Goomboo's Journal

[oda.krell]

Oda.krell you might be wrong 5 times now - this is lets say 10% percentage of loss. But if you listen to Goomboo being wrong doesn't matter because you would earn 40% and another 10% in the meantime (real figures in july). So what is the point of being wrong? Read again previous Goomboo's post about fast loss cutting and long rally profiting.

Two things: (1) I missed the part where Goomboo switched from 1h to 1d. Big difference already Glad Goomboo cleared that up for me. (2) If you read my post, you will notice I wasn't strictly speaking about total profitability alone, but *total number of trades* and *share* of profitable trades. The latter two are important mainly for psychological reasons, for me. Thats the point I was trying to make.

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[kirkhilles]

The point of this thread isn't a specific combination and timeframe - the point is to learn the tools and techniques to be self-sufficient.

The point of this thread isn't to say that a specific combination of indicators is profitable - it's to teach you what needs to be done so that you can become profitable.  Please note the subtly of that previous sentence.  Successful trading isn't found in a particular method.  It's found in the consistency, confidence, and discipline to backtest and act on what you know to be true.

I'll use myself as an example - I knew that moving averages backtested profitably years before I actually started earning a profit in my account.  I became a successful trader when I learned how to persevere during periods of difficulty.  Over the past 3 months, I have only won 22% of all trades which I have attempted.  In fact, I am currently in the midst of an 11 trade losing streak - I have lost the last 11 trades I have attempted.  When I was a young trader, these difficult markets devastated me.  I was unable to continue executing the next trade because I couldn't take the pain of being wrong and losing money again and again and again.  However, through time I have learned to focus on acting out what I know to be true and letting the results take care of themselves. 

It is very important to note that since I have confidence in my method, I took two trades in the midst of a string of losses that I am still holding which are propelling my account towards new highs.  So at the end of this quarter, I'll probably have only won 20-30% of my trades but ended up profitable due to the determination to act out what I have tested extensively.  The secret?  I cut my losses and let my profits ride.  Each of my losers were cut within hours or minutes while my winners have been held for several weeks.  It really is just a numbers game, but you have to have discipline to play it well.

I understand and I'll back off - I hope I didn't ruffle any feathers, I just know how people think. They don't do their research: greed takes over and they act first and learn their lessons later. Just like in other parts of the Bitcoin world - it makes me sick seeing people lose tens of thousands of dollars from their Bitcoin Wallets because they didn't appreciate security sufficiently. In addition there are those people that buy FPGA and even Video Card based systems for big money on eBay without spending 15 minutes researching what type of returns they'll get and how long the payoff will be (or whether it actually make more compared with power costs).

I did what others would do which was to read the basics on the first page and go to the last page and see the charts, get excited and be ready to trade. I can guarantee you there are numerous people that are trading it right now without doing analysis and without REALLY understanding what they are trading and what the risks are. That's why I asked the questions - they are tough questions, but in reality, I believe they are THE questions everyone should be asking. They need to say "that's awesome, but look at how 80% of the profit is lost to commissions - what type of risk am I looking at?" and need to understand the disclaimers that you accurately show. They need to appreciate it all before allowing themselves to trade a single Bitcoin.

Look - I'm certainly no big time trader, but I AM experienced. In 2008, I programmed my own systems to store, analyze and trade the Forex market. I had some very creative and very impressive (if I say so myself) pieces of technology, but it didn't matter. I didn't appreciate what and how I was trading and my system backfired and I lost massive amounts of money. I was very fortunate as I was able to fully recover and it didn't cost me my house, my family nor my future - many others are NOT so lucky and lose everything. That may seem like an exaggeration, but greed is a powerful emotion and the idea of having 500% returns in a short period of time is tough to pass up.

As I said, I'll back off now. Please be careful, cautious and don't let greed take over!

[Goomboo]

They don't do their research: greed takes over and they act first and learn their lessons later. Just like in other parts of the Bitcoin world - it makes me sick seeing people lose tens of thousands of dollars from their Bitcoin Wallets because they didn't appreciate security sufficiently. In addition there are those people that buy FPGA and even Video Card based systems for big money on eBay without spending 15 minutes researching what type of returns they'll get and how long the payoff will be (or whether it actually make more compared with power costs).

I did what others would do which was to read the basics on the first page and go to the last page and see the charts, get excited and be ready to trade. I can guarantee you there are numerous people that are trading it right now without doing analysis and without REALLY understanding what they are trading and what the risks are. That's why I asked the questions - they are tough questions, but in reality, I believe they are THE questions everyone should be asking. They need to say "that's awesome, but look at how 80% of the profit is lost to commissions - what type of risk am I looking at?" and need to understand the disclaimers that you accurately show. They need to appreciate it all before allowing themselves to trade a single Bitcoin.

Look - I'm certainly no big time trader, but I AM experienced. In 2008, I programmed my own systems to store, analyze and trade the Forex market. I had some very creative and very impressive (if I say so myself) pieces of technology, but it didn't matter. I didn't appreciate what and how I was trading and my system backfired and I lost massive amounts of money. I was very fortunate as I was able to fully recover and it didn't cost me my house, my family nor my future - many others are NOT so lucky and lose everything. That may seem like an exaggeration, but greed is a powerful emotion and the idea of having 500% returns in a short period of time is tough to pass up.

I am very sorry to hear about your loss and I agree with you 100%.  The majority of people simply do not appreciate risk until they experience devastating losses.  It really is something that is only learned through experience.

Best of luck in your future trading

[Marcus Antonius]

Goomboo, thank you for taking the time to give us an education with this journal of yours. Thank you especially for insisting on the importance of backtesting. I now feel as if I have something solid on which I can base my trade decisions. Backtesting has become my new hobby!

A question for you: what do you think of the Ichimoku indicator? I've done lots of backtesting with various currency pairs and have gotten good results. Each pair has a different personality, of course, so you have to use Ichimoku in a different way with each pair. Unfortunately I know of no charts for Bitcoin which show Ichimoku.

Respectfully,
Marcus

[Diabolicus]

Unfortunately I know of no charts for Bitcoin which show Ichimoku.

https://www.tradingview.com/e/fWyEQutH/

(4h Ichimoku cloud in blue, 1d red and 2d orange)

[Marcus Antonius]

Beautiful charting site, thanks. But I can't figure out how to set the time frame, only the length of time showing on the screen.

[Marcus Antonius]

Spoke too soon, I've got it now. Thanks again. Very useful.

[ErebusBat]

So I wrote some script to use the Gekko Bot to do batch-range backtesting to generate charts similar to what Goomboo posted back in Feb 2012.

I ran multiple candles / timeframes / values.  Here is some candy (timeframe picked to be after the Apr crash):

mtgoxUSD-D1

Code:

start time:			 2013-04-27 18:00:00
end time:			 2013-08-05 18:00:00
timespan:			 100 days

mtgoxUSD-M5

Code:

start time:			 2013-04-17 18:50:00
end time:			 2013-08-06 08:30:00
timespan:			 110 days

The numbers you see is the expected PROFIT.  The simulation started with a modest 2.5 BTC.  Obviously <0 is not good (a loss).

Interestingly enough it looks like M5 candles are NOT a good choice right now.

[Marcus Antonius]

Looking at one of the most profitable combos, the 6/50, you only get one sell and one buy signal during that time frame. I think you need a longer test period to really validate.

[ErebusBat]

Looking at one of the most profitable combos, the 6/50, you only get one sell and one buy signal during that time frame. I think you need a longer test period to really validate.

I actually got 5:

Code:

2013-08-07 09:02:24 (INFO):	I'm gonna make you rich, Bud Fox.
2013-08-07 09:02:24 (INFO):	Let me show you some Exponential Moving Averages.


2013-08-07 09:02:24 (INFO):	Preparing backtester to test strategy against historical data.
2013-08-07 09:02:24 (INFO):	Profit reporter active on simulated balance
2013-08-07 09:02:24 (INFO):	Calculating EMA on historical data...
2013-08-07 09:02:24 (INFO):	calculated initial EMA, simulating remaining candles
2013-08-07 09:02:24 (INFO):	ADVICE is to SELL @ 144.000 (-14.790)	at 	2013-04-28 18:00:00
2013-08-07 09:02:24 (INFO):	ADVICE is to BUY @ 98.100 (0.643)	at 	2013-05-02 18:00:00
2013-08-07 09:02:24 (INFO):	ADVICE is to SELL @ 123.500 (-0.978)	at 	2013-05-16 18:00:00
2013-08-07 09:02:24 (INFO):	ADVICE is to BUY @ 111.000 (1.849)	at 	2013-06-06 18:00:00
2013-08-07 09:02:24 (INFO):	ADVICE is to SELL @ 107.960 (-2.621)	at 	2013-07-29 18:00:00


2013-08-07 09:02:24 (INFO):		WARNING: BACKTESTING FEATURE NEEDS PROPER TESTING
2013-08-07 09:02:24 (INFO):		WARNING: ACT ON THESE NUMBERS AT YOUR OWN RISK!


2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) start time:			 2013-04-27 18:00:00
2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) end time:			 2013-08-05 18:00:00
2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) timespan:			 100 days

2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) start price:			 93.07
2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) end price:			 106.76002
2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) Buy and Hold profit:		 14.709%

2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) amount of trades:		 5
2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) original simulated balance:	 2.500 undefined
2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) current simulated balance:	 4.006 undefined
2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) simulated profit:		 1.506 undefined (60.259%)
2013-08-07 09:02:24 (INFO):	(PROFIT REPORT) simulated yearly profit:	 5.363 undefined (214.524%)

But I agree about the time period.  The problem is that anything before ~Apr-18 and your results are skewed by the 'bubble'.  I am looking for more 'real world' results given that any of these signals would trip during a bubble like that anyway.

[Goomboo]

A question for you: what do you think of the Ichimoku indicator?

I personally don't like the indicator that much.  It's too much on one screen :p  I prefer to only have a few simple indicators on the screen at a time.

[Marcus Antonius]

On the Daily chart? Here's what I'm getting:
http://j.mp/1cKZso7
Am I missing something?

[ErebusBat]

On the Daily chart? Here's what I'm getting:
http://j.mp/1cKZso7
Am I missing something?

That is interesting.   I wonder if there is a bug in Gekko. 

I will look into this tomorrow.

[RyNinDaCleM]

A question for you: what do you think of the Ichimoku indicator?

I personally don't like the indicator that much.  It's too much on one screen :p  I prefer to only have a few simple indicators on the screen at a time.

I would normally agree with that (I hate a busy chart), but when color coded, it looks pretty clear.
It's meant to be "At a glance" and for that you need a few lines that indicate the trend and the state of that trend. Then it's only the relation between the green/red lines, the price to the green (conversion) line, and the price to the cloud.

[XZed]

So I wrote some script to use the Gekko Bot to do batch-range backtesting to generate charts similar to what Goomboo posted back in Feb 2012.

I ran multiple candles / timeframes / values.  Here is some candy (timeframe picked to be after the Apr crash):

The numbers you see is the expected PROFIT.  The simulation started with a modest 2.5 BTC.  Obviously <0 is not good (a loss).

Interestingly enough it looks like M5 candles are NOT a good choice right now.

Nobody reacts to such scaring low profits ?

[oda.krell]

So I wrote some script to use the Gekko Bot to do batch-range backtesting to generate charts similar to what Goomboo posted back in Feb 2012.

I ran multiple candles / timeframes / values.  Here is some candy (timeframe picked to be after the Apr crash):

mtgoxUSD-D1

Code:

start time:			 2013-04-27 18:00:00
end time:			 2013-08-05 18:00:00
timespan:			 100 days

mtgoxUSD-M5

Code:

start time:			 2013-04-17 18:50:00
end time:			 2013-08-06 08:30:00
timespan:			 110 days

The numbers you see is the expected PROFIT.  The simulation started with a modest 2.5 BTC.  Obviously <0 is not good (a loss).

Interestingly enough it looks like M5 candles are NOT a good choice right now.

Very nice. Thanks for sharing. It's pretty high on my own to-do list, write a similar program. Problem is, I've never worked with the mtgox? bitcoincharts? APIs before, so that'll need some time to get used to... funny enough, I'm trying to convince my gf who has a programming project due in a month to do this for me, for her to get credit, for me to earn sweet sweet bitcoin

Anyway, looks good to me, but two questions:

(1) why don't you backtest longer (say, 1 year back) but *exclude* the bubble data, that one could consider an outlier. Say, you perform the test on [August 1st 2012 to February 1st 2013] and [May 1st 2013 to now].
Not the perfect solution, but it's not entirely unheard of to declare some data points outliers and ignore them

(2) why the extreme gap in time intervals? 1d is pretty slow moving, probably *too* slow moving for this market. 5min is almost certainly way too fast. Conventional wisdom would dictate to try 1h, maybe 2h time intervals.

[marvinrouge]

So I wrote some script to use the Gekko Bot to do batch-range backtesting to generate charts similar to what Goomboo posted back in Feb 2012.

I ran multiple candles / timeframes / values.  Here is some candy (timeframe picked to be after the Apr crash):

The numbers you see is the expected PROFIT.  The simulation started with a modest 2.5 BTC.  Obviously <0 is not good (a loss).

Interestingly enough it looks like M5 candles are NOT a good choice right now.

Nobody reacts to such scaring low profits ?

- bad time frames :the time frames < hourly give bad results, so M5 isn't the best choice... and 100 days is a bit short for daily time frame

- the tested period is difficult : price goes from 140 to 105 without long rising trend...

-> Earning some profit in these conditions is good enough

[Marcus Antonius]

I personally don't like the indicator that much.  It's too much on one screen :p  I prefer to only have a few simple indicators on the screen at a time.

What I like most about Ichimoku is it identifies when you're entering and exiting a consolidation period, so you can avoid whipsaws. How do you avoid whipsaws with your indicators?

[sukiho]

The problem is that anything before ~Apr-18 and your results are skewed by the 'bubble'.  I am looking for more 'real world' results given that any of these signals would trip during a bubble like that anyway.

In my backtesting the bubble seems to make surprisingly little difference

[ErebusBat]

(2) why the extreme gap in time intervals? 1d is pretty slow moving, probably *too* slow moving for this market. 5min is almost certainly way too fast. Conventional wisdom would dictate to try 1h, maybe 2h time intervals.

I actually test on 7 different candles, these were just to two I posted.  Given what Marcus posted:

On the Daily chart? Here's what I'm getting:
http://j.mp/1cKZso7
Am I missing something?

I am not sure my charts are ready for prime time, but that is why I posted to see what I was missing.