Experimental indicator, anyone? I give you the... reversal index

[sgbett]

I reckon you won't get a signal, because I reckon any down move is not a reversal but just a little dip. fwiw.

so... SUCCESS!

[oda.krell]

I reckon you won't get a signal, because I reckon any down move is not a reversal but just a little dip. fwiw.

so... SUCCESS!

hehe, that's a nice thought, but not what I'm aiming for.

It's intended to be a trading signal for swing traders: if there's a price change of about 5 to 10%, I aim to pick it up, ideally before other indicators like MACD do.

If, on the other hand, we don't get to see a price drop into the $585 to $618 range, then: yes, I'd consider not giving a reversal signal intended behavior of the RI.

[sgbett]

I reckon you won't get a signal, because I reckon any down move is not a reversal but just a little dip. fwiw.

so... SUCCESS!

hehe, that's a nice thought, but not what I'm aiming for.

It's intended to be a trading signal for swing traders: if there's a price change of about 5 to 10%, I aim to pick it up, ideally before other indicators like MACD do.

If, on the other hand, we don't get to see a price drop into the $585 to $618 range, then: yes, I'd consider not giving a reversal signal intended behavior of the RI.

once again, pulling opinions out of my ass (but it keeps this thread near the top, hehe) id say there will be no concerted move into that range, if it does spike down, it will be short lived. No reversal, just a blip in a general uptrend.

[oda.krell]

I reckon you won't get a signal, because I reckon any down move is not a reversal but just a little dip. fwiw.

so... SUCCESS!

hehe, that's a nice thought, but not what I'm aiming for.

It's intended to be a trading signal for swing traders: if there's a price change of about 5 to 10%, I aim to pick it up, ideally before other indicators like MACD do.

If, on the other hand, we don't get to see a price drop into the $585 to $618 range, then: yes, I'd consider not giving a reversal signal intended behavior of the RI.

once again, pulling opinions out of my ass (but it keeps this thread near the top, hehe) id say there will be no concerted move into that range, if it does spike down, it will be short lived. No reversal, just a blip in a general uptrend.

I'm keeping track of the output so far in a chartable format, so once this swing (or non-swing) is over, I'll post the results charted against price and daily MACD (which is a reasonably close analogue to my RI, from what I can tell so far), and I shall do so with a bump :D

[let_me_backtest_that]

This is interesting.  Are you able to plot the indicator? It would be nice to see how it interacts with price visually.

[oda.krell]

This is interesting.  Are you able to plot the indicator? It would be nice to see how it interacts with price visually.

Yes, absolutely. will do that at the end of the current "swing".

[oda.krell]

As promised, the RI values during the last swing plotted against price (and daily MACD)





Observation #1: As mentioned a few posts above, values above or below 50 (i.e. when 50 is crossed), even when still near 50, should be considered a buy/sell signal. IOW, the output should be interpreted with high sensitivity, if it is to be useful at all.

Observation #2: daily MACD outperformed RI during this swing. MACD went negative on June 10, around $650, my own signal crossed the 50 line 2 days later, near $590. Still in time for the bigger drop to $530, but even more lagging than the MACD, so it has to be improved.

Conclusion: I'm changing some of the parameters to make my method more sensitive to an impending reversal. Will post the results, under the new rules, in a bit.

[oda.krell]

Next round...

2014-06-20

trend: down

intraday median daily price: $590
intraday daily MACD hist: -17.6

RI = 48

comment: Let's stipulate for now that 1d MACD signals reversal when the MACD histogram turns positive, and RI when it goes above 50 (and remains there). So neither MACD nor RI signal a reversal today from the downtrend starting from July June 5.

[oda.krell]

2014-06-21

trend: down

intraday median daily price: $587
intraday daily MACD hist: -16.8

RI = 41

[pirsquared]

I'm really enjoying reading this thread. It appears that you have a nice work in progress that may develop into a useful tool.

Back when I was still trading/speculating vs. hodling; I wrote a python script that was intended to do something similar - warn about reversals. Several variables were used and assigned a value of -1, 0, or +1 (like counting cards in blackjack). The scale was -7 through +7. It worked pretty well before I broke it. I'll be following this thread with some interest. Good work.

Even though I no longer speculate in the short term, I still enjoy reading this sub and marvel at the detailed analysis that many of you guys do. Quantifying and predicting new markets is valuable beyond the scope of just bitcoin. Tip: weight your variables, add assumptions (be willing to remove them if they prove wrong), and be very critical of your process. Thanks for posting.

[oda.krell]

I'm really enjoying reading this thread. It appears that you have a nice work in progress that may develop into a useful tool.

Back when I was still trading/speculating vs. hodling; I wrote a python script that was intended to do something similar - warn about reversals. Several variables were used and assigned a value of -1, 0, or +1 (like counting cards in blackjack). The scale was -7 through +7. It worked pretty well before I broke it. I'll be following this thread with some interest. Good work.

Even though I no longer speculate in the short term, I still enjoy reading this sub and marvel at the detailed analysis that many of you guys do. Quantifying and predicting new markets is valuable beyond the scope of just bitcoin. Tip: weight your variables, add assumptions (be willing to remove them if they prove wrong), and be very critical of your process. Thanks for posting.

Thanks :)

What do you mean though you "broke" the script? You changed the parameters, and didn't keep a backup of the ones that worked?

Anyway, I like the idea of combining very different types of analysis, some chart based, some maybe news/sentiment based, aggregating them into a single value (if I understood it right that this is what you did.) Could then even be an interesting optimization problem to find the best weights for the different types of input.

* * *

2014-06-22

trend: down

intraday median daily price: $596
intraday daily MACD hist: -14.5

RI = 50

comment: 50, means RI is getting nearer to indicate a reversal (upwards). MACD still far from it, which makes it all the more interesting.

[oda.krell]

2014-06-23

trend: down

intraday median daily price: $591
intraday daily MACD hist: -13.3

RI = 38

comment: last day of trading didn't exactly help the reversal case. RI further away from 50 again. MACD still pretty far from turning positive.

[oda.krell]

2014-06-24

trend: down

intraday median daily price: $585
intraday daily MACD hist: -12.7

RI = 31

comment: RI still falling. Keep in mind, a low RI doesn't entail that the main trend (down, currently) is growing stronger/picking up speed, just that there are few signs of a significant reversal trend.

[pirsquared]

I'm really enjoying reading this thread. It appears that you have a nice work in progress that may develop into a useful tool.

Back when I was still trading/speculating vs. hodling; I wrote a python script that was intended to do something similar - warn about reversals. Several variables were used and assigned a value of -1, 0, or +1 (like counting cards in blackjack). The scale was -7 through +7. It worked pretty well before I broke it. I'll be following this thread with some interest. Good work.

Even though I no longer speculate in the short term, I still enjoy reading this sub and marvel at the detailed analysis that many of you guys do. Quantifying and predicting new markets is valuable beyond the scope of just bitcoin. Tip: weight your variables, add assumptions (be willing to remove them if they prove wrong), and be very critical of your process. Thanks for posting.

Thanks

What do you mean though you "broke" the script? You changed the parameters, and didn't keep a backup of the ones that worked?

Anyway, I like the idea of combining very different types of analysis, some chart based, some maybe news/sentiment based, aggregating them into a single value (if I understood it right that this is what you did.) Could then even be an interesting optimization problem to find the best weights for the different types of input.

* * *

2014-06-22

trend: down

intraday median daily price: $596
intraday daily MACD hist: -14.5

RI = 50

comment: 50, means RI is getting nearer to indicate a reversal (upwards). MACD still far from it, which makes it all the more interesting.

This is exactly what I did - very crudely. I would be a happy to help you with weighting your inputs. Bitcoin is evolving. Last year if we had some of the news we have had this year, the swings would have been MASSIVE. Things have changed. Consolidation is happening. Smart money is giving way to smarter money. The mining landscape has changed. The "killer app" is being built. I'd be happy to take a look at your parameters, variables, and weighting strategy and offer some foggy insight. No guarantees though.

I'm not a coder. I took both MIT's and CalBerkley's freshman and sophmore free online courses in order to teach myself python. Codeacademy helped too. I am (was) a physician by trade. I am good at the maths, but it's all in my head (and chicken scratch notebooks). Python is good at making brain maths = screen maths without all the heavy lifting. I tried to make this script autotrade (something I obviously had no clue how to do) for me and created a bad loop. I did not back up my work. I was running the script and trading based on my number. Once I incorporated the trading API's from various markets, I couldn't go back. I lost $4400 equivalent in one day because I thought it worked.  I no longer actively trade. 

Specualtion and speculators are essential for any free market. I'd like it if the people retained control of the bitcoin market. It is important for regular folks to trade in novel markets in an internet "outcry" sort of format. Centralization of mining is not a crucial variable as many have speculated. Centralized speculation on the other hand, could be devastating for the common fellow.

Warren Bufett isn't exacty a bitcion enthusiast, but his words ring true: "It matters not when an event will occur so long as you know that it will occur." Abide.

[oda.krell]

2014-06-25

trend: down

intraday median daily price: $567
intraday daily MACD hist: -15.1

RI = 15

comment: Not trying to rub it in... just to keep the "public experiment" going. Sorry guys.

[lay785]

did the people on the titanic hodl or day trade?

[oda.krell]

did the people on the titanic hodl or day trade?

I dunno. Judging by the fact that 1st class tickets were pretty expensive, I'd guess most of them were traders.

[JustAnotherSheep]

did the people on the titanic hodl or day trade?

I dunno. Judging by the fact that 1st class tickets were pretty expensive, I'd guess most of them were traders.

From what I hear the traders all got on the lifeboats, while the hodlers played the strings.

[oda.krell]

2014-06-26

trend: down

intraday median daily price: $566
intraday daily MACD hist: -15.5

RI1 (formerly just RI) = 44

comment: woohoo! quite the jump up. okay, seriously though, probably doesn't mean anything... remember, I tuned the parameters to make it more sensitive, so after a day of some kind of upwards action, it gets a bit closer to 50, that's all.

EDIT: how about another version... RI2 should be about as sensitive as the re-tuned RI, but I believe it might give less false positives of a reversal. Still based on similar principles as the original, just slight variations of how I calculate the value exactly and how I partition the price data. Brace yourself, by the way, I already have an idea for another one,  RI3. that one's a bit more complex though... the intuition is there, just don't know exactly the math of it yet.

RI2 = 43

[oda.krell]

2014-06-26 27 (fixed )

trend: down

intraday median daily price: $582
intraday daily MACD hist: -11.0

RI1 = 57
RI2 = 50

comment: interesting. one or two days of positive price action, and RI1 crosses 50, i.e. signals reversal. But as I said one post above, I'm worried about false positives now that I made it more sensitive, which is why I'd rather look at RI2, which is at 50 right now, i.e. waiting for a bit more confirmation before calling it a reversal.