goxtool bot: portfolio rebalancing

[fruitrunner]

Hello!

I need help!
Been trying to learn enough python to do my own strategy but right now I don't have time.
I'm planning to do a real simple strategy. Much simpler then the balancer.py...
If you are good with python it will probebly take less then an hour to make.

I will pay 0.1 BTC + TombRaider Steam code + far cry 3 blood dragon ubishop download

PM me

Thanks!!

[K1773R]

Hello!

I need help!
Been trying to learn enough python to do my own strategy but right now I don't have time.
I'm planning to do a real simple strategy. Much simpler then the balancer.py...
If you are good with python it will probebly take less then an hour to make.

I will pay 0.1 BTC + TombRaider Steam code + far cry 3 blood dragon ubishop download

PM me

Thanks!!

go back to the newb section! open your own thread if you really believe this is an offer and not an insult...

[fruitrunner]

OK, Name your price for less then 1 hour python coding!

[whizter]

I have pushed that change to the gist (please test it to make sure it still works, I had to clean up my code and remove some other experimantal stuff from my own version before committing)

there are now 2 new variables:

Code:

FIAT_COLD   = 0     # Amount of Fiat stored at home but included in calculations
COIN_COLD   = 0     # Amount of Coin stored at home but included in calculations

If all your money is at mtgox then these must be both 0. If you want to pretend you have more money than what is in the mtgox account then simply add non-zero positive numbers here.

Example: You own 42฿ and want to run the strategy with all of them but you only want to put 20฿ into MtGox and keep the other 22฿ at home. Then you just set COIN_COLD = 22 and the bot will include your cold coins in all calculations (which means the order sizes will be larger). You can do the same also with USD you don't want to store too many USD at the exchange all the time.

Note that when doing this it might easily run out of coins or USD if price moves too far in one direction. In this case you have to cancel all orders (press "c"), (also press "i" and write down the current imbalance for later comparison), stop the bot, then send enough of the cold funds to MtGox (and maybe also withdraw some from the other side if it has become too much), then adjust FIAT_COLD and COIN_COLD to reflect the new situation, wait for your funds to arrive in your account, start the bot again: First press "i" and compare the numbers to make sure the bot calculations are still correct (if not then try to figure out your mistake and fix it, if its as expected then restart the bot), if it is too far out of balance rebalance with "b", otherwise just start it again with "p".

Thanks, I'm testing this now.

[K1773R]

i just updated goxtool and the "bars" went ugly, is this on purpose?

[prof7bit]

i just updated goxtool and the "bars" went ugly, is this on purpose?

Yes and no ;-)

I changed it a while ago to use ACS_CKBOARD instead of an inverted space but did not notice the ugliness until I downgraded from Xubuntu 12.10 to 12.04 two days ago (there seem to be different fonts in Ubuntu 12.10 that make ACS_CKBOARD look much nicer).

I'm probably going to change it back again (or make it optional because some black&white terminals seem to have problems with inverted characters and inverted spaces can become invisible).

[K1773R]

i just updated goxtool and the "bars" went ugly, is this on purpose?

Yes and no ;-)

I changed it a while ago to use ACS_CKBOARD instead of an inverted space but did not notice the ugliness until I downgraded from Xubuntu 12.10 to 12.04 two days ago (there seem to be different fonts in Ubuntu 12.10 that make ACS_CKBOARD look much nicer).

I'm probably going to change it back again (or make it optional because some black&white terminals seem to have problems with inverted characters and inverted spaces can become invisible).

thanks for the update

[idler]

I have put about 1300 dollar to try this bot in the first of May, set the DISTANCT to 3%.

After have a trial of a month. I actually lost ~1 dollar USD (kept amount of btc equal to initial), of course after pay some fee to mtgox, so turn out no luck.

Then I've sightly modified to be adjustable ratio, I've set 80/20 btc/fiat and tested a week.
Still 1300 dollar, 3% distance and then have a better result, earned ~0.6 USD (again, kept amount of BTC equal to initial), annualized return would be 2.5%.

Earning is so little mainly because there are too few of pump and dump, but enhance the transaction volume are the key of success. I seldom check this post so I just know the cold wallet idea, I love it so much and will have a try with my 80/20.

Thanks for prof7bit again.

https://gist.github.com/idler921/5707557

[prof7bit]

i just updated goxtool and the "bars" went ugly, is this on purpose?

I've changed it back to inverted space on terminals that suppport A_REVERSE
I've also made a detection of color capabilities, so now it even works on vt100 and vt52

[prof7bit]

I have put about 1300 dollar to try this bot in the first of May, set the DISTANCT to 3%.

Last weeks have been very quiet, almost horizontal. I have now upped my own account to 10k$ on each side, I still have distance of 11% (I expect a wild roller coaster ride soon when this huge consolidation pattern comes to an end. I expect it to drop below $ 50 and then going up agan and a lot of trades to happen despite my large 11% distance.)

[Aido]

How difficult would it be to implement a 24 hour (or variable time frame) High and Low price in the top of the goxtool screen?

So far I've only played around with the strategy bot code and assume the above suggestion would involve tinkering with the core goxtool code.

[medji]

Looks very similar to this service
https://dnnbitcoin.aricie.com

Here's the strategy the bot uses
https://dnnbitcoin.aricie.com/Default.aspx?tabid=71

Edit: Ah, I think is dead, pity.

[nii236]

I have attempted by own implementation of the goxtool rebalancing bot located at the following link:

http://cryptotrader.org/backtests/CboFCRyQaLn2Zv76r

Be gentle, I'm not a programmer!

Anyway the results were not very promising, no matter how I tweaked the values, it seems that I will always lose roughly 20 percent of my initial. If I increase the range of the backtest to past the April bubble then the gains are a little more respectable, but something like the popular EMA crossover method would do better in all regards.

Unless there's something wrong with my script, which is very likely. Can someone more skilled at programming than myself look at the link and let me know if there's anything wrong with it? i printed out balances at every tick though and it seems to be doing the right thing.

[1Pakis]

In order to see results with this algorithm the starting price and finishing price must be roughly the same.

So try this one
http://cryptotrader.org/backtests/oKM2ucnwtoFJTpSWD

This is my code for the same interval
http://cryptotrader.org/backtests/ASTXJE9ZzhJZA2H5u
The code is clean and small. The variables names and some comments are from the original code.

Check also this one
http://cryptotrader.org/backtests/DzbqZuFqL7xuuijFY
This not ideal because starting price is 13.40 and finishing price is 88.79.
But the gains are 225% and you have more fiat than when you started and the same amount in BTC.

Also there is a basic difference
This backtest trades only when the candle closes.
The original algorithm places trades inside the candle and before the price is reached.
I don't know if this is good or bad.

Regards,

Pakis

[1Pakis]

http://cryptotrader.org/backtests/AQjCcwKuYdoXFK5TR
An other test that includes the all times high.
About 17% gains.

[nii236]

Thanks! Its a bit concerning that beginning and finishing prices need to be the same. They won't be in the real world. I would've expected the small profits that this bot provides would be valid for any price of BTC as it automatically rebalances?

If BTC goes down to 0 USD shouldn't the bot automatically keep buying BTC and keep my total balance the same?
If BTC goes up to 1 000 000 USD shouldn't the bot automatically keep selling BTC and keep my total balance the same?

If the above is true, why does my total balance drop by 20% just because the starting and ending prices of my simulation are different?

[prof7bit]

If BTC goes down to 0 USD shouldn't the bot automatically keep buying BTC and keep my total balance the same?
If BTC goes up to 1 000 000 USD shouldn't the bot automatically keep selling BTC and keep my total balance the same?

If the above is true, why does my total balance drop by 20% just because the starting and ending prices of my simulation are different?

You are still 50% exposed to BTC price, so if BTC goes down your total worth goes down as well, it just doesn't go down as much as if you were exposed 100%. If BTC price goes up your total worth will also go up (but also not as much as if you were 100% in BTC). All the bot can do is keep your exposure to the risky asset at 50% all the time.

Its important to understand that and not use this bot with wrong expectations! This is a concave strategy and as such it will underperform in strong trends but it will outperform in ranging markets, so I an use it until the next bubble begins (which will come I am 100% convinced).

Also when using it you are helping reduce volatility because you are providing a (small) resistance against every pump and dump that they have to overcome (and pay for) and so for every dollar or BTC that is allocated to such a balancing strategy it will become a little bit more expensive for the pumpers and dumpers to move the market because: (1) You are making it a little bit more expensive for them to initiate a huge move instead of helping them and (2) if it moves you are taking a little bit of their profits away (you are front-running them with your rebalancing orders), reducing their profits instead of losing money to them.

[nii236]

Thanks for the link. Does this mean you'll be switching to the opposite strategy once the next bubble starts? The CPPI that's discussed in that link? Buying more Bitcoin when it is clear that the market is going up and selling when it is going down.

Interest that two completely opposite trading strategies are perfectly valid, just depending on the current behaviour of the market!

[prof7bit]

Thanks for the link. Does this mean you'll be switching to the opposite strategy once the next bubble starts?

I'm not really sure yet how to do it exactly. If I really can convince myself that the post-bubble-bottom has been reached I will probably switch to something with much more BTC exposure (that decision will probably be a gamble but there is also a little gambler hidden inside me)

[pizzaman1337]

I like this idea - have you considered writing the tool for bitstamp's API too? Their percentage of total bitcoin trading volume has risen a fair amount recently.