Automated Trading Contest (Prize 0.5 BTC) / Best automated strategies

[pulsecat]

ATC - is a competition where trading algorithms compete against each other at some period of time. The algorithm that performs better than others during the contest trading period, will earn the prize.

Round #5 "Best automated strategy of 2013"
12/01 - 12/31
Prize: 0.5 BTC
-----------------------------
Rules
- Any Bitcointalk user with forum registration date on or before 11/30 is eligible for pariticipation
- In order to participate you need to submit a link to the algorithm created at CryptoTrader.org
- All code is backtested on historical MtGox data at the trading frequency of your choice (5m,10m,15m,etc).
- Each participant is allowed to submit one algorithm only
- Only algorithms created before 12/01 00:00 GMT are eligible for participation.
- Any Cryptotrader API functionality can be used. The documentation is available under the "Help" tab at the website.
- The code should not contain any references to specific date or price.
- An algorithm must be profitable at the period 2013/01/01 00:00 GMT - 2014/01/01 00:00 GMT.
- Until 12/01 00:00 GMT participants post links to their backtest results (link should look like: cryptotrader.org/backtests/<session-id>) to this thread so that the winner can be further determined. At 2014/01/01 all participating scripts will be re-run with initial cash deposit set to 5000 USD and fee 0.5%.  The author of the algorithm that performed best will be awarded with 0.5 BTC + donated coins if any.
- Any kind of cheating is against the rules.

Feel free to ask any questions here. If you want to report a problem, please don't forget to provide link to the backtest session you used.
Have fun!

Round #5 participant list
Grinny https://cryptotrader.org/backtests/AzhmEhWnxuPHSFadX
ZirconiumX https://cryptotrader.org/backtests/n8mxhhMcfviBjCLco
exuals https://cryptotrader.org/backtests/bQzucyJursAiv2cgF
medji https://cryptotrader.org/backtests/Wq8vb2a4LzGWeW79Q
Kiri11 https://cryptotrader.org/backtests/mkLghthyTHuTXt3Te
]sukiho https://cryptotrader.org/backtests/uKQgjtPd2XqXLjCEr
itod https://cryptotrader.org/backtests/69cLtTudmkebzFLG2
MeatPopsicle https://cryptotrader.org/backtests/Wuz7Tgstb3XNqezjq

[Diabolicus]

Count me in :-)
May we submit more than one algorithm?

[pulsecat]

Yes, this is allowed. Everything which is not forbidden is allowed :-)
Updated 08/12
Not alllowed for Round #3 and further rounds

[tabbek]

Yay!  time to 'hurry-up-n-wait' for 07/28 + a few hours so I dont derp and miss it again 

[1Pakis]

Rebalancing strategy.

https://cryptotrader.org/backtests/yGgRhPeD5jp9efrdC

I want to be tested in 5 min intervals.

[pulsecat]

Rebalancing strategy.

https://cryptotrader.org/backtests/yGgRhPeD5jp9efrdC

I want to be tested in 5 min intervals.

Such a high frequency strategy is something fresh. You are in!

[Diabolicus]

Everyone trying hard not to blink before 07/28 23:59 GMT, huh? 

Here's my first entry: https://cryptotrader.org/backtests/6hHNDRtRmy5j9mAnP

Basic 1hr EMA cross strategy, combined with a more or less elegant RSI implementation to filter out weak signals.
There's also a rudimentary stop loss and trailing stop loss which I find quite useful.
It took me a while to get the hang of this whole scripting thing (after all I'm an architect, not a programmer), so I left in a few comments and unused indicators that might be useful to others.
I left in my statistics summary, too. Maybe someone else can improve the code and pulsecat can add such a statistic as a default output? Feel free to canibalize!

Now let's see if MACD and MFI or CCI can be more efficient.

[pulsecat]

Everyone trying hard not to blink before 07/28 23:59 GMT, huh?  

Here's my first entry: https://cryptotrader.org/backtests/6hHNDRtRmy5j9mAnP

Basic 1hr EMA cross strategy, combined with a more or less elegant RSI implementation to filter out weak signals.
There's also a rudimentary stop loss and trailing stop loss which I find quite useful.
It took me a while to get the hang of this whole scripting thing (after all I'm an architect, not a programmer), so I left in a few comments and unused indicators that might be useful to others.
I left in my statistics summary, too. Maybe someone else can improve the code and pulsecat can add such a statistic as a default output? Feel free to canibalize!

Now let's see if MACD and MFI or CCI can be more efficient.

A good example of how various TA-Lib indicators can be used. And i agree that reporting needs to be improved. Thanks.

[cp1]

Do you have to sell at the end, or can your end balance be in BTC?

[medji]

Can you only access the price data within the testing time frame (7 days)?
It might not be enough data to bootstrap some indicators until they are reliable

[pulsecat]

Do you have to sell at the end, or can your end balance be in BTC?

You don't have to sell. Conveniently, the resulting amount of BTC will be displayed in USD.

Can you only access the price data within the testing time frame (7 days)?
It might not be enough data to bootstrap some indicators until they are reliable

At the start, each algorithm is pre-initialized with 100 bars of history trading data. This should be enough for most indicators. If not, please let us know.

[tabbek]

Ok, I'll throw mine in now.  Didnt have as much time as I thought to play with it   

Anyway, half arsed attempt at following a really short ema slope's rate of change, and direction change.
Thought process was the rate of increase / decrease would have to slow down before it switches direction.  Watch for the slow-down in the rise or fall and buy/sell when the direction change happens.

30 min window.

https://cryptotrader.org/backtests/dQy9CXc5CLiqadvsn

[cp1]

Here you go:
https://cryptotrader.org/backtests/6xpkEsEHk7vN8K7sD
10 minute is fine

Since we can enter multiples:
https://cryptotrader.org/backtests/u4PKmzQecZe8rbeBw
https://cryptotrader.org/backtests/JgzxKQ27ss46qRSZS

[medji]

Okay, here's an ema crossover:
http://cryptotrader.org/backtests/X9shJ93XhBWDGmQQB
And an ichimoku strategy:
https://cryptotrader.org/backtests/h8HooMkQiaFknSzT8

[pulsecat]

Thanks for all the entries. We still have about 7 hours before trading period starts today.


The following entries were submitted for this contest:


1Pakis
https://cryptotrader.org/backtests/yGgRhPeD5jp9efrdC


Diabolicus
https://cryptotrader.org/backtests/6hHNDRtRmy5j9mAnP


tabbek
https://cryptotrader.org/backtests/dQy9CXc5CLiqadvsn


cp1
https://cryptotrader.org/backtests/6xpkEsEHk7vN8K7sD
https://cryptotrader.org/backtests/u4PKmzQecZe8rbeBw
https://cryptotrader.org/backtests/JgzxKQ27ss46qRSZS

medji
http://cryptotrader.org/backtests/X9shJ93XhBWDGmQQB
https://cryptotrader.org/backtests/h8HooMkQiaFknSzT8

[tabbek]

lol not gonna lie one bit... I kinda feel a bit dense and ham-fisted comparing mine to the others submitted 

Some day I'll write decent code... some day

[cp1]

lol not gonna lie one bit... I kinda feel a bit dense and ham-fisted comparing mine to the others submitted  

Some day I'll write decent code... some day

If it works it works!

I meant to ask earlier -- are there switch/case statements in this language?

[pulsecat]

lol not gonna lie one bit... I kinda feel a bit dense and ham-fisted comparing mine to the others submitted  

Some day I'll write decent code... some day

If it works it works!

I meant to ask earlier -- are there switch/case statements in this language?

CoffeeScript provides all of JavaScript's functionality and it has great documentation http://coffeescript.org/#switch

[cp1]

Thanks for that link, figured out my problem.  But I found a stupid error in my code!  I'll just have to hope that BTC dips in the next few days.

[cp1]

Do any of the api functions calculate first and second derivative?  All the talibs that I looked at had weird names.