would you use this for the scenarios you describe such as trading?

Thank you for your kind words.

At the moment we're just experimenting with BTC of course, but the goal of our models is to price the target instrument better than the market. If we can price the instrument better than the market, particularly during volatile periods, we may then enter and exit our trades with far greater certainty in outcome.

http://blogdotquantsigdotnet.files.wordpress.com/2013/04/picture-161.png
The above BTCEUR (Intermarket) model demonstrates good qualities such as the actual instrument returning to output (09:00,12:00,14:00,18:00), a near-oscillation within diverg, with diverg leading forward momentum(08:00-10:00,12:00-14:40,15:00-18:00). In effect, the model identified exploitable overbought and oversold conditions multiple times during the observation period.

We have a guide available which lightly explains our platform, what the models are, their states, etc.
http://www.quantsig.net/guide.html (chrome/firefox/opera)

[TiagoTiago]

If you wanna show your model is good, post predictions before what is predicted happens.

[quantsig]

If you wanna show your model is good, post predictions before what is predicted happens.

Hello TiagoTiago,

These are merely development models, so we are just experimenting at the moment. We're not trying to prove our platform, as it is already well proven.

What we are doing here is attempting to gauge the demand for modeled solutions in the BTC space as well as the practicality of modeling BTC itself. If we find that the two meet somewhere that is profitable for our customers and ourselves, then we will go ahead with the project and begin publishing models.