Wouldn't it be nice... (the LazyWhale algorithm)

[oda.krell]

LW Live Signals:

(don't take them too seriously, I'd suggest)

Buy @239-241, 2015-05-03

Sell @236-244, 2015-04-09

Buy @236, 2015-02-13

Sell @311, 2014-12-19

Buy @372, 2014-11-10

[1715574883]

1715574883

[Livermore]

What is the basis of your algorithm?

[oda.krell]

What is the basis of your algorithm?

Already answered that, as far as I will answer it for now...

Q & A

Q: Is this a momentum-following strategy?

A: Yes and no. At the core of the strategy, there are several momentum signals, but they are combined in a not completely obvious way, I would claim. So the complete algorithm doesn't have much in common with, say, a classical exponential moving average strategy.

[...]

Q: Are you going to tell us the exact parameters of the method?

A: Not right now. Think of this as a 'public test' of the method, to see how it performs. If it fails, you're free to ridicule me publicly as well

[Raystonn]

Oda, would you mind sharing the tools you are using for automating this?  I'm looking to recreate your workflow.  I use Tradestation for equities, options, and futures.  But I haven't found anything decent for Bitcoin yet.

[oda.krell]

Oda, would you mind sharing the tools you are using for automating this?  I'm looking to recreate your workflow.  I use Tradestation for equities, options, and futures.  But I haven't found anything decent for Bitcoin yet.

I am subscribed to Tradingview myself, which is an okay site, but I started noticing that most of my "idol" traders are using Sierrachart. D'oh! I believe that the ability to code your own strategies is at least as developed as on TV.

Other than that, some of what I call my 'tests' are ad hoc written programs (in Java, usually) that I crudely hack together to test some particular idea on some data set. I'm almost sure there are more efficient ways to go about this than what I do (R comes to mind, but I'm not good enough at it), so I don't recommend that approach.

[sgbett]

nice tread!

Although I am buy and hold, risk management means that during every run up I took money off the table. If I had the foresight to have just held everything since when I started I would be better of technically (by a factor of about x 3) but in selling on the way up and buying on the way down I've ended up in a pretty nice spot, have paid some bills and have a couple of bitcoin for a rainy day. If I had the discipline to have followed this algo...

...hindsight's a tough old bitch though eh

[sgbett]

Speaking of hindsight, my BFL SC60 just found its *second* block   alas I'm in a pool...

oh, how I laughed!

[oda.krell]

Speaking of hindsight, my BFL SC60 just found its *second* block  ::) alas I'm in a pool...

oh, how I laughed!

You're 'legendary', in it since 2011, and selling bits and pieces only brought you down by a factor of 3 from that 2011 entry point...

I'm going to assume you're doing well enough, pool or not pool :P

[vuduchyld]

Sweet!  I hope the algo produces another buy signal soon, because I'm as in as I need to be right now.

May follow the next sell signal, but only with a part of my stash...and probably only if I decide to buy more in the near future.

[sgbett]

Speaking of hindsight, my BFL SC60 just found its *second* block  alas I'm in a pool...

oh, how I laughed!

You're 'legendary', in it since 2011, and selling bits and pieces only brought you down by a factor of 3 from that 2011 entry point...

I'm going to assume you're doing well enough, pool or not pool

Heh, I'm doing OK.

On the one hand I could lament that I barely had the cash to feed myself in 2011, so I really was scraping around for something *anything* to buy a few BTC with!

On the other hand it was only a dollar a coin

I know it sounds like I'm just playing it down but I've made for more money actually working than I have with BTC (...for now at least!)
 
Hindsight would have probably starved me to death!

[sgbett]

Trying to get into mining has probably been the worst decision I made throughout it all. At the time it made sense. There's that hindsight again

[sgbett]

...hold on a sec... Legendary!? When did that happen! 

They must let anyone in thesedays. All I ever did was trash talk spec forum. Legendary... lol.

[oda.krell]

Trying to get into mining has probably been the worst decision I made throughout it all. At the time it made sense. There's that hindsight again

It was purely me being too lazy to set up a mining rig that prevented me from pre-ordering a BF lab or joining one of the ASIC batch orders last year.

Can you imagine how much I reward my laziness these days for making that call?!

EDIT: what are *you* drinking, btw? JW BL for me

[sgbett]

Not drinking tonight. Just up late trying to work but struggling. Procrastination is a killer. I might have a camomile tea I think.

When I first heard about BTC they were about $0.30 and you could (just) CPU mine. I started to set it up but got distracted. I think the fact I missed that mining opportunity might have made want to "put it right" hehe. I had all sorts of plans of running solar arrays in spain to power a mining farm. Mind blowing how fast it all moved. Surely some indication of what is to come if market penetration of the product follows the same pattern...?

Anyway that little black box that cost me 25BTC is now straining out 0.6mBTC a day, which makes me want to run solo to see if I get lucky but TGB says its a 100 years for me to find a block!?

Watch me hit a third before the year is out!

[Wary]

You've got your own monkey! Congrats! Have you given a name to him?

[RyNinDaCleM]

Nice find, oda!

Is this something that can be scaled down to a shorter time frame, if only to have a larger testing sample for sustainability? I'm curious to see how this works out. Watching closely!

[oda.krell]

You've got your own monkey! Congrats! Have you given a name to him?

Hehe, the other monkey had a bit too many 'buy' signals during the last months right in the middle of a downtrend, though it looks like his last call before 275 might come true. I suspect he's using more of a mean reversion way of thinking, which would make his monkey more aggressive than what I'm trying here, which is inherently conservative.

A name?

How about LazyWhale™?

[oda.krell]

Nice find, oda!

Is this something that can be scaled down to a shorter time frame, if only to have a larger testing sample for sustainability? I'm curious to see how this works out. Watching closely!

Thanks Ryn. Means something coming from you. Also, excellent question, cutting right to the core:

Yes, the low number of signals also means it's harder to rule out that the results were just produced by overfitted parameters.

I'd argue that, watching where the signals fall in particular, it is unlikely that this is the case, as the 'sell' reliably comes in around the 1st half or so of any major trend breakdown, and the 'buy' reliable comes early into each lasting recovery, but that's just my "qualitative" judgement, not a quantifiable result I admit.

As for a higher frequency version: It should be easy enough to increase frequency for the momentum portion of the method, just a search for parameters with different constraints. The other part of the method is more difficult to adjust for a higher signal frequency, I would have to think about it a bit. ... As I write this, I have an idea maybe how to go about it. Will report back when I have a test for the adjusted method.

[Wexlike]

I really love this strong hodl approach while at the same time taking advantage of the bear market. Good job Oda!

I am curious, could this swing trading also work in an altcoin market?

Would be interesting if you could backtest your algorithm for example in the litecoin market.

Again, good job and a great read!

[Brmaster]

Make money like doing it? I doubt  

[600watt]

nice work, ty

[sumantso]

Will you posting your buy or sell signals here? I don't understand all those chart thingies, and its tempting to see Bitcoin at $1200, and then at $275, and wonder why couldn't I profit from it.

A thread which just tells me to buy or sell a few times a year is ideal for me.

[mmitech]

Great post, This is exactly what I was looking for, although I started doing this very late... the only difference for my method is I take profits and only try to keep the initial investment (BTC term), for example if I invested $3000 @ $10 and sold all when the price went to $200 and bought back only 300BTC @ $90, basically the result would be the same like holding the 300 BTC and on top of it profits from selling high and buying low.

mid-term trades are the best

[BldSwtTrs]

Very interesting, thanks for sharing
Looking forward to see when the signal will shift

[oda.krell]

Will you posting your buy or sell signals here? I don't understand all those chart thingies, and its tempting to see Bitcoin at $1200, and then at $275, and wonder why couldn't I profit from it.

A thread which just tells me to buy or sell a few times a year is ideal for me.

Yes. That was the plan of this "public experiment". I'll post about a new signal once it comes in (chance for that to happen in principle: every 6h. Right now, there's a good chance a 'buy' will be signaled within a week or two.)

Keep in mind though the critical remark by Ryn above: while the backtest might look promising, there is also only a small number of total signals (by design), which means future profitability of the parameters is less certain than in a method that has more data points.

That said, while I posted about other experimental methods before, this is one where I'm inclined to put some money on the signals myself, because of what seems to be a pretty good risk/reward ratio (I would probably set a stop loss in addition to the signals, however).

[btc6000]

...That said, while I posted about other experimental methods before, this is one where I'm inclined to put some money on the signals myself, because of what seems to be a pretty good risk/reward ratio (I would probably set a stop loss in addition to the signals, however).

Looks good, will have some of that.

How tight a stop? What has the maximum drawdown been over the test timeframe?

[Bitcopia]

Interesting experiment! I'm going to stick around for this.

[piramida]

mid-term trades are the best

Oh yes; although I use like 20% of my stash for that still gives enough profit to have a coffee.. or two.. or a car. But you do need lots of patience. Some kind of robot to tell you what to do may help discipline, so GJ oda, interesting what your robowhale has to say (although if I were it I'd be screaming buy buy since last week).

[inca]

Excellent thread. Well done. Like others, I shall follow it with interest as you post your first buy signal

[lebing]

Hodling is still better for whales because whales cannot avoid paying taxes. Short term capital gains tax is not nice in most countries and would drastically reduce the gains you project here.

[windpath]

Great thread, will definitely keep an eye on it

In fact, over the entire history of Bitcoin on-exchange trading, this method would have only given signals for 6 (!) trading pairs.

Right now, there's a good chance a 'buy' will be signaled within a week or two.

Can you elaborate?

[windjc]

Oda,

If your signal indicator is going to have a buy in a week or two, its pretty obvious that you (or the indicator) believes the bottom is in, that we will retrace off local highs, consolidate, and then start making a move up.

Its not rocket science to eyeball your chart.

Or are you leaving the possibility that the indicator will not offer a buy signal and we will go to new lower lows.

[Dalmar]

This algorithm's buy/sell signals look fairly similar to those on the daily ichimoku cloud.

[Wary]

Nice find, oda!

Is this something that can be scaled down to a shorter time frame, if only to have a larger testing sample for sustainability? I'm curious to see how this works out. Watching closely!

There are chances that it won't scale down. While charts are fractal, bitcoin long-term has some special features that IMO are not present at shorter time-frames: exponential growth, orders-of-magnitude runs, 8-month cycles. If the method relies on them, it won't scale.

[Morecoin Freeman]

I used to trade every other day. Couple months ago I switched to trading every once in a while. Works better for me.
Day trading is fun with a small stack but once your stack gets bigger it is hard to move your coins quick at one price.

My last trades by the way are:
Sell at 480$, Buy at 300$.

I'm all-in again since that huge sell wall on Stamp at $300,- I took a good chunk out of.

[Wary]

[bassclef]

Good post as usual oda.

Beginner traders should not be trading frequently. Taking a longer-term view and developing a strategy around it (i.e. this one) is far more effective than day trading, or worse yet, day trading on margin.

[oda.krell]

Oda,

If your signal indicator is going to have a buy in a week or two, its pretty obvious that you (or the indicator) believes the bottom is in, that we will retrace off local highs, consolidate, and then start making a move up.

Its not rocket science to eyeball your chart.

Or are you leaving the possibility that the indicator will not offer a buy signal and we will go to new lower lows.

I understand where you're coming from, but "the bottom is in" and "lazywhale signals buy soon" are two not necessarily related statements.

Like I said in the OP, unless we see a major, continuous drop in price, the method will most likely signal 'buy' in about the next week. I can say that because I can look at the internal variables, and see how far they are towards a buy signal. I can also approximate how far price would need to drop before there will be no buy signal in the short term - that's why I said what I said: barring a drastic price drop, it will signal buy soon.
(EDIT: to be more precise, price would need to fall to a level of 330/340, and stay there for a while, before a buy signal becomes unlikely)

So, 'bottom is in' and 'buy signal coming in' are not necessarily linked because:

a) there is a chance (even if small), that the bottom isn't in, the method will signal buy, and it will be a *profitable* signal nonetheless. That would happen if there is a second bottom after the buy signal, that price immediately recovers from before the method signals sell. Like I said in my OP, this method isn't built to catch the absolute bottom, it aims to capture large swings, so in that case, the signal would work just as intended.

b) the more likely scenario if the bottom *isn't* in: the method will yield an unprofitable signal.

I hope it won't do that, but that's why I can say 'method is close to a buy signal' without committing to anything about the market. I just describe ... okay, admittedly: tease a bit, about what the algorithm is about to signal Maybe that's what you dislike? I was trying to gather a bit of interest by doing that, but it's a bit sleazy perhaps to do so.

[oda.krell]

...That said, while I posted about other experimental methods before, this is one where I'm inclined to put some money on the signals myself, because of what seems to be a pretty good risk/reward ratio (I would probably set a stop loss in addition to the signals, however).

Looks good, will have some of that.

How tight a stop? What has the maximum drawdown been over the test timeframe?

From the top of the April 2013 bubble: about 50%. From the 2011 bubble: about 60% even. Not that great if dollar preservation is your highest ranked goal, but like I wrote above, there are 3 ranked goals I had in mind, and riding out a rally for the most part before selling is at the top of that list.

I would probably only set a stop for a buy signal that looks a bit dubious to me (like the one I expect now ). The buy signal come in a bit easier than the sell signals, so it makes sense perhaps to reign them in a bit. How tight depends, again, on your preference for USD preservation vs BTC accumulation, but I'd say at least 5%, up to 10% - tighter than that, and it probably won't work well with the comparably large moves this method seems to accept as "noise" between the tradeable swings.

[oda.krell]

mid-term trades are the best

Oh yes; although I use like 20% of my stash for that still gives enough profit to have a coffee.. or two.. or a car. But you do need lots of patience. Some kind of robot to tell you what to do may help discipline, so GJ oda, interesting what your robowhale has to say (although if I were it I'd be screaming buy buy since last week).

Hey, I said that much in my OP's Q&A part A good trader will almost certainly outperform this method. It's a (hopefully smart) combination of momentum signals, while a good trader will have seen the 275 drop as an excellent entry point for a mean reversion trading pair, which is probably a lot more profitable.

My algorithm can't do that. It looks at the big swings, and half-way through a  bear market basically says "fuck it, I had enough" That's what I was aiming for, and that's what the algorithm seems to signal quite well, so far. Not that many data points because little trades, so take it with a grain of salt.

[windjc]

mid-term trades are the best

Oh yes; although I use like 20% of my stash for that still gives enough profit to have a coffee.. or two.. or a car. But you do need lots of patience. Some kind of robot to tell you what to do may help discipline, so GJ oda, interesting what your robowhale has to say (although if I were it I'd be screaming buy buy since last week).

Hey, I said that much in my OP's Q&A part A good trader will almost certainly outperform this method. It's a (hopefully smart) combination of momentum signals, while a good trader will have seen the 275 drop as an excellent entry point for a mean reversion trading pair, which is probably a lot more profitable.

My algorithm can't do that. It looks at the big swings, and half-way through a  bear market basically says "fuck it, I had enough" That's what I was aiming for, and that's what the algorithm seems to signal quite well, so far. Not that many data points because little trades, so take it with a grain of salt.

Are you ever planning on sharing your secret formula you've discovered?

[sickpig]

Are you ever planning on sharing your secret formula you've discovered?

Q: Are you going to tell us the exact parameters of the method?

A: Not right now. Think of this as a 'public test' of the method, to see how it performs. If it fails, you're free to ridicule me publicly as well Cheesy

[sidhujag]

Have you confirmed your indicator is not repainting? Always looks good in hindsight.. I dont ser how it knew to sell perfectly on the double top as there was no indication that a selloff was coming seems repainting to me...

One algo I had I fell into it by accident analyzing the
jpy daily interventions by boj.. I came across developing an indicator that would show spikes of 100 pips or more within 15 min timeframes averaged across major jpy crosses.. turns out those were capitulation events on larger ti
eframes so I created a bot tobacktest them and found it to be wildly successfull running back to 2007.. howver
fwd testing I came across the first spike but jpy crossed continued on the same path for months longer breaking my rules.. thus leading me to my point that the market never repeats but rhymes. I suggest atleast 2 to 3 years fwd testing before putting any real money in.. or
best to just hold.

[Tzupy]

Assuming the indicator is working properly, it shouldn't give a buy signal in 2 weeks.
Although in 2 weeks, in the bullish scenario, we may have broken the 420$ resistance, the indicator
should only give a buy signal in about 2 months, after the corrections from ~520$ to ~400$.
Assuming 275$ was THE bottom, the market moves about 5 times slower than in July 2013.
I do hope that the trading whales will use any information that would speed up the market though.

[oda.krell]

Double answer:

Are you ever planning on sharing your secret formula you've discovered?

Come on man give me  a break... I never called it a "secret formula". It's, maybe, just maybe, a semi-clever way I came up with to combine automatic signals to get something like "trend confluence". If it performs well enough, I'll post the details eventually. If it doesn't, I'll do so as well, but hope that interest in the method goes away anyway to the point where I don't have to.

Have you confirmed your indicator is not repainting? Always looks good in hindsight.. I dont ser how it knew to sell perfectly on the double top as there was no indication that a selloff was coming seems repainting to me...

One algo I had I fell into it by accident analyzing the
jpy daily interventions by boj.. I came across developing an indicator that would show spikes of 100 pips or more within 15 min timeframes averaged across major jpy crosses.. turns out those were capitulation events on larger ti
eframes so I created a bot tobacktest them and found it to be wildly successfull running back to 2007.. howver
fwd testing I came across the first spike but jpy crossed continued on the same path for months longer breaking my rules.. thus leading me to my point that the market never repeats but rhymes. I suggest atleast 2 to 3 years fwd testing before putting any real money in.. or
best to just hold.

Absolutely, vehemently agree with your words of caution. Especially considering that the algorithm, by design, only yields a very small number of data points. (also, thanks for an interesting story about your bots)

That said, I don't see it inherently as any riskier than, say, putting your money on the output of any other automatized strategy in Bitcoin: the traders that run EMA ACO bots have been doing so for a while... I don't think they forward tested a few years

And, as I tried to argue above, the method *is* crafted around a particular peculiar property of Bitcoin: the ability to go through insane growth spurts at time, and never look back (at least by order of magnitude of price).

If you trade for maximal USD preservation, this method won't do much for you. It's aimed at those who, in principle, believe Bitcoin is quite likely to go through another price era change at some point, but until then, trades with ups and downs. Which is, more or less, my own perspective on it. The goal is then to accept a higher than usual risk in a strategy (e.g. accept a higher drawdown), but limit the tail risk at least to /some/ degree, compared to a pure b&h.

Plus, like I said two or three posts above: the buys are triggered "easier" than the sells, so reigning them in with a stop loss might make sense.

EDIT: I get why you're saying the "sell at double top looks like curve fitting", but I'll say this much: both 2013 and 2014 (and similar in 2011, which i didn't post), the sell of comes after the initial bounce back, when the post peak "consolidation" fails. I think I found a way to encode that structure in a reasonably general way s.t. the parameters fit all previous cycles and at least /stand a chance/ to fit the next one as well (assuming there will be another "bubble"), or otherwise make sure limit the drawdown (assuming there's no further bubble).

EDIT 2: Wait, you said "how it sold at the double top", but it didn't, at least not at the ~1200 USD double top. It sold on the bounce back, at around 800 USD.

[sidhujag]

Yea thats what Iguessed happened.. but i think it only does this after making a new high right? There were cases where the same thing happened but before a new high was made and didnt trigger a sell signal... maybe you have a holly grail but I think pa is always changing especially since bigger traders are jumping on. But I agree that it makes sense on a bullish mindset howver Ithink something like a 200/50 ma on the daily should also do the trick in that case. I think next run up may shake ppl out by making similar tops but continuing up again without pull backs so it wil break patterns because we had 2 serious bears during this last run up so far.

I didnt mean curve fitting I meant repainting which happens to change signals over time as they hapoen in real time but look like they picked tops and bottoms in hindsight. I saw lots of these from ppl trying to sell bots online for forex strategies but they were based on repainting indicators... just want to make sure this isnt happening for you as it might get your hopes up.. hopefully once a signal is given it sticks.

[vipgelsi]

Not a bad strategy.

[oda.krell]

Yea thats what Iguessed happened.. but i think it only does this after making a new high right? There were cases where the same thing happened but before a new high was made and didnt trigger a sell signal... maybe you have a holly grail but I think pa is always changing especially since bigger traders are jumping on. But I agree that it makes sense on a bullish mindset howver Ithink something like a 200/50 ma on the daily should also do the trick in that case. I think next run up may shake ppl out by making similar tops but continuing up again without pull backs so it wil break patterns because we had 2 serious bears during this last run up so far.

I didnt mean curve fitting I meant repainting which happens to change signals over time as they hapoen in real time but look like they picked tops and bottoms in hindsight. I saw lots of these from ppl trying to sell bots online for forex strategies but they were based on repainting indicators... just want to make sure this isnt happening for you as it might get your hopes up.. hopefully once a signal is given it sticks.

I'm still trying to figure out what the 'repainting' problem is that could apply here? Genuinely interested in learning something, hope you don't mind my persistence.

Quick Google suggests that 'repainting' is what happens if an indicator that relies on close price input seems to yield a signal, but loses it upon getting the actual input close value. That what you had in mind? If so, not really an issue here, I'm using 6h close and a signal is only counted after a finished close value.

That said, a 'whipsawing' signal is always a possibility of course. Didn't really happen in my backtest, and I suspect that because of the longer trend scale I'm using, it's also less likely to happen than in, say, a method that yields hourly signals, but in principle that could happen.

[fewcoins]

The thing with people who keep buying back their bitcoin's at a lower price is they'll always keep getting more bitcoins but their account value keeps going down lmfao...

So if you added current btc price to your technique I am sure you'd be loosing money like everyone else trading bitcoin.

[oda.krell]

Almost got it right, champ.


12 USD (= 1 BTC) invested in October 2012, i.e. 2 years ago.

Current account:

b&h: 1 BTC. USD account value ~=380 USD at current price.

alg.: 1,400 USD. BTC value ~= 3.7 BTC at current price.

[sidhujag]

Yea thats what Iguessed happened.. but i think it only does this after making a new high right? There were cases where the same thing happened but before a new high was made and didnt trigger a sell signal... maybe you have a holly grail but I think pa is always changing especially since bigger traders are jumping on. But I agree that it makes sense on a bullish mindset howver Ithink something like a 200/50 ma on the daily should also do the trick in that case. I think next run up may shake ppl out by making similar tops but continuing up again without pull backs so it wil break patterns because we had 2 serious bears during this last run up so far.

I didnt mean curve fitting I meant repainting which happens to change signals over time as they hapoen in real time but look like they picked tops and bottoms in hindsight. I saw lots of these from ppl trying to sell bots online for forex strategies but they were based on repainting indicators... just want to make sure this isnt happening for you as it might get your hopes up.. hopefully once a signal is given it sticks.

I'm still trying to figure out what the 'repainting' problem is that could apply here? Genuinely interested in learning something, hope you don't mind my persistence.

Quick Google suggests that 'repainting' is what happens if an indicator that relies on close price input seems to yield a signal, but loses it upon getting the actual input close value. That what you had in mind? If so, not really an issue here, I'm using 6h close and a signal is only counted after a finished close value.

That said, a 'whipsawing' signal is always a possibility of course. Didn't really happen in my backtest, and I suspect that because of the longer trend scale I'm using, it's also less likely to happen than in, say, a method that yields hourly signals, but in principle that could happen.

So on a close the signal will never change its value? What I mean is that if the signal is based on the previous number of bars on average then it may change signals if the average changes enough the past few bars. Usually this is the case where you rely on a larger timeframe to make a signal on a shorter timeframe chart... but if the larger time frame closes (6h) and the signal does not change thereafter at any time then I'd say its not repainting, I'd even try the indicator on other charts to test.

[fewcoins]

This is hilarious... I love how everyone has to keep referring to bitcoin's past performance
GLTA

[Raystonn]

You are right.  Let's discuss its future performance.  Let me get my crystal ball.

[lyth0s]

This is hilarious... I love how everyone has to keep referring to bitcoin's past performance
GLTA

I originally thought this fewcoins account was another falllling shill account, but there are some subtle differences.

[Odalv]

Almost got it right, champ.


12 USD (= 1 BTC) invested in October 2012, i.e. 2 years ago.

Current account:

b&h: 1 BTC. USD account value ~=380 USD at current price.

alg.: 1,400 USD. BTC value ~= 3.7 BTC at current price.

or 0 BTC and 0 USD if traded at mtGox

[Wandererfromthenorth]

So if you added current btc price to your technique I am sure you'd be loosing money like everyone else trading bitcoin.

[oda.krell]

Yea thats what Iguessed happened.. but i think it only does this after making a new high right? There were cases where the same thing happened but before a new high was made and didnt trigger a sell signal... maybe you have a holly grail but I think pa is always changing especially since bigger traders are jumping on. But I agree that it makes sense on a bullish mindset howver Ithink something like a 200/50 ma on the daily should also do the trick in that case. I think next run up may shake ppl out by making similar tops but continuing up again without pull backs so it wil break patterns because we had 2 serious bears during this last run up so far.

I didnt mean curve fitting I meant repainting which happens to change signals over time as they hapoen in real time but look like they picked tops and bottoms in hindsight. I saw lots of these from ppl trying to sell bots online for forex strategies but they were based on repainting indicators... just want to make sure this isnt happening for you as it might get your hopes up.. hopefully once a signal is given it sticks.

I'm still trying to figure out what the 'repainting' problem is that could apply here? Genuinely interested in learning something, hope you don't mind my persistence.

Quick Google suggests that 'repainting' is what happens if an indicator that relies on close price input seems to yield a signal, but loses it upon getting the actual input close value. That what you had in mind? If so, not really an issue here, I'm using 6h close and a signal is only counted after a finished close value.

That said, a 'whipsawing' signal is always a possibility of course. Didn't really happen in my backtest, and I suspect that because of the longer trend scale I'm using, it's also less likely to happen than in, say, a method that yields hourly signals, but in principle that could happen.

So on a close the signal will never change its value? What I mean is that if the signal is based on the previous number of bars on average then it may change signals if the average changes enough the past few bars. Usually this is the case where you rely on a larger timeframe to make a signal on a shorter timeframe chart... but if the larger time frame closes (6h) and the signal does not change thereafter at any time then I'd say its not repainting, I'd even try the indicator on other charts to test.

Think I understand it now. Most trends used in the signal are long term enough that this doesn't appear to happen easily, and I'm using a threshold that probably reduces the likelihood for it happening further.

I'll test it on other charts / markets as soon as I have time. Right now, I want to add one small feature, a "built in" mildly volatility adjusted stop loss, and see how it performs over the history with that built in stop compared to the current stop free version.

[NotLambchop]

...
I'll test it on other charts / markets as soon as I have time. Right now, I want to add one small feature, a "built in" mildly volatility adjusted stop loss, and see how it performs over the history with that built in stop compared to the current stop free version.

[oda.krell]

... a "built in" ... stop loss

+

=

[oda.krell]

New version (V3.2). Updated to include (rather "lax") stop loss triggers. I backtested a range of stop percentages to make sure they don't interfere with the signals (and corresponding trades) in the past. The point was not to optimize historical profit further (which would be cheating imo), but adding a level of safety to the output of the method. Exact percentage values at which stops are set changes, but roughly, around 10%, 15%.

Suggested position still USD. Here's an updated view, with the approximate area in which either a buy signal is triggered (green), or a change to a buy signal becomes unlikely in the short to mid term (red).

[btc6000]

Go on, cross ya bugger, dare you, double dare you!!!

[sidhujag]

New version (V3.2). Updated to include (rather "lax") stop loss triggers. I backtested a range of stop percentages to make sure they don't interfere with the signals (and corresponding trades) in the past. The point was not to optimize historical profit further (which would be cheating imo), but adding a level of safety to the output of the method. Exact percentage values at which stops are set changes, but roughly, around 10%, 15%.

Suggested position still USD. Here's an updated view, with the approximate area in which either a buy signal is triggered (green), or a change to a buy signal becomes unlikely in the short to mid term (red).

Just to screw with people I bet it goes green then red right after lol... but lets see...

[okthen]

This is a truly great thread, it really seems that your lazy whale method works Oda!

I think I might try following it from now on, which will be a first for me in midterm trading.

So as a rookie I really have ro ask:how do you whales do it when your position is usd? Do you just keep the fiat in the exchanges? After MtGox I feel uneasy leaving even my smal amounts hanging around...

[oda.krell]

This is a truly great thread, it really seems that your lazy whale method works Oda!

I think I might try following it from now on, which will be a first for me in midterm trading.

So as a rookie I really have ro ask:how do you whales do it when your position is usd? Do you just keep the fiat in the exchanges? After MtGox I feel uneasy leaving even my smal amounts hanging around...

Thanks :) Please keep in mind that the real test of the method will be the future signals. Backtesting results look promising, but as pointed out by others in here and me as well, it's not possible to rule out entirely that they're mostly the result of curve fitting.

Re: 'where to keep your USD'. I'm not a whale myself, but I'll answer anyway :) I do feel reasonably secure keeping a non-trivial USD position on Bitstamp for an extended time. They strike me as slightly "bland" exchange perhaps (no margin trading, not ideal for bot traders, intrusive KYC/AML procedure), but as a consequence of that, they seem comparably secure as well to me. Also, never had any trouble or delays with withdrawals (USD or BTC), so I'm willing to take that risk for now and keep my USD on their account. That said, I only trade with a /portion/ of my BTC position - so, if things go terribly wrong on the exchange side, I won't be down entirely.

[piramida]

or 0 BTC and 0 USD if traded at mtGox

That is what's great about long term speculation comparing to daily trading - you don't have to keep the money around, one day won't make much difference.

[TonyT]

This is a truly great thread, it really seems that your lazy whale method works Oda!

I think I might try following it from now on, which will be a first for me in midterm trading.

So as a rookie I really have ro ask:how do you whales do it when your position is usd? Do you just keep the fiat in the exchanges? After MtGox I feel uneasy leaving even my smal amounts hanging around...

Thanks Please keep in mind that the real test of the method will be the future signals. Backtesting results look promising, but as pointed out by others in here and me as well, it's not possible to rule out entirely that they're mostly the result of curve fitting.

Can we publicly ridicule you now, unicorn?  LOL u r lookin for the mythical chart to describe the future of BTC.  If the BTC market is fair, then by definition there is no way to predict it, according to the EMH (Efficient Market Hypothesis).  If it's not fair, as you imply, and the whales are manipulating it, then it is predictable.  Has anybody looked at the trading volume to see if there are whales that dump shares (or buy back) during the red/green portions of the curve?  Keep in mind volume always increases when there is a price jump or fall, so you must parse the data to see if whales are trading, not just volume.  There was a whale ("BearWhale") a few weeks ago trading bitcoin but I don't see it had a big effect on price.

[oda.krell]

[incoherent rambling about EMH and markets]

Here, have my canned response for cases like this:

Among a total of 92 modern studies, 58 studies found positive results regarding technical trading strategies, while 24 studies obtained negative results.

... after taking transaction costs into account, we find that the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods.

What is not clear from textbook discussions of weak-form efficiency is whether the statement that "technical analysis has no value" is an implication, derived by logical reasoning, of the assumption that the market is weak-form efficient, or whether it is the defining characteristic of weakform efficiency. If the latter is assumed, then the market discussed in this work is not weak-form efficient. Technical analysis does have value. Alternatively, in the case that "technical analysis has no value" is an implication of market efficiency, this work demonstrates that this inference may be unwarranted, given a definition under which the noisy rational expectations equilibrium is efficient.

[TonyT]

[incoherent rambling about EMH and markets]

Here, have my canned response for cases like this:

Your canned response always includes an insult too?  How thoughtful (Not).

Although I doubt you will understand it, here is a paper [1] you should read and ask some grownups what it means.

Good luck with your market crystal ball gazing.  I expected to see a plea for donations for your so-called research, but happily I did not see you stoop that low.

TonyT

[1]
http://www.nber.org/papers/w20592

Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0. However, what hurdle should be used for current research? Our paper introduces a multiple testing framework and provides a time series of historical significance cutoffs from the first empirical tests in 1967 to today. Our new method allows for correlation among the tests as well as missing data. We also project forward 20 years assuming the rate of factor production remains similar to the experience of the last few years. The estimation of our model suggests that a newly discovered factor needs to clear a much higher hurdle, with a t-ratio greater than 3.0. Echoing a recent disturbing conclusion in the medical literature, we argue that most claimed research findings in financial economics are likely false.

[BTCtrader71]

Among a total of 92 modern studies, 58 studies found positive results regarding technical trading strategies, while 24 studies obtained negative results.

Don't leave out this part:

Despite the positive evidence on the profitability of technical trading strategies, it appears that most empirical studies are subject to various problems in their testing procedures, e.g., data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies.

[NotLambchop]

...

... after taking transaction costs into account, we find that the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods.

...

"Despite the positive evidence on the profitability of technical trading strategies, it appears that most empirical studies are subject to various problems in their testing procedures, e.g., data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies."

TL;DR:

Lol, BTCtrader71 beat me to it

[oda.krell]

Your canned response always includes an insult too?  How thoughtful (Not).

True. The insult is added on the spot to fit the particular instance of stupidity on display. (bad temper sometimes. sorry.)

http://www.nber.org/papers/w20592

Interesting paper, didn't know it before. Thanks.

You know... the cool thing about the EMH (weak or strong, doesn't matter) is how easy it is to empirically falsify it. Just one factor, in one market that yields a result above the significance cutoff (maybe even adjusted for unpublished results :D) is enough to at least declare the EMH for that market dead.

So, if you don't mind, I'll add a link to your paper to my canned response in the future:

To see how the new t-ratio benchmarks better differentiate the statistical significance of factors, in Figure 3 we mark the t-ratios of a few prominent factors. Among these factors, HML, MOM, DCG, SRV and MRT are significant across all types of t-ratio adjustments, EP, LIQ and CVOL are sometimes significant and the rest are never significant.

[okthen]

This is a truly great thread, it really seems that your lazy whale method works Oda!

I think I might try following it from now on, which will be a first for me in midterm trading.

So as a rookie I really have ro ask:how do you whales do it when your position is usd? Do you just keep the fiat in the exchanges? After MtGox I feel uneasy leaving even my smal amounts hanging around...

Thanks Please keep in mind that the real test of the method will be the future signals. Backtesting results look promising, but as pointed out by others in here and me as well, it's not possible to rule out entirely that they're mostly the result of curve fitting.

Re: 'where to keep your USD'. I'm not a whale myself, but I'll answer anyway I do feel reasonably secure keeping a non-trivial USD position on Bitstamp for an extended time. They strike me as slightly "bland" exchange perhaps (no margin trading, not ideal for bot traders, intrusive KYC/AML procedure), but as a consequence of that, they seem comparably secure as well to me. Also, never had any trouble or delays with withdrawals (USD or BTC), so I'm willing to take that risk for now and keep my USD on their account. That said, I only trade with a /portion/ of my BTC position - so, if things go terribly wrong on the exchange side, I won't be down entirely.

Thanks for the answer! Yeah I guess there's not to much harm if you only keep a portion of your stashes in exchanges.

But what about when you want to keep part of the gains in fiat, because you need to eat?

That is what's great about long term speculation comparing to daily trading - you don't have to keep the money around, one day won't make much difference.

Even if you guys are not whales (let's call you dolphins ), or even for people with even less - don't banks get suspicious when you receive/send a couple thousand back and forth?

Sorry for my innocence, I really want to understand, and to be prepared to use the "lazy kitteh" algorithm once the next bubble comes

[TonyT]

http://www.nber.org/papers/w20592

Interesting paper, didn't know it before. Thanks.

You know... the cool thing about the EMH (weak or strong, doesn't matter) is how easy it is to empirically falsify it. Just one factor, in one market that yields a result above the significance cutoff (maybe even adjusted for unpublished results ) is enough to at least declare the EMH for that market dead.

So, if you don't mind, I'll add a link to your paper to my canned response in the future:

To see how the new t-ratio benchmarks better differentiate the statistical significance of factors, in Figure 3 we mark the t-ratios of a few prominent factors. Among these factors, HML, MOM, DCG, SRV and MRT are significant across all types of t-ratio adjustments, EP, LIQ and CVOL are sometimes significant and the rest are never significant.

So you just make it up as you go along, or did you run the factors through a stats filter?  Re EMH, your empirical falsification would be Warren Buffet of course...

Good luck and let us know when it is open season to insult you... I'll be watching this thread. ;-)

[Odalv]

don't banks get suspicious when you receive/send a couple thousand back and forth?

If you do not sell drugs, do not fund terrorists and you pay taxes, then there is not problem :-).

[Wary]

don't banks get suspicious when you receive/send a couple thousand back and forth?

Depending on where you live, there is other inconveniences:
1. Transaction fees (about $25 * 2).
2. Currency exchange fees ( * 2).
3. Delays (about 5 days * 2).
4. If the amount is over $10K (or even less, rpietila says it's $5K) it will trigger notification to authorities, so you should be prepared to prove that you are not in drug trade or money laundering etc.
5. Since your country authorities will know about your business, you will have to declare profit from your btc trade and pay tax on it. You may have pay a tax even if you'll make worse that buy & hold. Say, if because of your trading you've lost half of your coins, but since coin price have tripled. So the dollar value of your holdings have grown 1.5x, so you'll have to pay tax on this 0.5. It depends on your country tax rules, of course.

If you do not sell drugs, do not fund terrorists and you pay taxes, then there is not problem :-).

I don't, don't and do, but still had problems. My bank didn't get my money to exchange, the money just were quietly returned back to my account in a week, so I've lost 2 weeks time (had to open account in other bank) and since it was during a rally, it did cost me a lot

[okthen]

Depending on where you live, there is other inconveniences:
1. Transaction fees (about $25 * 2).
2. Currency exchange fees ( * 2).
3. Delays (about 5 days * 2).
4. If the amount is over $10K (or even less, rpietila says it's $5K) it will trigger notification to authorities, so you should be prepared to prove that you are not in drug trade or money laundering etc.
5. Since your country authorities will know about your business, you will have to declare profit from your btc trade and pay tax on it. You may have pay a tax even if you'll make worse that buy & hold. Say, if because of your trading you've lost half of your coins, but since coin price have tripled. So the dollar value of your holdings have grown 1.5x, so you'll have to pay tax on this 0.5. It depends on your country tax rules, of course.

Yep, these are my worries. On point 4, the bank has called me when I received a $4000 (bitcoin unrelated) transaction...
And on 5: a part of my bitcoin holdings was never on my account, it was transferred directly in bitcoin. How on earth can they know how much I "profited"?

[oda.krell]

http://www.nber.org/papers/w20592

Interesting paper, didn't know it before. Thanks.

You know... the cool thing about the EMH (weak or strong, doesn't matter) is how easy it is to empirically falsify it. Just one factor, in one market that yields a result above the significance cutoff (maybe even adjusted for unpublished results ) is enough to at least declare the EMH for that market dead.

So, if you don't mind, I'll add a link to your paper to my canned response in the future:

To see how the new t-ratio benchmarks better differentiate the statistical significance of factors, in Figure 3 we mark the t-ratios of a few prominent factors. Among these factors, HML, MOM, DCG, SRV and MRT are significant across all types of t-ratio adjustments, EP, LIQ and CVOL are sometimes significant and the rest are never significant.

So you just make it up as you go along, or did you run the factors through a stats filter?  Re EMH, your empirical falsification would be Warren Buffet of course...

Good luck and let us know when it is open season to insult you... I'll be watching this thread. ;-)

That's all I'm asking for. (also, sorry for the earlier ad hominems)

Thou shalt insulteth me for my incompetence to put together a proper indicator (which is very much a possibility), but not attacketh with the blunt sword that is the ETH. EMH (don't know why I had to pull Zurich into this)

I "make it up as I go along", to use your words (I assume you mean if I can say if my results would pass a significance filter). But I think I said more than once that I'm aware that there's no guarantee of continued profits in the historic range. Hence, the "public experiment", as I called it from day 1.

I'll note this however: one of the most robust factors (across markets, if I understood them correctly - I skimmed the article) Harvey et al  mentions is, non-surprisingly, momentum. Which is ..  ta daa .... what my indicator is built up on as well. I hereby claim statistical significance by vague similarity ^{(that should be a thing, I think)}

[oda.krell]

Even if you guys are not whales (let's call you dolphins ), or even for people with even less - don't banks get suspicious when you receive/send a couple thousand back and forth?

If your bank is not openly hostile to Bitcoin (few in Europe actually are, it seems. Take a look at this thread maybe: https://bitcointalk.org/index.php?topic=264679.0), and you plan to pay taxes on your capital gains, that shouldn't be a problem.

[lucasjkr]

backtesting is good and all.... but I'm not sure that this is applicable. The time frame too extreme, in bitcoins case. We're never going back to the days of 2011, early adopters got theirs already, no use creating a model that assumes you can start from the beginning.

If you condense the timescale to this year alone, how would you have held up?

[oda.krell]

backtesting is good and all.... but I'm not sure that this is applicable. The time frame too extreme, in bitcoins case. We're never going back to the days of 2011, early adopters got theirs already, no use creating a model that assumes you can start from the beginning.

If you condense the timescale to this year alone, how would you have held up?

Not sure if I agree with you on this (that 2011 should be ignored)... I believe the market data from back then can still inform future trades, even if the prices from back then never come back. Also, I've said it more than once, everything so far are hypothetical profits. The real test will be seeing if the parameters / constraints I found will hold up in the future.

Re: this year's profit only. Assuming a starting position of 1 BTC as of 2014-01-01, a 1:1 strategy based on this method's output (and assuming no trading costs) has a current account of 1154 USD (~2.95 BTC at current price), based on 3 trades. (yes, I know. very little data points.)

[Wary]

I'm wondering what would happen if everybody here start using the LazyWhale signals. Would expected return go up (self-fulfilling) or down (stampede > queues > slippage; front-running; contrarians etc)?

[1echo]

good idea but practice may say otherwise

[TonyT]

That's all I'm asking for. (also, sorry for the earlier ad hominems)

Thou shalt insulteth me for my incompetence to put together a proper indicator (which is very much a possibility), but not attacketh with the blunt sword that is the ETH. EMH (don't know why I had to pull Zurich into this)

I "make it up as I go along", to use your words (I assume you mean if I can say if my results would pass a significance filter). But I think I said more than once that I'm aware that there's no guarantee of continued profits in the historic range. Hence, the "public experiment", as I called it from day 1.

I'll note this however: one of the most robust factors (across markets, if I understood them correctly - I skimmed the article) Harvey et al  mentions is, non-surprisingly, momentum. Which is ..  ta daa .... what my indicator is built up on as well. I hereby claim statistical significance by vague similarity ^{(that should be a thing, I think)}

From your prose and sentence structure, you seem like a nice guy, possibly a college major, and not your typical bitcoin bitcon conman.  But I did notice a bit of a red flag going through this thread: something about a version number, as if you are going to sell this program of yours.  Surely You're Joking, Mr. Feynman?

[intighet]

But I did notice a bit of a red flag going through this thread: something about a version number, as if you are going to sell this program of yours.  Surely You're Joking, Mr. Feynman?

Version numbers are standard practice even for personal coding projects simply because version control is important when adding to or debugging existing code. Your projections are odd and unwarranted.

[TonyT]

But I did notice a bit of a red flag going through this thread: something about a version number, as if you are going to sell this program of yours.  Surely You're Joking, Mr. Feynman?

Version numbers are standard practice even for personal coding projects simply because version control is important when adding to or debugging existing code. Your projections are odd and unwarranted.

We'll let the author comment?  If he says he intends to sell this program, will you eat crow publicly?

[Raystonn]

Why would it matter?  Do you always expect services for free?

[TonyT]

Why would it matter?  Do you always expect services for free?

Yes.   At worse, what the guy could do is give out the software for free, and if it works start charging for it sometime in the future, but not now.  Otherwise IMO it's a scam.

[sidhujag]

Why would it matter?  Do you always expect services for free?

Yes.   At worse, what the guy could do is give out the software for free, and if it works start charging for it sometime in the future, but not now.  Otherwise IMO it's a scam.

Cmon now mr online pub key generator, you should be the last guy here to try to blow the whistle on a scam.

[Wary]

Don't feed the troll.

[LazyWhale]

Hi Just joined. This is perfect for me

[btcxyzzz]

I would say this is simple EMA10/21 crossover strategy on 3d graph. Can't be wrong if you do that way. Too bad I realised it too late...

[oda.krell]

I would say this is simple EMA10/21 crossover strategy on 3d graph. Can't be wrong if you do that way. Too bad I realised it too late...

Nah, not really, take a look at the actual targets. Pretty far off. 3d EMA21/10 ACO would have sold right into the post-consolidation breakdown, while my signal came during the late consolidation itself (example: EMA ACO sell in February 2014 at <700, my signal January 2014 ~800)

Actually, guy in here who said earlier the signals look a lot like 1d Ichimoku cloud was closer, but that's still not how it works under the hood.

I've said all I'm willing to say right now about the mechanics: a) it's momentum based (so in that sense, it does resemble your EMA ACO method), b) there's some notion of "trend confluence" captured, I believe. Now, I'm curious myself to find out how it performs on new data.

[oda.krell]

But I did notice a bit of a red flag going through this thread: something about a version number, as if you are going to sell this program of yours.  Surely You're Joking, Mr. Feynman?

Version numbers are standard practice even for personal coding projects simply because version control is important when adding to or debugging existing code. Your projections are odd and unwarranted.

We'll let the author comment?  If he says he intends to sell this program, will you eat crow publicly?

For someone who seems to be program himself (you do, I guess?) you sure a paranoid about my version numbers. Parts of this algo are 'fixed', some parts are readjusted over time without my doing, and then there are some manual adjustments (like the conditional stops I put in in the last version) that require keeping track of those changes. That's why version numbers.

And no, this isn't a "pay for signals" deal, even though there's nothing wrong with that either (I've subscribed to more than one TA newsletter in the past, and gladly paid for the service.)

If it turns out I really have something useful on my hands (and I am absolutely not sure about that myself yet), I will just stop posting the signals if I note they fuck up my own trading. Right now, that's not a danger (no tradeable signals yet), so why not make it public and talk about it? Guess you're not an academic, otherwise you'd get that there can be "selfish" motivation besides financial means

[TonyT]

If it turns out I really have something useful on my hands (and I am absolutely not sure about that myself yet), I will just stop posting the signals if I note they fuck up my own trading. Right now, that's not a danger (no tradeable signals yet), so why not make it public and talk about it? Guess you're not an academic, otherwise you'd get that there can be "selfish" motivation besides financial means

No I'm not an academic and yes I do code.  As you say, try it and see, and if it's really valuable there's no need to sell it:  why would you sell something to 1000s of people that's a gold mine for you?  Just use it and get rich.  However, if you do get rich, don't forget your cyber-friends that got you there.... my Bitcoin address is in my profile.  You're welcome. ;-)

[bucktotal]

my "lazy-whale" signal flipped 2 days ago.

the signals from my system are: (edit, i added the price around the dates)

- sell: 2012-02-20 - $5.75
- buy: 2012-04-16 - $4.75

- sell: 2012-09-24 - $11.85
- buy: 2012-10-23 - $11.35

- sell: 2013-05-13 - $122
- buy: 2013-08-05 - $92

- sell: 2013-12-30 - $850
- buy: 2014-05-13 - $450

- sell: 2014-07-21 - $600
- buy: 2014-10-20 - $385

[sumantso]

Any action to be taken yet?

oda.krell, I think you should add a big button in the first post shouting 'SELL SELL' or 'BUY NOW OR SUFFER'

[oda.krell]

Sorry, nothing going on yet. Still the same price regions I mentioned earlier: rise to ~400 will most likely trigger a BUY, a fall to ~340 (without finding support there) will push the next buy signal further into the future. As long as price doesn't move, nothing changes.

And re: the buy/sell button... Only next to an equally big button saying "Method very much experimental still. Follow at your own risk."


EDIT: Added a 'Signal Updates' section to the beginning of the first post

[windpath]

Man, since you posted this BTC has been as flat as I've ever seen it, well since the 16th anyway, with a slight trend downwards, does your algo predict a bottom at all, or does it just wait for the shift?



I think we all see the coming UP, just a question of when...

The bottom has been called many times, have we already seen it?

I think so but just my 0.02 bits...

[piramida]

Even if you guys are not whales (let's call you dolphins ), or even for people with even less - don't banks get suspicious when you receive/send a couple thousand back and forth?

Sorry for my innocence, I really want to understand, and to be prepared to use the "lazy kitteh" algorithm once the next bubble comes

I'll answer as a dolphin - no, they don't get suspicious, they call me if it's a large amount (not a couple of thousand, anything below 10k is off the radar in any bank that I know) and I explain what that money is. They don't have a problem with me selling/buying commodities. If you are unsure, talk to them - with banks, being transparent is the way to go.

[oda.krell]

Man, since you posted this BTC has been as flat as I've ever seen it, well since the 16th anyway, with a slight trend downwards, does your algo predict a bottom at all, or does it just wait for the shift?



I think we all see the coming UP, just a question of when...

The bottom has been called many times, have we already seen it?

I think so but just my 0.02 bits...

It's 90% momentum. It's about as unpredictive as it gets

(not completely true of couse, after all, even a momentum driven signal makes /some/ prediction. But it's not predictive in the sense that EW is, for example, saying that from observation 1, 2 together with rules A, B, we are likely to have seen the bottom or not)

[Wandererfromthenorth]

It's a nice method, it actually menages to keep the huge advantages of trading but without the constant attention at the market required in trading.

There is one thing though that I don't get. You seem to be using a different strategy now in order to decide if it's time to buy or sell.
Look at the picture below, it seems that currently saying that if we go in the $330-$340 the current USD position must be kept.
But how's that, those targets would represent just a natural correction to the bounce after the last $275 flash crash...
The same kinda scenario happened in April-May when we bounced off the $340 flash crash, it seems that the bounce corrented itself and you actually bought in the LazyWhale algo.
It looks to me that you used the opposite strategy that you are using it now...

[oda.krell]

It's a nice method, it actually menages to keep the huge advantages of trading but without the constant attention at the market required in trading.

It's a nice method in backtesting so far

There is one thing though that I don't get. You seem to be using a different strategy now in order to decide if it's time to buy or sell.
Look at the picture below, it seems that currently saying that if we go in the $330-$340 the current USD position must be kept.
But how's that, those targets would represent just a natural correction to the bounce after the last $275 flash crash...
The same kinda scenario happened in April-May when we bounced off the $340 flash crash, it seems that the bounce corrented itself and you actually bought in the LazyWhale algo.
It looks to me that you used the opposite strategy that you are using it now...
http://i60.tinypic.com/2l9jn0w.png

I can see the confusion, but no, I (or rather, the algorithm) doesn't use a different strategy now than for the April/May signal. There's more than one variable at play in the signal, so, while the two situations look similar superficially perhaps, they are not identical for purposes of a signal.

That said, as I said above, the method isn't static. For example, some parameters are updated as new historic data is available. However, it's a relatively minor difference, and not the reason for the difference you noted. Think of it as different context producing different output for the same input (EDIT: or, if you want to think of the context as input as well, simply a different input)

[FUR11]

A very nice avatar from the Perry Bible Fellowship. That's all I need to be convinced this is a great algorithm and the set of rules applied is solid. May you profit big time from this

[oda.krell]

A very nice avatar from the Perry Bible Fellowship. That's all I need to be convinced this is a great algorithm and the set of rules applied is solid. May you profit big time from this :)

Chosen on purpose. I only pretend to know what I'm doing. However, for most practical purposes (fucking hot female unicorns, technical trading), pretending to know and really knowing are virtually indistinguishable, or so I like to tell myself :P

EDIT: http://pbfcomics.com/253/

[TonyT]

Chosen on purpose. I only pretend to know what I'm doing. However, for most practical purposes (fucking hot female unicorns, technical trading), pretending to know and really knowing are virtually indistinguishable, or so I like to tell myself

EDIT: http://pbfcomics.com/253/

Indeed.  Here is a PBF comic more indicative of your ability with mathematics:

http://pbfcomics.com/237/

[windpath]

Saw this and made me think of this thread...

[fewcoins]

400 is a resistance level not a buy signal loll

[oda.krell]

Quick update, more of a  non-update actually...

Nothing changed, recommended position still USD. But, like I said over and over again in here, the method is slow and purely reactive, so I'd argue it's a good thing there's no 'buy' signal yet, considering we're not really going decisively up, for the time being.




Then again, maybe NotLambchop is right when he says:

It's junk because it failed to yield any results.  The utility of your algorithm appears to be exactly zero--neither positive nor negative.  Without knowing the actual ruleset (which you chose not to share), I can only assume that it's junk

Whether you agree or not is for you to decide. I just publish the signal (or lack thereof), like I said I would.

[Tzupy]

I don't think it's junk, but it's probably less useful than some expected. And I doubt it will turn green soon, if it works correctly.

[windpath]

Looking forward to the green line

[TonyT]

Here's my "algo":  take a ruler, print out the chart of BTC price vs time for 2014, line up one end of the ruler at the high peak of the chart and the other end at today's price, and notice how well the intermediate points fall in between (except for the volatile month of October).

Prediction:  Bitcoin will continue to decay.  The 'resistance' seems to be early 2013 or 2012 prices.  That's < 10% of today's price.

Advice: get out. 

You are welcome.

[mmitech]

I don't know why you call it "algorithm", do you really have an actual code written to monitor the change ? because as far as I can tell anyone could see the buy signal only by watching the 1W chart, a reversal would clearly appear there without the need to write any kind of code, just observing would be enough to do the job.


2 weeks ago people where excited when we went from 275 to 417, they called reversal and the moon, while it was only a good but very risky trading opportunity... everything shows that we are still heading down.

[oda.krell]

I don't know why you call it "algorithm", do you really have an actual code written to monitor the change ? because as far as I can tell anyone could see the buy signal only by watching the 1W chart, a reversal would clearly appear there without the need to write any kind of code, just observing would be enough to do the job.


2 weeks ago people where excited when we went from 275 to 417, they called reversal and the moon, while it was only a good but very risky trading opportunity... everything shows that we are still heading down.

https://i.imgur.com/C5x2jBh.png

1) Yes. When I say algorithm I mean it's a piece of code.

2) Glad to hear you can do this by eye. If you would have read the original post, you would have seen that I already said that this method isn't intended to outperform a good discretionary trader. So, if you are one of those, good on you.

How about this: the point of this "public experiment" is to keep track of exact targets (i.e. the price at which buy and sell signal will come in). Let us know the exact targets of your trade pairs and we can compare the results in a year from now.

[sumantso]

So Mr. Krell, your algorithm hasn't signaled a buy yet?

The upward movement seems to be losing steam. I guess if it can survive till next week without falling we might get a signal.

[oda.krell]

Nope. No change in signal yet. I should probably be careful speculating about the likely change regions... last time I did that, my inner bull got the better of me. I'll do it anyway :P

From ~$360 on, a buy becomes quite likely. Price at least staying above $320 doesn't "destroy" the current setup of a possible buy. Falling below $320 and a buy signal moves further away. The above regions are only valid for some time, as they are slightly changing each day.

[Dalmar]

Did the recent mini pump create a buy signal?

[oda.krell]

Not yet, but I'm watching it like a hawk

Next calculation period closes in an hour or two, will update if there's a signal change surviving the close.

[oda.krell]

Here we are. First 'live' signal change surviving a period close.

Important reminder: read the disclaimers and explanations at the end of the post before doing anything stupid.

LW v3.10 signals BUY at 372 USD, from previous SELL at 623 USD on 2014-07-21 (back-test only).





Disclaimer 1: None of the above is financial advice. It's a public "experiment" of a highly speculative algorithmic trading method. I'm posting the results for your entertainment, and my own. Anything else is your own decision and risk.

Disclaimer 2: The signal has been quite profitable in the back-test, but the total low number of signals (by design), and few corresponding trades, means there is very little statistical power behind the results. If you feel there is a substantial risk the results so far are due to chance, you are probably correct.

Disclaimer 3: Even though all BUY signals have been profitable so far in the back-test, in more than one case price dropped briefly after a BUY signal, while the method continued holding BTC, before it went up again.

This is to say, Disclaimer 2 warns you that there is a risk the signal is not profitable at all, while Disclaimer 3 warns you that the signal might be profitable in the longer run (a month or two), but could incur a loss in USD terms at first.

[h3speros]

And one more important notice, even if this would mean that THE bottom is in, it does not mean that it would be good to buy NOW, could be that we are short term overpriced and better time to buy comes soon.

EDIT. didnt read the disclaimer 3 very carefully...

[Tzupy]

In other words, oda.krell may have built a better bull trap that I could.

[oda.krell]

EDIT. didnt read the disclaimer 3 very carefully...

Hehe, thanks for adding that.

Yes. Assuming we are indeed going up, a good discretionary trader might want to wait for a dip first. But that's really not what this signal is intended to do: ideally, it fires once every few months, into a larger up- or downtrend, with little consideration for where price is in the smaller resolution - because the next signal (if things work out as intended) is at a price so far away anyway that the small difference of the dip doesn't matter. At least, that's how it worked in the back-test.

[79b79aa8d5047da6d3XX]

OK, let's live test LW, boldly entering right now with a hundred bucks.

http://pbfcomics.com/228/

[inca]

Excellent. Good luck Oda.

[dasource]

Looking forward to seeing how this develops!

[sgbett]

I've been holding out for lower to buy back a bit more but it feels exactly like waiting for $1 back in bitcoinica days. That never happened and instead bitcoinica swallowed my fiat.

So this time round I'll pin my actions on someone else's indicator so I can blame them when it all goes wrong

Everything I have on bitstamp has just been converted to BTC. It's feeling like about time....

[windjc]

Oda,

When, if ever, will you share your indicator? Why such a secret? I could understand if it was a weekly trading signal that you didnt want to give to the masses, but this is long term signal. Its harmless to let us know.

By letting us know we might even be able to help you refine it. Although, if not, we could just praise you more precisely for your brilliance.

Either way its a win win!

[firstlast]

Is this close? http://www.reddit.com/r/BitcoinMarkets/comments/2lxkqk/daily_discussion_tuesday_november_11_2014/clz4jez

[oda.krell]

I've been holding out for lower to buy back a bit more but it feels exactly like waiting for $1 back in bitcoinica days. That never happened and instead bitcoinica swallowed my fiat.

So this time round I'll pin my actions on someone else's indicator so I can blame them when it all goes wrong ;)

Everything I have on bitstamp has just been converted to BTC. It's feeling like about time....

Haha, you bastard. So now I have blood on my hands, huh? Well, let's see how it goes. Right now yesterday's little rally that pushed the signal change looks like it's already losing steam again. Clench your ass cheeks, that's all I'm saying :)

Is this close? http://www.reddit.com/r/BitcoinMarkets/comments/2lxkqk/daily_discussion_tuesday_november_11_2014/clz4jez

Closer than any other suggestions :) MA50 is part of the signal conditions.

Oda,

When, if ever, will you share your indicator? Why such a secret? I could understand if it was a weekly trading signal that you didnt want to give to the masses, but this is long term signal. Its harmless to let us know.

By letting us know we might even be able to help you refine it. Although, if not, we could just praise you more precisely for your brilliance.

Either way its a win win!

I don't know... I'm an intellectual hoarder? :D Seriously though: I don't think the exact choice of parameters is that remarkable, but the way I found them is maybe novel. Finance is not my field, so I have no idea yet how to go about it, but I think, somewhere far in the back of my mind, I'm wondering if I can maybe squeeze a publication out of that aspect. There, I said it.

[79b79aa8d5047da6d3XX]

publication, shmublication: what matters is if it makes you money.

if you did hit upon some way to systematically earn profits, by the time it is published it won't be reproducible anymore, and all that would matter was the money you made while it lasted.  (unless, of course, you are an academic, and your income stream is affected directly or indirectly by whether you get one more paper published.)

[sumantso]

First signal, that ends my hopes of sub $300 prices. I am going to wait for a few more days to try and catch any dips.

[sidhujag]

bull is back!

[keystroke]

Well, you have even more blood on your hands now as of a few minutes ago. I just bought about 25% of what I sold last November. It is my first real trade actually because I believe in HODL. But I feel this is a good entry point and it will be fun to get into the game right now especially with this cool thread.

I had an order ready to go on Coinbase when the huge $300 wall was being eaten away but my account had dropped below its previous verification level for some reason. So I used that an excuse to say forget it. Of course I still should have bought at that moment!

Now I have a better excuse for watching the forums. But today I will explore.

[600watt]

If the data is accurate, 6847 Bitcoin was bought yesterday

(There was a mistake in my previous update)

looks like mr silbert heard your signal, oda 

[sgbett]

I believe!

[trade2winnn]

After reading through this I have no choice but to buy back in for 15% of what I sold back in Nov-Jan. I'm thinking your algo may be simple as ever, but constructed with some reliable info that you have been collecting for many days,months,years. I kind of have a guess to what the info you have been collecting is and how you have been collecting it. I have a friend that has been collecting market data correlated to hashrate/mining daily updates and he has told me the algorithmic charting program isn't even worth selling.

[keystroke]

PS So good so far. $1 short of $420 at the moment. Won't turn this into a rampant price posting thread though.

Edit: $420 the second I posted.

[Tariq]

Thanks Oda 

[Tzupy]

Maybe most people don't understand, but oda.krell's indicator turning green now is actually bearish medium term.
It means that the market hasn't yet left wave C, and THE bottom wasn't 275$, but is still to come.
I didn't yet work on new guesstimates, but IMO it seems wave C will only end in February 2015 below 200$.

[sickpig]

Maybe most people don't understand, but oda.krell's indicator turning green now is actually bearish medium term.
It means that the market hasn't yet left wave C, and THE bottom wasn't 275$, but is still to come.
I didn't yet work on new guesstimates, but IMO it seems wave C will only end in February 2015 below 200$.

Out of curiosity what is wave C? are you referring to Elliott TA?

[oda.krell]

Maybe most people don't understand, but oda.krell's indicator turning green now is actually bearish medium term.
It means that the market hasn't yet left wave C, and THE bottom wasn't 275$, but is still to come.
I didn't yet work on new guesstimates, but IMO it seems wave C will only end in February 2015 below 200$.

Why yes, listen to this man, he's absolutely right of course:

Just like the usual interpretation of a failure to break daily MA20 is hugely bullish ("if the market is weak, it's actually strong"), or how a green MACD histogram candle is seen as a strong sell signal by experienced traders.

In other news, some people don't know when to close their overleveraged short position.

 

EDIT: In case it's not that clear, the above is me being sarcastic. I don't agree with the poster that the lw buy signal is actually 'bearish', and I was making up wrong interpretations of signals as a way to make fun of his.
After thinking about it  a bit more, while I still don't agree at least I can see where he's coming from (basically, he thinks if we go up already now, we'll have to come down harder a bit later)


Glad to see the move up that triggered the signal change didn't fizzle out immediately, as I feared it would at first.

Thanks also for the kind words by some in here. However, it's only fair to remind everyone: the actual (first) test of the signal's profitability is when the corresponding 'sell' comes in.

I personally hope it's going to be at a substantially higher price level, but in either case, I'll report it when it comes in. For now, probably best not to fight the market too stubbornly, i.e. go short if you want, but I wouldn't get married to any short position currently. At least mid-term, the trend is more likely to be up than down in my opinion, and the most obvious interpretation of the LW momentum signal is just that, really.

[seleme]

Maybe most people don't understand, but oda.krell's indicator turning green now is actually bearish medium term.
It means that the market hasn't yet left wave C, and THE bottom wasn't 275$, but is still to come.
I didn't yet work on new guesstimates, but IMO it seems wave C will only end in February 2015 below 200$.

That's some serious bullshit honestly.

I don't know what kind of signal Oda made but if daily MA based signal is turned green than it's nonsense to say that is midterm bearish.

[Wandererfromthenorth]

Maybe most people don't understand, but oda.krell's indicator turning green now is actually bearish medium term.
It means that the market hasn't yet left wave C, and THE bottom wasn't 275$, but is still to come.
I didn't yet work on new guesstimates, but IMO it seems wave C will only end in February 2015 below 200$.

You said we were going to double top at $420 but we just smashed through that, how's that bearish now?

[Tzupy]

Maybe most people don't understand, but oda.krell's indicator turning green now is actually bearish medium term.
It means that the market hasn't yet left wave C, and THE bottom wasn't 275$, but is still to come.
I didn't yet work on new guesstimates, but IMO it seems wave C will only end in February 2015 below 200$.

You said we were going to double top at $420 but we just smashed through that, how's that bearish now?

Both short term bullish count and bearish count were invalidated in quick succession, this means there was a flaw in the longer term count.
When I'll finish the new count guesstimates I'll post it here. I genuinely believed wave C would end soon, I was wrong.

[seleme]

That's OK, nobody wins it each time, it's just that your words about Oda's daily signal that doesn't make any sense.

[oda.krell]

For fairness sake, I get now what tzupy meant :
Under the assumption of his preferred EW count(s), my signal is mid long bearish because it means a more drastic bottom will form eventually, correct?

My point is then, without subscribing to any additional assumptions, a momentum based signal like mine, or weekly sar, is bullish. But I can see your point, even when I don't share it.

[Tzupy]

That's OK, nobody wins it each time, it's just that your words about Oda's daily signal that doesn't make any sense.

It makes sense if you think it a bit deeper. I agreed that oda.krell's signal works, but the interpretation is different.
And I don't understand why he got pissed off at me, because in his own words: "...similar way to how May played out".
The May uptrend topped at about 680$ and then deflated to 275$, that's about 60%. If the current uptrend
just topped at 454$ (it may go a bit higher the next days, I don't know, so I'll wait a a few days with my scenario), then
a 60% correction would bottom at about 182$, and about 3 - 4 months from now.

If you want to see a less bearish EW opinion than mine, RyNinDaCleM believes in a double bottom in the second half of January:


PS. The mistake I made with the EW count was to count the April movements as one sub-wave moving fast and furious, when it probably was just an extension.

[oda.krell]

Yes, sorry, overreacted a bit. See last comment.

[sumantso]

First signal, that ends my hopes of sub $300 prices. I am going to wait for a few more days to try and catch any dips.

That worked out well

Being too greedy by half. Oh well, will wait for a pullback now.

[Tzupy]

Yes, sorry, overreacted a bit. See last comment.

OK, we're cool. I have a suggestion for you, if you are willing to back test your indicator on some 2013 MtGox data (Bistamp looks "washed out").
If your indicator can use a shorter time frame (about 4x shorter), then it might flip from red to green about the 17th May and the 17th June 2013.

[adpinbr]

following

[oda.krell]

Yes, sorry, overreacted a bit. See last comment.

OK, we're cool. I have a suggestion for you, if you are willing to back test your indicator on some 2013 MtGox data (Bistamp looks "washed out").
If your indicator can use a shorter time frame (about 4x shorter), then it might flip from red to green about the 17th May and the 17th June 2013.

No, I'm afraid that won't work. Ryn asked a similar question in the beginning: while I have vague idea how to make it scale down, the actual implementation still escapes me, so I can't test it on smaller scales yet (or rather, the results suck)

[keystroke]

Just like the usual interpretation of a failure to break daily MA20 is hugely bullish ("if the market is weak, it's actually strong")

Can you explain that please?

[oda.krell]

Just like the usual interpretation of a failure to break daily MA20 is hugely bullish ("if the market is weak, it's actually strong")

Can you explain that please?

Sarcasm?

[keystroke]

Just like the usual interpretation of a failure to break daily MA20 is hugely bullish ("if the market is weak, it's actually strong")

Can you explain that please?

Sarcasm?

Ah sorry I missed it. I thought this might be a very sophisticated form of technical analysis.

[oda.krell]

First signal, that ends my hopes of sub $300 prices. I am going to wait for a few more days to try and catch any dips.

That worked out well

Being too greedy by half. Oh well, will wait for a pullback now.

Looks like you got your pullback... Still planning to buy in?

[Wandererfromthenorth]

Still a buy signal?  

Personally, I'm fairly bullish, after this retrace (which might go a little bit lower).

[oda.krell]

Still a buy signal?  

Personally, I'm fairly bullish, after this retrace (which might go a little bit lower).

Of course

300 to 320 would be the region where it would flip again after a while, but everything so far is just noise when looked at from the trend scale of this signal.

[Tzupy]

My current (bearish) interpretation of the results of the indicator during the bear market. If correct, it should turn red in about a month.
It shows good entry and exit points though.

[oda.krell]

My current (bearish) interpretation of the results of the indicator during the bear market. If correct, it should turn red in about a month.
It shows good entry and exit points though.

Possible. Not saying I find it likely, but possible.

Note that if my momentum signal comes in early enough during your hypothetical (5) - similar to where it came in (3) -  it would still be profitable overall, and not a mistake to enter now.

But I guess we don't disagree on that point, just where we're heading in the longer term, i.e. on the question if we're going to make a new low sub-275 or not. I say 'probably not', you say 'probably yes'.

[sumantso]

First signal, that ends my hopes of sub $300 prices. I am going to wait for a few more days to try and catch any dips.

That worked out well

Being too greedy by half. Oh well, will wait for a pullback now.

Looks like you got your pullback... Still planning to buy in?

Will wait a bit to see if your magic box turns out a new signal. Weekend is here so I guess I should wait for a day or to two to see how it goes.

I know, I know, getting greedy again.

[sidhujag]

What? Y would it give a new signal unless it changed to bear market again.? I thought it wasnt repainting?

[oda.krell]

@sidhujag

Nope. No change in signal. Like I said earlier, price would have to drop substantially deeper (and remain there for some time), before a sell signal comes in.

But in principle that's possible of course (and I wouldn't call it repainting in that case), so maybe that's what sumantso had in mind? If the signal changes to a 'sell' again (at a loss compared to the previous buy target, obviously), he'd take that as confirmation not to buy?

[sgbett]

i still feel comfortable. planets are all aligning.

the 'excitement' of the bear market is giving way to the boredom of sideways. the bears once they realise there is no more profit to be made shorting will return to their caves.

once the fear of bear market is gone, then all the people that have been wanting to buy will start to jump back in. instead FOMO will move this market.

[oda.krell]

i still feel comfortable. planets are all aligning.

the 'excitement' of the bear market is giving way to the boredom of sideways. the bears once they realise there is no more profit to be made shorting will return to their caves.

once the fear of bear market is gone, then all the people that have been wanting to buy will start to jump back in. instead FOMO will move this market.

Agreed. To me it looks like the time for panic is over, but the time for greed/FOMO isn't there yet, hence: sideways (but with a slight upwards bias).

Quite a few in this forum see it differently of course, with a new low being necessary before another sustainable rise can begin... Guess we'll know who was right in a few months.

[sumantso]

But in principle that's possible of course (and I wouldn't call it repainting in that case), so maybe that's what sumantso had in mind? If the signal changes to a 'sell' again (at a loss compared to the previous buy target, obviously), he'd take that as confirmation not to buy?

You read my mind

I will have to wait for a few more days and then can put a part of my salary in

[inca]

i still feel comfortable. planets are all aligning.

the 'excitement' of the bear market is giving way to the boredom of sideways. the bears once they realise there is no more profit to be made shorting will return to their caves.

once the fear of bear market is gone, then all the people that have been wanting to buy will start to jump back in. instead FOMO will move this market.

Agreed. To me it looks like the time for panic is over, but the time for greed/FOMO isn't there yet, hence: sideways (but with a slight upwards bias).

Quite a few in this forum see it differently of course, with a new low being necessary before another sustainable rise can begin... Guess we'll know who was right in a few months.

The ones calling for a new lower low before a sustainable rise will see that low should it ever arrive as a signal that the bear market has not ended, and wait for a new lower low before a sustainable rise will..

[Tzupy]

...
The ones calling for a new lower low before a sustainable rise will see that low should it ever arrive as a signal that the bear market has not ended, and wait for a new lower low before a sustainable rise will..

Maybe, but that's not what they should be looking for, but seller exhaustion allowing support to hold after pumps.
So far, both the October and November pumps retraced too much for a new bull market, so it looks fishy.

[sgbett]

Agree big retraces, but I think that's a sign of a bigger market. Those retraces don't look to be making lower lows. (IMHO) we shall indeed see. Happier to be weighted towards btc right now

[Tzupy]

It would be nice of oda.krell to post a notice about the indicator flipping to red.

[oda.krell]

It would be nice of oda.krell to post a notice about the indicator flipping to red.

Don't worry, if that happens, I will. Signal still says BTC. Not exactly surprising considering that we are hovering around the price at which it flipped green in the first place.

[NotLambchop]

That's the beauty of long-term trading algorithms--the longer the term, the longer you won't know how useless they are

[oda.krell]

That's the beauty of long-term trading algorithms--the longer the term, the longer you won't know how useless they are

As opposed to high-frequency troll posters: Plenty of data points to conclude, with high confidence, just exactly how pointless the overall contribution is ^_^

[windpath]

It would be nice of oda.krell to post a notice about the indicator flipping to red.

I'm not sure why you think his indicator would have changed?

On the scale the indicator uses the market has been basically flat since the change to BTC.

[NotLambchop]

That's the beauty of long-term trading algorithms--the longer the term, the longer you won't know how useless they are

As opposed to high-frequency troll posters: Plenty of data points to conclude, with high confidence, just exactly how pointless the overall contribution is ^_^

>likes long-term strategies
>judges strategies of others by short-term results

Might be missing something...

[Tzupy]

It would be nice of oda.krell to post a notice about the indicator flipping to red.

I'm not sure why you think his indicator would have changed?

On the scale the indicator uses the market has been basically flat since the change to BTC.

Last time it flipped to red it was in July around the 23rd. I have a count by which the market is now in a similar position.

[orsotheysaid]

That's the beauty of long-term trading algorithms--the longer the term, the longer you won't know how useless they are

That's the beauty of long-term posting storage, you can re-visit people being wrong about how Bitcoin is done and laugh at them as you enjoy the gains. Of course, you'll not be around by then to not face the shame.

[ask]

That's the beauty of long-term trading algorithms--the longer the term, the longer you won't know how useless they are

As opposed to high-frequency troll posters: Plenty of data points to conclude, with high confidence, just exactly how pointless the overall contribution is ^_^

Nothing more to add. Oda.krell do you know that you are one of rare people here on forum, who still has healthy brains? Respect!

[NotLambchop]

.@ask:  As usual, you have nothing topical to contribute.
Delete your post and don't shit up this thread in the future.
ty

[ask]

.@ask:  As usual, you have nothing topical to contribute.
Delete your post and don't shit up this thread in the future.
ty

Lamby are you owner of this thread? YOU ARE NOT.  I will leave this thread only if oda would have that wish.

And Lamby - world would be much happier place without people like you. Do you need any additional translation what I am thinking?

[oda.krell]

I think we should all just try to get along... bulls and bears, serious posters and trolls, hodlers and daytarders, libertarians and mind-controlling space lizards, and so on

@ask Thanks for the kind remarks. Must be the new shipment of whisky I just received having a beneficial effect on my brain hehe

[phoenix1]

I think we should all just try to get along... bulls and bears, serious posters and trolls, hodlers and daytarders, libertarians and mind-controlling space lizards, and so on

@ask Thanks for the kind remarks. Must be the new shipment of whisky I just received having a beneficial effect on my brain hehe

Nice philosophy Oda

Have not said it before, but I really value your contribution here. Always well-balanced, well thought out analysis. Refreshing 

[Tzupy]

...Must be the new shipment of whisky I just received having a beneficial effect on my brain hehe

Ahem... quoting from Wikipedia:

As a neurotoxin, ethanol has been shown to induce nervous system damage and affect the body in a variety of ways. Among the known effects of ethanol exposure are both transient and lasting consequences. Some of the lasting effects include long-term reduced neurogenesis in the hippocampus,[96][97] widespread brain atrophy,[98] and induced inflammation in the brain.[99] Of note, chronic ethanol ingestion has additionally been shown to induce reorganization of cellular membrane constituents, leading to a lipid bilayer marked by increased membrane concentrations of cholesterol and saturated fat.[46] This is important as neurotransmitter transport can be impaired through vesicular transport inhibition, resulting in diminished neural network function. One significant example of reduced inter-neuron communication is the ability for ethanol to inhibit NMDA receptors in the hippocampus, resulting in reduced long-term potentiation (LTP) and memory acquisition.[45] NMDA has been shown to play an important role in LTP and consequently memory formation.[100] With chronic ethanol intake, however, the susceptibility of these NMDA receptors to induce LTP increases in the mesolimbic dopamine neurons in an inositol 1,4,5-triphosphate (IP3) dependent manner.[101] This reorganization may lead to neuronal cytotoxicity both through hyperactivation of postsynaptic neurons and through induced addiction to continuous ethanol consumption. It has, additionally, been shown that ethanol directly reduces intracellular calcium ion accumulation through inhibited NMDA receptor activity, and thus reduces the capacity for the occurrence of LTP.[102]

In addition to the neurotoxic effects of ethanol in mature organisms, chronic ingestion is capable of inducing severe developmental defects. Evidence was first shown in 1973 of a connection between chronic ethanol intake by mothers and defects in their offspring.[103] This work was responsible for creating the classification of fetal alcohol syndrome; a disease characterized by common morphogenesis aberrations such as defects in craniofacial formation, limb development, and cardiovascular formation. The magnitude of ethanol neurotoxicity in fetuses leading to fetal alcohol syndrome has been shown to be dependent on antioxidant levels in the brain such as vitamin E.[104] As the fetal brain is relatively fragile and susceptible to induced stresses, severe deleterious effects of alcohol exposure can be seen in important areas such as the hippocampus and cerebellum. The severity of these effects is directly dependent upon the amount and frequency of ethanol consumption by the mother, and the stage in development of the fetus.[105] It is known that ethanol exposure results in reduced antioxidant levels, mitochondrial dysfunction (Chu 2007), and subsequent neuronal death, seemingly as a result of increased generation of reactive oxidative species (ROS).[29] This is a plausible mechanism, as there is a reduced presence in the fetal brain of antioxidant enzymes such as catalase and peroxidase.[106] In support of this mechanism, administration of high levels of dietary vitamin E results in reduced or eliminated ethanol-induced neurotoxic effects in fetuses.[8]

[NotLambchop]

.@ask:  As usual, you have nothing topical to contribute.
Delete your post and don't shit up this thread in the future.
ty

Lamby are you owner of this thread? YOU ARE NOT.  I will leave this thread only if oda would have that wish.

And Lamby - world would be much happier place without people like you. Do you need any additional translation what I am thinking?

*Still buthurt about your boss dollar cost averaging, I see

[phoenix1]

...Must be the new shipment of whisky I just received having a beneficial effect on my brain hehe

Ahem... quoting from Wikipedia:

<snip>

Now that's what I call party-pooping Tzupy!

[oda.krell]

It's not exactly a party if you don't share your booze. More like, alcoholism with a pretense


As if I'd share my beautiful Ardbeg or Hibiki with anyone.

[Alonzo Ewing]

Any update?

[Tzupy]

It would be nice of oda.krell to post a notice about the indicator flipping to red.

I'm not sure why you think his indicator would have changed?

On the scale the indicator uses the market has been basically flat since the change to BTC.

Last time it flipped to red it was in July around the 23rd. I have a count by which the market is now in a similar position.

Latest events suggest that the market was indeed in a similar position. Why didn't the indicator flip yet?
My guess is that since it uses 1d metric, and the market now moves about twice as fast as during June - October, it should use 12h to work as expected
in the current market. Also, in July the flip to red coincided with the flip to red of 3d MACD divergence, which may flip again soon with the current dumps.

[oda.krell]

Nope, no signal change, and resolution is faster than daily. It's just a lagging method, both up and down.

But, yes, starting to look like a bad signal (i.e. sell at a loss). Will update if/when it happens, but looks like those who said not to trust parameters based on such a low number of trades were right.

[sumantso]

First signal, that ends my hopes of sub $300 prices. I am going to wait for a few more days to try and catch any dips.

Whew... for once my tardiness gave me a beneficial output

Below $300 we go?

[N12]

Nope, no signal change, and resolution is faster than daily. It's just a lagging method, both up and down.

But, yes, starting to look like a bad signal (i.e. sell at a loss). Will update if/when it happens, but looks like those who said not to trust parameters based on such a low number of trades were right.

I am always skeptical about magic solutions, but why would you infer that the paramaters are "faulty" for producing one bad signal? Is that not within the realm of possibility of it working satisfactorily?

Unless you backfitted the thing to purely produce the best fitting picture on the past charts (no idea if you did), that's obviously a bad idea.

[sgbett]

SAVE ME ODA!!!!

[oda.krell]

SAVE ME ODA!!!!

I know :/

I failed you and the others. But mainly, you.


Only one honorable thing left to do. Commence Seppuku in 3... 2... 1...



...

Didn't work. Damn you, layer of belly fat.

[NotLambchop]

^Have you covered our shorts yet?   Let's do it now, before we're found out...

[sgbett]

SAVE ME ODA!!!!

I know :/

I failed you and the others. But mainly, you.


Only one honorable thing left to do. Commence Seppuku in 3... 2... 1...

...

Didn't work. Damn you, layer of belly fat.

haha entirely unnecessary (allcaps=lulz). i knew exactly what i was getting myself into. still fine with my entry point. if there is one thing i've learned over the years there was always a better a entry point the flip side to that is *everyone* else all claim to have bought at it ... *glances over at fewcoins*

[Tzupy]

In other words, oda.krell may have built a better bull trap that I could.

I should be more careful with my jokes, sometimes they become true...
OTOH I am grateful to oda.krell for accidentally helping me find a sig that I like.

And I am still waiting for the 3d MACD divergence to turn red, maybe that will trigger oda.krell's signal flip.

[fewcoins]

SAVE ME ODA!!!!

I know :/

I failed you and the others. But mainly, you.


Only one honorable thing left to do. Commence Seppuku in 3... 2... 1...

...

Didn't work. Damn you, layer of belly fat.

haha entirely unnecessary (allcaps=lulz). i knew exactly what i was getting myself into. still fine with my entry point. if there is one thing i've learned over the years there was always a better a entry point the flip side to that is *everyone* else all claim to have bought at it ... *glances over at fewcoins*

Keep glancing at me boo!  I bought a couple hundred coins at 340 & went full leverage around 317~
This has been my target price for short term for a longgggg time & I have posted about it many times! If you're promise you aren't sour from buying since 800, I would say buy more now before the bounce

[sgbett]

I aint sour. Life is too short

That and my average buy in is still way negative

[inca]

Tzupy perhaps you are taking the bearish victory too soon (most unlike you to be bearish, ha!). There has been no confirmation of a signal change from Oda yet.

[oda.krell]

Eh, I'll be the first to admit, tzupy got his bearish victory in any case, unless we only go up from here, which is looking less and less likely tbh. Case in point for EW I guess.

[Ibian]

On the other hand, if a few big players are controlling the direction, what would they want to do? Confuse people, probably. Make a potentially useful new tool look like it failed, make elliomancy look like a scientific procedure etc. Doesn't matter, as long as we are around or above the mining cost everything is solid imo.

[NotLambchop]

On the other hand, if a few big players are controlling the direction, what would they want to do? Confuse people, probably. Make a potentially useful new tool look like it failed, make elliomancy look like a scientific procedure etc. Doesn't matter, as long as we are around or above the mining cost everything is solid imo.

If the nefarious big players exist & manipulate the market,
and if the "useful tool" fails to account for their nefarious acts,
how useful is the tool?

[Cablez]

But can any tool really predict the movements of organized nefarious players? Not likely unless they base their actions on some predetermined market criteria.  If a tool could do this then there wouldn't be many nefarious players as they would be owned.

The usefulness of this signals algorithm will only be apparent after the next bubble peak, if any. So I guess wait and see.

[oda.krell]

Honestly, I regret ever posting this, especially in such a grandiose way ... "Wouldn't it be nice to trade like a whale? Why, now you can!" /Home Shopping Network.

I regret it, not so much because of the (possibly, likely) unprofitable signal it might yield, but because I've been reading up a bit on trading algorithms (nod to r/forex, some excellent posters in there), and it started to dawn on me how incredibly naive I was in writing up this method - first and foremost, for thinking I could avoid the problem that results from a low number of signals produced by the algorithm, and hence low confidence in the algorithm's results, by some handwavy 'independent reasons' that made me confident it is not overfitted.

I'll update, like I said I would, but more out of obligation and to give you guys a chance to make fun of it, like I mentioned on page 1.

[windpath]

This was always presented as an experiment, don't beat yourself up about it... Thanks for sharing and I look forward to future updates....

[keystroke]

Honestly, I regret ever posting this, especially in such a grandiose way ... "Wouldn't it be nice to trade like a whale? Why, now you can!" /Home Shopping Network.

I regret it, not so much because of the (possibly, likely) unprofitable signal it might yield, but because I've been reading up a bit on trading algorithms (nod to r/forex, some excellent posters in there), and it started to dawn on me how incredibly naive I was in writing up this method - first and foremost, for thinking I could avoid the problem that results from a low number of signals produced by the algorithm, and hence low confidence in the algorithm's results, by some handwavy 'independent reasons' that made me confident it is not overfitted.

I'll update, like I said I would, but more out of obligation and to give you guys a chance to make fun of it, like I mentioned on page 1.

Don't feel bad! We were all free to evaluate the risks and the method used to perform the analysis. I for one trusted it because I thought your avatar was a unicorn but now I see it is just a horse with a carrot tied to its head.

[NotLambchop]

...don't beat yourself up about it...

^That.  You didn't mislead anyone.

[okthen]

Honestly, I regret ever posting this, especially in such a grandiose way ... "Wouldn't it be nice to trade like a whale? Why, now you can!" /Home Shopping Network.

I regret it, not so much because of the (possibly, likely) unprofitable signal it might yield, but because I've been reading up a bit on trading algorithms (nod to r/forex, some excellent posters in there), and it started to dawn on me how incredibly naive I was in writing up this method - first and foremost, for thinking I could avoid the problem that results from a low number of signals produced by the algorithm, and hence low confidence in the algorithm's results, by some handwavy 'independent reasons' that made me confident it is not overfitted.

I'll update, like I said I would, but more out of obligation and to give you guys a chance to make fun of it, like I mentioned on page 1.

Well, only time will tell how useful your algorithm is. Anyway, even if this time it means sell at a loss, it may still make you profit enough next time to make the loss irrelevant.

And please don't beat yourself up, because in any case this is once of the most interesting threads in Speculation these days

[oda.krell]

Should probably clarify:

I'm not beating myself up over misleading you guys... I wrote several times saying "it's an experiment". Plus, this board is full of wrong predictions presented with a lot more confidence, so I don't feel guilty in that sense

I am however pissed off at myself because, against my better knowledge, I somehow thought I can get away with the low number of trades over the history, and I plain ignored that I didn't manage to find a way to scale up the frequency like Ryn asked for right in the beginning. Big warning sign.

So, apologies for presenting sloppy methodology and being stubborn about it. That's the point I was trying to make.


EDIT: At its core, the mid-term momentum signal might even hold up. The problem is that the rest of the algorithm treats each of those signals as "new (mini) bubble incoming", based on nothing more than the 6 or so trade pairs it is trained on over gox+stamp's history, so instead of using the reversal of that time scale's momentum as a sell signal, the overall parameters are set to wait for the end of sustained rally that never happened.

[Wary]

Don't feel bad! We were all free to evaluate the risks and the method used to perform the analysis. I for one trusted it because I thought your avatar was a unicorn but now I see it is just a horse with a carrot tied to its head.

The truth even worse than that. It's not even a horse, it's a donkey! How could we be so blind???!!! And now we are ruined!!!        Oda.krell, don't feel bad about it. You are one of most responsible members of this forum and you always supply your hypotheses with tons of warnings. And these hypotheses are really insightful.

EDIT: OK, it's scientific sin you were talking about. Well, you haven't published the article, so the disaster didn't happen.  What's not on paper, doesn't exist.

[oda.krell]

Here we go:

Sell @311 on 2014-12-19

=> USD loss of ~16%


You decide what to do with it. I actually begin to think the signals come in too late (on both entry and exit), and I'm very sure the total no. of signals of this algorithm is simply too low to speak with much confidence about the results. I'm trying to come up with a way to change that, but until then, as promised, I'll update the signals as is, until I manage to scale up the method to yield more data points.

[NotLambchop]

...total no. of signals of this algorithm is simply too low to speak with much confidence about the results...

That's the beauty of long-term trading algorithms--the longer the term, the longer you won't know how useless they are

As opposed to high-frequency troll posters: Plenty of data points to conclude, with high confidence, just exactly how pointless the overall contribution is ^_^

[oda.krell]

...total no. of signals of this algorithm is simply too low to speak with much confidence about the results...

That's the beauty of long-term trading algorithms--the longer the term, the longer you won't know how useless they are

As opposed to high-frequency troll posters: Plenty of data points to conclude, with high confidence, just exactly how pointless the overall contribution is ^_^

Post something else other than brony pics (like entry/exit points for trades, for example), and we'll talk

[bucktotal]

Here we go:

Sell @311 on 2014-12-19

=> USD loss of ~16%


You decide what to do with it. I actually begin to think the signals come in too late (on both entry and exit), and I'm very sure the total no. of signals of this algorithm is simply too low to speak with much confidence about the results. I'm trying to come up with a way to change that, but until then, as promised, I'll update the signals as is, until I manage to scale up the method to yield more data points.

thats interesting. my last buy signal came a couple days earlier than yours, but i haven't flipped down yet. i guess it could happen at any moment. i also wouldn't go into this exercise expecting to get 100% correct signals. you could have a very +EV system being right far less than 50% of the time.

[oda.krell]

Here we go:

Sell @311 on 2014-12-19

=> USD loss of ~16%


You decide what to do with it. I actually begin to think the signals come in too late (on both entry and exit), and I'm very sure the total no. of signals of this algorithm is simply too low to speak with much confidence about the results. I'm trying to come up with a way to change that, but until then, as promised, I'll update the signals as is, until I manage to scale up the method to yield more data points.

thats interesting. my last buy signal came a couple days earlier than yours, but i haven't flipped down yet. i guess it could happen at any moment. i also wouldn't go into this exercise expecting to get 100% correct signals. you could have a very +EV system being right far less than 50% of the time.

Absolutely right what you're saying.

But as I said above, it's not the bad trade that bothers me mainly (there was at least one of those in the backtest as well), but that there are simply too few trades in total. I will probably rewrite the conditions for the initial parameter search and rerun it to increase the trade frequency somewhat, not to the point of HFT, but not quite as few as I got now.

[NotLambchop]

...total no. of signals of this algorithm is simply too low to speak with much confidence about the results...

That's the beauty of long-term trading algorithms--the longer the term, the longer you won't know how useless they are

As opposed to high-frequency troll posters: Plenty of data points to conclude, with high confidence, just exactly how pointless the overall contribution is ^_^

Post something else other than brony pics (like entry/exit points for trades, for example), and we'll talk

I told you the very thing you yourself eventually concluded.  We talked about insufficient data points, maybe in another thread?  Or am I misremembering?

[oda.krell]

^ You did. But to keep with the original analogy, that's one profitable trade out of 1000s

Seriously though:

I'm ready to admit (and just did so above) that my algorithm is a lot more naively constructed than I realized at first, and needs some serious rewriting, but this was/is supposed to be an exercise in providing a signal that captures mid-term swings of the market -  so the real contest is if you can provide a better signal or not (I don't care if its algorithmic or pulled out of one's ass inner monkey).

And in that sense, Tzupy was doing a lot better than you, as he at least suggested that the 320-450 rally would be fully reversed - even though he didn't provide exact entry/exit points either.

[Tzupy]

I think I provided the exit point here:

It would be nice of oda.krell to post a notice about the indicator flipping to red.

I'm not sure why you think his indicator would have changed?

On the scale the indicator uses the market has been basically flat since the change to BTC.

Last time it flipped to red it was in July around the 23rd. I have a count by which the market is now in a similar position.

Also on the 15th, just before the dumps gained momentum:
https://bitcointalk.org/index.php?topic=274613.2300

[NotLambchop]

.@oda.krell, I never gave exact entry/exit points, because it can't be done in this market.  Past year+ market has been a totally different market from the one we all knew & loved.  As in qualitatively different.*  I stopped trading.
What I'm trying to say in too many words is you're wasting time with reading bird entrails to read BTC price.
And now you're asking me to do a better entrail reading than you

*Favorite Stalin quote:  "Quantity is a quality too."

[oda.krell]

I clicked that link and it opened my mail client.

You probably hacked my computer and stole my coinz 

[Tzupy]

I clicked that link and it opened my mail client.

You probably hacked my computer and stole my coinz  

PS. You were replying to NLC, not to me...

[oda.krell]

Nope, I meant lambchop's post. Check his first line, the 'at' symbol he wrote before my username is parsed as a mail link in some browsers I guess.

Wait, I mean: he haxored my Win95 machine and put a virus in my porn folder 

[Wilhelm]

Netscape navigator bugs :')

[sgbett]

Q: So you're claiming every single trade based on signals from your method was profitable?

A: Nope. There were two unprofitable signals, as can be seen in the table above: in 2011, a sell signal came in at 10.75, only to be shortly followed by a buy signal at 11.77, and at the end of 2011 (correction) 2012 sell signal at 10.75 was followed by buy signal at 11.77.

Was there only 1 unprofitable signal?

srsly?

[oda.krell]

Q: So you're claiming every single trade based on signals from your method was profitable?

A: Nope. There were two unprofitable signals, as can be seen in the table above: in 2011, a sell signal came in at 10.75, only to be shortly followed by a buy signal at 11.77, and at the end of 2011 (correction) 2012 sell signal at 10.75 was followed by buy signal at 11.77.

Was there only 1 unprofitable signal?

The exact targets in the OP aren't up to date anymore, those were for the first version of the algorithm. In the backtest of the version I've been using for a while now, there was one trade incurring a real loss (-17% BTC), and another one that was pretty much exactly profit neutral, but under the original assumption ("few trades because of larger position"), that would mean a small loss after probable slippage. Plus the recent 'live' loss (-16% USD), for a grand total of -16% in live profits

[Alonzo Ewing]

It's fine to get a signal that results in a bad trade.  No system is perfect. 

What you want is:

1) More signals that result in good trades than bad ones.
2) The bad signals leading to small losses, and the good signals leading to big gains, relatively.

If you satisfy those two criteria, you'll make a lot of money and probably sleep easy at night doing so.

[sgbett]

There are no bad signals, just bad interpretations

[fewcoins]

There are no bad signals, just bad interpretations

Well said... Who knows if we will see $300 coins again 

[sgbett]

In a hypothetical run up to $10k, people often cite "It doesn't matter if you bought at 300 or 400" and to some degree they are right.

If you bought $1200 of BTC, you end up with $40k or $30k.

Now some people (greed) will lament the $10k they "lost" not catching the bottom, instead of the $28,800 profit they actually made. Anyone lamenting a 24 bagger needs to have a word with themselves, imho. Prior lamentation of this (greed) will cause them to keep waiting, well past the bottom, because they are convinced its going much lower. The longer and higher the run up goes without them relenting the steeper the price they eventually have to pay to get in. Lets say they are shrewd enough to realise that once we hit $900, we probably are on track to bust through the last ATH and do another run up.

So they manage to get in with their $800 for 1.5 BTC They still end up with $15k

All of this is what people think, regularly. What it doesn't take into account, is that once you caught the bottom. To get those theoretical gains, you ave to also time the top. Which is subject to the same forces of fear and greed.

Now if you alone are the "one" that can pick the bottom at $300 and the top at $10k, then you can turn your $1200 into $40k. Never look back and live a happy life.

If you are a typical guy that is too late at the bottom, and have to panic buy on the way up at $800. Then you are too greedy at the top, ride the crash and end up panic selling at 60% discount. You can enjoy turning your $1200 int $9k. A 7 bagger is pretty cool, but those "losses" not having bought at the real bottom and the real top are going to wrankle you. All you'll think about when you are spending your $7800 profit, is those other guys that got lucky and how its so unfair that you never make it out like those other guys.

Thats because you are thinking about dollars whilst looking at the future of money.

I say again don't bet the farm, but please don't be 'trading' like you think you are some kind of Gordon Gecko. You are just a guy(girl) OTI that is lucky enough to have discovered a massive opportunity.

You can try and use it to make a quick buck. Or you can think about how the future might pan out, and what you need to do to make sure that in any of the various scenarios you don't end up being the person the laments how the other guys "got lucky".

I'm an "other guy" and its insulting when people tell me that I got lucky. Holding through massive crashes and not panic selling, continuing to accumulate during downtrends & buying when fear is all around. Carefully skimming during run ups and not panic dumping way before the correction comes in. Managing principle, hedging risk. (Running a business and family finances whilst doing all of it). Fighting strong emotions, making smart decisions for three years now, is somehow lucky? I'm not a trader, or an investor, or anything. I'm just thinking really hard about how I live my life and the decisions I make and how best I don't shoot myself in the face doing something stupid. I was lucky I found bitcoin early, but since then its been all me.

[Ibian]

Hell, the argument that we got "lucky" to find bitcoin earlier than most doesn't even hold up. We didn't hear about it from a tv commercial or a poster somewhere. In my case, it was because I was busy reading about a bunch of other stuff (that happens to be related to bitcoin in various ways). I bet the same is true for many. Simply put, the reason most people don't know about bitcoin and the profits to be made is because they are not interested enough in new knowledge.

[sgbett]

Yeah I agree with that too. In fact I feel I was foolish (I could blame bad luck, but luck is what you make it!) for not taking more decisive action when I first heard about it (nearly set up a CPU miner when you could still CPU mine! but I got distracted and did not come back 'til it was ~$1)

[oda.krell]

It's fine to get a signal that results in a bad trade.  No system is perfect.  

What you want is:

1) More signals that result in good trades than bad ones.
2) The bad signals leading to small losses, and the good signals leading to big gains, relatively.

If you satisfy those two criteria, you'll make a lot of money and probably sleep easy at night doing so.

Point #2 is exactly what I was missing until recently. It dawned on me now that there are two ways to go against losses in principle, not entering the losing trade at all (which is what I "forced" until now), or being more permissive on both entries and exits, but aiming to minimize the losses in the bad cases. So far, my solution to the "Don't sell too early during a bubble" problem was restricting sells by a  longer term filter on the mid term momentum signal, but this wasn't a good idea I realize now. Better to allow a somewhat larger number of trades in total, some of which are highly profitable, and some of which are slightly unprofitable, than to go out of your way to prevent the unprofitable trades.

[oda.krell]

In a hypothetical run up to $10k, people often cite "It doesn't matter if you bought at 300 or 400" and to some degree they are right.

If you bought $1200 of BTC, you end up with $40k or $30k.

Now some people (greed) will lament the $10k they "lost" not catching the bottom, instead of the $28,800 profit they actually made. Anyone lamenting a 24 bagger needs to have a word with themselves, imho. Prior lamentation of this (greed) will cause them to keep waiting, well past the bottom, because they are convinced its going much lower. The longer and higher the run up goes without them relenting the steeper the price they eventually have to pay to get in. Lets say they are shrewd enough to realise that once we hit $900, we probably are on track to bust through the last ATH and do another run up.

So they manage to get in with their $800 for 1.5 BTC They still end up with $15k

All of this is what people think, regularly. What it doesn't take into account, is that once you caught the bottom. To get those theoretical gains, you ave to also time the top. Which is subject to the same forces of fear and greed.

Now if you alone are the "one" that can pick the bottom at $300 and the top at $10k, then you can turn your $1200 into $40k. Never look back and live a happy life.

If you are a typical guy that is too late at the bottom, and have to panic buy on the way up at $800. Then you are too greedy at the top, ride the crash and end up panic selling at 60% discount. You can enjoy turning your $1200 int $9k. A 7 bagger is pretty cool, but those "losses" not having bought at the real bottom and the real top are going to wrankle you. All you'll think about when you are spending your $7800 profit, is those other guys that got lucky and how its so unfair that you never make it out like those other guys.

Thats because you are thinking about dollars whilst looking at the future of money.

I say again don't bet the farm, but please don't be 'trading' like you think you are some kind of Gordon Gecko. You are just a guy(girl) OTI that is lucky enough to have discovered a massive opportunity.

You can try and use it to make a quick buck. Or you can think about how the future might pan out, and what you need to do to make sure that in any of the various scenarios you don't end up being the person the laments how the other guys "got lucky".

I'm an "other guy" and its insulting when people tell me that I got lucky. Holding through massive crashes and not panic selling, continuing to accumulate during downtrends & buying when fear is all around. Carefully skimming during run ups and not panic dumping way before the correction comes in. Managing principle, hedging risk. (Running a business and family finances whilst doing all of it). Fighting strong emotions, making smart decisions for three years now, is somehow lucky? I'm not a trader, or an investor, or anything. I'm just thinking really hard about how I live my life and the decisions I make and how best I don't shoot myself in the face doing something stupid. I was lucky I found bitcoin early, but since then its been all me.

Wise words, as usual.

That said, this is the speculation subforum, and this thread is about my attempt to do something more or less impossible (a solid trading algorithm with as little trade signals as possible) so GTFO you hippie

[snowdropfore]

Yeah I agree with that too. In fact I feel I was foolish (I could blame bad luck, but luck is what you make it!) for not taking more decisive action when I first heard about it (nearly set up a CPU miner when you could still CPU mine! but I got distracted and did not come back 'til it was ~$1)

you are so lucky that the bitcoin is 1 dollar ,when i knew about bitcoin ,it was 90 dollars.

[windpath]

Fighting strong emotions, making smart decisions for three years now, is somehow lucky? I'm not a trader, or an investor, or anything. I'm just thinking really hard about how I live my life and the decisions I make and how best I don't shoot myself in the face doing something stupid. I was lucky I found bitcoin early, but since then its been all me.

Well said.

[sgbett]

In a hypothetical run up to $10k, people often cite "It doesn't matter if you bought at 300 or 400" and to some degree they are right.

If you bought $1200 of BTC, you end up with $40k or $30k.

Now some people (greed) will lament the $10k they "lost" not catching the bottom, instead of the $28,800 profit they actually made. Anyone lamenting a 24 bagger needs to have a word with themselves, imho. Prior lamentation of this (greed) will cause them to keep waiting, well past the bottom, because they are convinced its going much lower. The longer and higher the run up goes without them relenting the steeper the price they eventually have to pay to get in. Lets say they are shrewd enough to realise that once we hit $900, we probably are on track to bust through the last ATH and do another run up.

So they manage to get in with their $800 for 1.5 BTC They still end up with $15k

All of this is what people think, regularly. What it doesn't take into account, is that once you caught the bottom. To get those theoretical gains, you ave to also time the top. Which is subject to the same forces of fear and greed.

Now if you alone are the "one" that can pick the bottom at $300 and the top at $10k, then you can turn your $1200 into $40k. Never look back and live a happy life.

If you are a typical guy that is too late at the bottom, and have to panic buy on the way up at $800. Then you are too greedy at the top, ride the crash and end up panic selling at 60% discount. You can enjoy turning your $1200 int $9k. A 7 bagger is pretty cool, but those "losses" not having bought at the real bottom and the real top are going to wrankle you. All you'll think about when you are spending your $7800 profit, is those other guys that got lucky and how its so unfair that you never make it out like those other guys.

Thats because you are thinking about dollars whilst looking at the future of money.

I say again don't bet the farm, but please don't be 'trading' like you think you are some kind of Gordon Gecko. You are just a guy(girl) OTI that is lucky enough to have discovered a massive opportunity.

You can try and use it to make a quick buck. Or you can think about how the future might pan out, and what you need to do to make sure that in any of the various scenarios you don't end up being the person the laments how the other guys "got lucky".

I'm an "other guy" and its insulting when people tell me that I got lucky. Holding through massive crashes and not panic selling, continuing to accumulate during downtrends & buying when fear is all around. Carefully skimming during run ups and not panic dumping way before the correction comes in. Managing principle, hedging risk. (Running a business and family finances whilst doing all of it). Fighting strong emotions, making smart decisions for three years now, is somehow lucky? I'm not a trader, or an investor, or anything. I'm just thinking really hard about how I live my life and the decisions I make and how best I don't shoot myself in the face doing something stupid. I was lucky I found bitcoin early, but since then its been all me.

Wise words, as usual.

That said, this is the speculation subforum, and this thread is about my attempt to do something more or less impossible (a solid trading algorithm with as little trade signals as possible) so GTFO you hippie

I don't see it as being particularly unsuccessful. It seemed serendipitous that your signal came green right around the time i felt things were getting bloody, so I just went ahead and bought. My nose for blood is a bit like a shark though, in that its usually overly keen so its not surprising that i ended up being a bit early. I'll hold on for now, despite the looming threat of a shocking retest of the $266 ATH. Which interestingly is so "unexpected" that almost everyone is expecting it and hence I think it will not happen. (absolutely identical to the sentiment when we were at $2 and everyone on the board was waiting to pick up sub $2 coins - me included).

This most recent purchase will just be added to the long list of buys that I've made too early and at too high a price during this prolonged bear market. (A list that is starting to very much resemble the one during the collapse from $32 where I bought back in early and high several times all the way down to $5).

I'm watching to see when your signal flips again. If we do something truly unexpected (say a total collapse back into double digits for final capitulation, solid end to to the big wave count, and textbook reversal spike down) it would be interesting to see if your signal manages to flip back in time to get a better entry point than $311.

It will also be interesting to see how quickly your sell signal comes in the hypothetical $10k situation, and how much better (if any) your indicator does than my "typical guy" seeing 7500% profits panic buying/selling during a 30,000% bubble.

I think you are still well positioned to get a better entry/exit than that guy, and even with this small loss recently will probably end up doing better.

I'm not trading my way to riches, so it will likely outperform me I'm just holding forever*, accumulating more BTC when I have $$ that I can afford to lose and hedging against BTC collapse by raking back a bit of $$ when things go crazy.

Taleb knows what I'm doing though

*morpheus meme disclaimer

[oda.krell]

I don't see it as being particularly unsuccessful. It seemed serendipitous that your signal came green right around the time i felt things were getting bloody, so I just went ahead and bought. My nose for blood is a bit like a shark though, in that its usually overly keen Smiley so its not surprising that i ended up being a bit early. I'll hold on for now, despite the looming threat of a shocking retest of the $266 ATH. Which interestingly is so "unexpected" that almost everyone is expecting it and hence I think it will not happen. (absolutely identical to the sentiment when we were at $2 and everyone on the board was waiting to pick up sub $2 coins - me included).

This is one of the observations I made during the last year that is still puzzling me. Many of the "old hands" (let's say, registration 2012 and before) seem to have a very keen nose for the market state in general terms.

I'm not talking about the most general intuition, the 'in retrospect, any price turns out to be a good price per coin on a long enough horizon' idea. I share that one, but it's more of a shared hope we have here, but it hasn't been tested that much yet.

I mean a more specific one: the one where the legendary (previously: hero) members have a pretty good feel for when the market is about to turn, both towards 'hopeless, prepare for a serious correction' but also at the other end, 'don't expect that much panic anymore'. It's not universally shared among that class of members of course (some are almost always too bullish, some almost always too bearish), but a good number of the old members that I follow seem to be able to get a rough reading on what the state of the market is.

No deeper insight I can offer. Just something I believe to have noticed.

[Coinshot]

Yeah I agree with that too. In fact I feel I was foolish (I could blame bad luck, but luck is what you make it!) for not taking more decisive action when I first heard about it (nearly set up a CPU miner when you could still CPU mine! but I got distracted and did not come back 'til it was ~$1)

you are so lucky that the bitcoin is 1 dollar ,when i knew about bitcoin ,it was 90 dollars.

Thats the lesson there, even if you had bought in at 90 you would have had more than 10 times in profit in the last rally, or still 3x if you are holding.

[Wary]

This is one of the observations I made during the last year that is still puzzling me. Many of the "old hands" (let's say, registration 2012 and before) seem to have a very keen nose for the market state in general terms.

I'm not talking about the most general intuition, the 'in retrospect, any price turns out to be a good price per coin on a long enough horizon' idea. I share that one, but it's more of a shared hope we have here, but it hasn't been tested that much yet.

I mean a more specific one: the one where the legendary (previously: hero) members have a pretty good feel for when the market is about to turn, both towards 'hopeless, prepare for a serious correction' but also at the other end, 'don't expect that much panic anymore'. It's not universally shared among that class of members of course (some are almost always too bullish, some almost always too bearish), but a good number of the old members that I follow seem to be able to get a rough reading on what the state of the market is.

No deeper insight I can offer. Just something I believe to have noticed.

Possible explanations:

1. The key is brains. Early accepters are smarter, in general. To invent bitcoin you have to be very very smart, to understand and appreciate you have to be very smart, and so on.
2. The key is knowledge. For the 4 years of trading they've became B.Sc of trading.
3. The key is managing your emotions. For 4 years they got enough emotional experience to be able to control them.
4. The key is natural talent. 4 years of natural selection took ones with it. The rest is broken or just left the forum.

Well. Heaps of versions and no idea which one to chose. Just like with trading. There always a lot of plausible theories about why the price must go up and lot - about why it must go down. And I always choose wrong one  

[sgbett]

This is one of the observations I made during the last year that is still puzzling me. Many of the "old hands" (let's say, registration 2012 and before) seem to have a very keen nose for the market state in general terms.

I'm not talking about the most general intuition, the 'in retrospect, any price turns out to be a good price per coin on a long enough horizon' idea. I share that one, but it's more of a shared hope we have here, but it hasn't been tested that much yet.

I mean a more specific one: the one where the legendary (previously: hero) members have a pretty good feel for when the market is about to turn, both towards 'hopeless, prepare for a serious correction' but also at the other end, 'don't expect that much panic anymore'. It's not universally shared among that class of members of course (some are almost always too bullish, some almost always too bearish), but a good number of the old members that I follow seem to be able to get a rough reading on what the state of the market is.

No deeper insight I can offer. Just something I believe to have noticed.

Possible explanations:

1. The key is brains. Early accepters are smarter, in general. To invent bitcoin you have to be very very smart, to understand and appreciate you have to be very smart, and so on.
2. The key is knowledge. For the 4 years of trading they've became B.Sc of trading.
3. The key is managing your emotions. For 4 years they got enough emotional experience to be able to control them.
4. The key is natural talent. 4 years of natural selection took ones with it. The rest is broken or just left the forum.

Well. Heaps of versions and no idea which one to chose. Just like with trading. There always a lot of plausible theories about why the price must go up and lot - about why it must go down. And I always choose wrong one  

I'd take a little from column 3, with a prior 10 years of learning the hard way about trading on other markets.

[oda.krell]

Possible suggestion #5

Our brain is the original neural network. More data for training (usually) means better results of the trained network. Legendary members simply had the most exposure to market behavior over time, hence more training than the rest of us.

[BldSwtTrs]

Possible suggestion #5

Our brain is the original neural network. More data for training (usually) means better results of the trained network. Legendary members simply had the most exposure to market behavior over time, hence more training than the rest of us.

How is this different from #2?

Is knowledge something else than an efficient configuration of neurons?

[oda.krell]

Possible suggestion #5

Our brain is the original neural network. More data for training (usually) means better results of the trained network. Legendary members simply had the most exposure to market behavior over time, hence more training than the rest of us.

How is this different from #2?

Is knowledge something else than an efficient configuration of neurons?

Can be seen the same, I guess. 'Knowledge' and 'BSc' usually implies you put in hard work, maybe even a spark of talent being present. I was more thinking of the pure 'exposure over a long time' aspect, but maybe that's what wary had in mind as well.

[BldSwtTrs]

Possible suggestion #5

Our brain is the original neural network. More data for training (usually) means better results of the trained network. Legendary members simply had the most exposure to market behavior over time, hence more training than the rest of us.

How is this different from #2?

Is knowledge something else than an efficient configuration of neurons?

Can be seen the same, I guess. 'Knowledge' and 'BSc' usually implies you put in hard work, maybe even a spark of talent being present. I was more thinking of the pure 'exposure over a long time' aspect, but maybe that's what wary had in mind as well.

It's interesting. I guess we could say that the difference could be that #2 is a process of conscious acquisition of knowledge and #5 a process of unconscious acquisition of a knowledge.
And at the end of these process though, it's probable knowledge end up being unconscious in both cases.

[mmitech]

I still think that there is a good chance that we are heading slowly to double digits... and I wont buy a single Bitcoin before that, I wont regret my decision if I "miss" the train, simply because if Bitcoin will succeed and become widely used then it really doesn't matter when will you buy, in fact it will be even better safer and more profitable to buy later when there is a clear picture about its use.

[NotHatinJustTrollin]

I still think that Bitcoin will hit double digits, it will be just slow and painful path for many of you here, I will ride the ship only when most of you delusional cultists and get rich kids abandon it....

I still think that there is a good chance that we are heading slowly to double digits... and I wont buy a single Bitcoin before that, I wont regret my decision if I "miss" the train, simply because if Bitcoin will succeed and become widely used then it really doesn't matter when will you buy, in fact it will be even better safer and more profitable to buy later when there is a clear picture about its use.

Mmmh.

So you are talking about "delusional greedy kids" wanting to get rich quick buying now, but you wanna do the same and "catch the train", only lower.


You are no different from the delusional bulls you are currently laughing at, mate.

[mmitech]

I still think that Bitcoin will hit double digits, it will be just slow and painful path for many of you here, I will ride the ship only when most of you delusional cultists and get rich kids abandon it....

I still think that there is a good chance that we are heading slowly to double digits... and I wont buy a single Bitcoin before that, I wont regret my decision if I "miss" the train, simply because if Bitcoin will succeed and become widely used then it really doesn't matter when will you buy, in fact it will be even better safer and more profitable to buy later when there is a clear picture about its use.

Mmmh.

So you are talking about "delusional greedy kids" wanting to get rich quick buying now, but you wanna do the same and "catch the train", only lower.


You are no different from the delusional bulls you are currently laughing at, mate.

Yes, I am different.

[inca]

I still think that Bitcoin will hit double digits, it will be just slow and painful path for many of you here, I will ride the ship only when most of you delusional cultists and get rich kids abandon it....

I still think that there is a good chance that we are heading slowly to double digits... and I wont buy a single Bitcoin before that, I wont regret my decision if I "miss" the train, simply because if Bitcoin will succeed and become widely used then it really doesn't matter when will you buy, in fact it will be even better safer and more profitable to buy later when there is a clear picture about its use.

Mmmh.

So you are talking about "delusional greedy kids" wanting to get rich quick buying now, but you wanna do the same and "catch the train", only lower.


You are no different from the delusional bulls you are currently laughing at, mate.

Yes, I am different.

Unemployed and more bitter?

[mmitech]

I still think that Bitcoin will hit double digits, it will be just slow and painful path for many of you here, I will ride the ship only when most of you delusional cultists and get rich kids abandon it....

I still think that there is a good chance that we are heading slowly to double digits... and I wont buy a single Bitcoin before that, I wont regret my decision if I "miss" the train, simply because if Bitcoin will succeed and become widely used then it really doesn't matter when will you buy, in fact it will be even better safer and more profitable to buy later when there is a clear picture about its use.

Mmmh.

So you are talking about "delusional greedy kids" wanting to get rich quick buying now, but you wanna do the same and "catch the train", only lower.


You are no different from the delusional bulls you are currently laughing at, mate.

Yes, I am different.

Unemployed and more bitter?

everything going as planned so far...soon I will be almost 1 year home, I must say that it was the best year so far, achieved many things that would take years if I worked in a big boring corporate like the one I used to work for, again thanks to Bitcoin and the wise decisions I took... some us knew when to take profits


now back to topic.

[pa]

This is one of the observations I made during the last year that is still puzzling me. Many of the "old hands" (let's say, registration 2012 and before) seem to have a very keen nose for the market state in general terms.

I'm not talking about the most general intuition, the 'in retrospect, any price turns out to be a good price per coin on a long enough horizon' idea. I share that one, but it's more of a shared hope we have here, but it hasn't been tested that much yet.

I mean a more specific one: the one where the legendary (previously: hero) members have a pretty good feel for when the market is about to turn, both towards 'hopeless, prepare for a serious correction' but also at the other end, 'don't expect that much panic anymore'. It's not universally shared among that class of members of course (some are almost always too bullish, some almost always too bearish), but a good number of the old members that I follow seem to be able to get a rough reading on what the state of the market is.

No deeper insight I can offer. Just something I believe to have noticed.

Possible explanations:

1. The key is brains. Early accepters are smarter, in general. To invent bitcoin you have to be very very smart, to understand and appreciate you have to be very smart, and so on.
2. The key is knowledge. For the 4 years of trading they've became B.Sc of trading.
3. The key is managing your emotions. For 4 years they got enough emotional experience to be able to control them.
4. The key is natural talent. 4 years of natural selection took ones with it. The rest is broken or just left the forum.

Well. Heaps of versions and no idea which one to chose. Just like with trading. There always a lot of plausible theories about why the price must go up and lot - about why it must go down. And I always choose wrong one  

Re: #1, it would be interesting to administer an IQ test to all bitcointalk participants and correlate with date of account registration. Or, does anyone know of a script to estimate IQ from forum posts?

[Ibian]

This is one of the observations I made during the last year that is still puzzling me. Many of the "old hands" (let's say, registration 2012 and before) seem to have a very keen nose for the market state in general terms.

I'm not talking about the most general intuition, the 'in retrospect, any price turns out to be a good price per coin on a long enough horizon' idea. I share that one, but it's more of a shared hope we have here, but it hasn't been tested that much yet.

I mean a more specific one: the one where the legendary (previously: hero) members have a pretty good feel for when the market is about to turn, both towards 'hopeless, prepare for a serious correction' but also at the other end, 'don't expect that much panic anymore'. It's not universally shared among that class of members of course (some are almost always too bullish, some almost always too bearish), but a good number of the old members that I follow seem to be able to get a rough reading on what the state of the market is.

No deeper insight I can offer. Just something I believe to have noticed.

Possible explanations:

1. The key is brains. Early accepters are smarter, in general. To invent bitcoin you have to be very very smart, to understand and appreciate you have to be very smart, and so on.
2. The key is knowledge. For the 4 years of trading they've became B.Sc of trading.
3. The key is managing your emotions. For 4 years they got enough emotional experience to be able to control them.
4. The key is natural talent. 4 years of natural selection took ones with it. The rest is broken or just left the forum.

Well. Heaps of versions and no idea which one to chose. Just like with trading. There always a lot of plausible theories about why the price must go up and lot - about why it must go down. And I always choose wrong one  

Re: #1, it would be interesting to administer an IQ test to all bitcointalk participants and correlate with date of account registration. Or, does anyone know of a script to estimate IQ from forum posts?

No such thing exists, and you should probably be glad about that.

[piramida]

I still think that there is a good chance that we are heading slowly to double digits...

Very soon we will be retesting the long term exponential trend line, which crosses $300 somewhere around start of February. If we stay below 300 in Feb, then yeah, all bets are off and anything can happen, even maybe double digits (although you'd have to have balls of steel to buy bitcoin at double digits in 2015 - it would surely mean at least 10-year long depression of price or even total loss of faith in recovery).

However, as something much more realistic, I'd predict a strong rebound off that support in the end of January, as it happened three times already (in 2011, 2012 and 2013)

[sgbett]

This is one of the observations I made during the last year that is still puzzling me. Many of the "old hands" (let's say, registration 2012 and before) seem to have a very keen nose for the market state in general terms.

I'm not talking about the most general intuition, the 'in retrospect, any price turns out to be a good price per coin on a long enough horizon' idea. I share that one, but it's more of a shared hope we have here, but it hasn't been tested that much yet.

I mean a more specific one: the one where the legendary (previously: hero) members have a pretty good feel for when the market is about to turn, both towards 'hopeless, prepare for a serious correction' but also at the other end, 'don't expect that much panic anymore'. It's not universally shared among that class of members of course (some are almost always too bullish, some almost always too bearish), but a good number of the old members that I follow seem to be able to get a rough reading on what the state of the market is.

No deeper insight I can offer. Just something I believe to have noticed.

Possible explanations:

1. The key is brains. Early accepters are smarter, in general. To invent bitcoin you have to be very very smart, to understand and appreciate you have to be very smart, and so on.
2. The key is knowledge. For the 4 years of trading they've became B.Sc of trading.
3. The key is managing your emotions. For 4 years they got enough emotional experience to be able to control them.
4. The key is natural talent. 4 years of natural selection took ones with it. The rest is broken or just left the forum.

Well. Heaps of versions and no idea which one to chose. Just like with trading. There always a lot of plausible theories about why the price must go up and lot - about why it must go down. And I always choose wrong one  

Re: #1, it would be interesting to administer an IQ test to all bitcointalk participants and correlate with date of account registration. Or, does anyone know of a script to estimate IQ from forum posts?

No such thing exists, and you should probably be glad about that.

2015 is looking like the year that nematode registration goes through the roof!

[oda.krell]

Guys! Back on topic please!!! 

We're here to discuss black box, underperforming trading algorithms with stupid names, not nematode registration.

"nematode registration"... *snort*

[pa]

What kind of signals have you been getting from your LazyWhale algorithm?

[sgbett]

I second that... if its flipped again and says "buy now" then I think its on to a winner

[oda.krell]

Easy on the Hopium, guys

I relaxed the conditions of the algorithm a bit to get slightly more signals overall to counter the sparsity of trades problem that was rightfully pointed out by Ryn and Lambchop among others - but even then, no change in signals yet. Still says 'USD', from the previous 300s signal, (EDIT) with no signals in between.

[sgbett]

That indicator be one tough mistress.

[RyNinDaCleM]

Easy on the Hopium, guys

I relaxed the conditions of the algorithm a bit to get slightly more signals overall to counter the sparsity of trades problem that was rightfully pointed out by Ryn and Lambchop among others - but even then, no change in signals yet. Still says 'USD', from the previous 300s signal, (EDIT) with no signals in between.

Well, it got the short side right. 
I'm sure this will be like any indicator, "Holy Grail" indicators included. When it's good, it's great but it can't always be good either. There are too many possibilities in market actions/patterns to account for them all. So it's to be expected to have some bad signals. I'm sure you will find what ye seek

[oda.krell]

Easy on the Hopium, guys

I relaxed the conditions of the algorithm a bit to get slightly more signals overall to counter the sparsity of trades problem that was rightfully pointed out by Ryn and Lambchop among others - but even then, no change in signals yet. Still says 'USD', from the previous 300s signal, (EDIT) with no signals in between.

Well, it got the short side right.  
I'm sure this will be like any indicator, "Holy Grail" indicators included. When it's good, it's great but it can't always be good either. There are too many possibilities in market actions/patterns to account for them all. So it's to be expected to have some bad signals. I'm sure you will find what ye seek

Completely agreed on the second line... original post (on page 1) is kind of cringeworthy when I re-read it now (but I left it unchanged ). Very much "I have found the holy grail" style post...

I am however getting a clearer idea of what I'm actually doing with my signal combination. There always seems to be some trade-off between trading styles, and another way to look at the signal I am aiming for can maybe be summarized as follows: "During bear markets, stay approximately USD neutral. During bull markets, aim for maximal USD profits."

It's not encoded like that of course, but I think that's essentially what I'm looking for. In principle, if BTC would enter a 20 bear year market, trades based on the signal could well be losing USD value as well (just at a much slower rate than market, ideally). It is after all based on the premise that, eventually, there will be another BTC bull market (and as such is unsuited for the most hardened bears crypto skeptics trolls Notlambchop )

[oda.krell]

Alright. Initially, when people asked how the algorithm works internally, I refused to specify it any further. Now that nobody cares anymore, here's the basic idea ^_^

Note: I'm not going to fill in the exact numerical parameters of the the technical/indicator signals. No need to encourage frontrunning. But in principle, with the details I'm about to give, you could find your own (and probably very similar) parameters by training the individual parts over the market data that is the same for everyone.

The trade signals of this algorithm are a complex condition based on three technical signals.

Signal #1, the "main" signal, is a medium term momentum signal. Think "daily EMA20+10 crossover", but the average I use is instead a Hull type average (and the parameters are obviously not 20/10).

Important to note here: signal #1 is symmetric wrt 'buy' and 'sell'.

If used alone, signal #1 is profitable over the global bitcoin history (GX, BS, BF), and roughly uniformly profitable as well. However, it yields slightly too many trades, and tends to sell too early during major rallies. So, it is not the desired signal yet that only sells when it really has to.

Signal #2 is a short-term momentum signal. It acts as a filter applied to #1. Think of it as an "optimal entry/exit" filter. It cannot initiate additional trades by itself, it can only delay a trade based on signal #1. It is basically capturing the idea: if the medium term is up, but the short term is drastically down, better wait a bit before you buy (similar for delaying a sell trade). Signal #2 is buy/sell symmetric as well, and I don't really think it is problematic (also, leaving it out doesn't change the results from a pure signal #1 strategy much).

Signal #3 is the tricky one. You could call it the "bubble filter". Just like #2, it doesn't do anything other than (possibly) delay signals coming from #1, i.e. it doesn't add to the total number of trade signals but only *reduces* them under certain conditions.

It defines certain market conditions (think: long term momentum) to be so strongly bullish that a mid-term momentum signal from #1 that says 'sell' should be ignored for the moment, until either the mid term is up again, or the market condition becomes less bullish, in which case the 'sell' goes through.

And here's the tricky bit. Signal #3 is not buy/sell symmetric. It only delays 'sell' trades, but not 'buy' trades, in case the long term momentum is flipped around

I know. That buy/sell asymmetry is a big violation of all that is holy in algorithmic trading. Reeks of overfitting.

Still, given the history of the Bitcoin market so far, I can see some justification for it. It works well for 2011, 2012, 2013. In 2014, it still works well enough for the first half, but from then on, it's not really justified anymore.

I guess it all depends now if Bitcoin will ever go through a significant bull market again, and when. Let's say it does ("Bitcoin is dead" users need not reply :D). That still doesn't mean that the exact parameters of the "bubble filter" are optimal, but it's probably not going to be the millstone around the algorithms neck that it is right now, delaying sell signals when it really shouldn't.

In a way, I'm making a human choice for my algorithmic method here: the assumption, that in the long run, it is better to err on the side of buying than on the side of selling - a choice that is justified by the global history of the market, but not by the more local one.

Comments welcome.

[NotLambchop]

^I see what you did there...



Nope, still not gonna work

[mmitech]

Alright. Initially, when people asked how the algorithm works internally, I refused to specify it any further. Now that nobody cares anymore, here's the basic idea ^_^

Note: I'm not going to fill in the exact numerical parameters of the the technical/indicator signals. No need to encourage frontrunning. But in principle, with the details I'm about to give, you could find your own (and probably very similar) parameters by training the individual parts over the market data that is the same for everyone.

The trade signals of this algorithm are a complex condition based on three technical signals.

Signal #1, the "main" signal, is a medium term momentum signal. Think "daily EMA20+10 crossover", but the average I use is instead a Hull type average (and the parameters are obviously not 20/10).

Important to note here: signal #1 is symmetric wrt 'buy' and 'sell'.

If used alone, signal #1 is profitable over the global bitcoin history (GX, BS, BF), and roughly uniformly profitable as well. However, it yields slightly too many trades, and tends to sell too early during major rallies. So, it is not the desired signal yet that only sells when it really has to.

Signal #2 is a short-term momentum signal. It acts as a filter applied to #1. Think of it as an "optimal entry/exit" filter. It cannot initiate additional trades by itself, it can only delay a trade based on signal #1. It is basically capturing the idea: if the medium term is up, but the short term is drastically down, better wait a bit before you buy (similar for delaying a sell trade). Signal #2 is buy/sell symmetric as well, and I don't really think it is problematic (also, leaving it out doesn't change the results from a pure signal #1 strategy much).

Signal #3 is the tricky one. You could call it the "bubble filter". Just like #2, it doesn't do anything other than (possibly) delay signals coming from #1, i.e. it doesn't add to the total number of trade signals but only *reduces* them under certain conditions.

It defines certain market conditions (think: long term momentum) to be so strongly bullish that a mid-term momentum signal from #1 that says 'sell' should be ignored for the moment, until either the mid term is up again, or the market condition becomes less bullish, in which case the 'sell' goes through.

And here's the tricky bit. Signal #3 is not buy/sell symmetric. It only delays 'sell' trades, but not 'buy' trades, in case the long term momentum is flipped around

I know. That buy/sell asymmetry is a big violation of all that is holy in algorithmic trading. Reeks of overfitting.

Still, given the history of the Bitcoin market so far, I can see some justification for it. It works well for 2011, 2012, 2013. In 2014, it still works well enough for the first half, but from then on, it's not really justified anymore.

I guess it all depends now if Bitcoin will ever go through a significant bull market again, and when. Let's say it does ("Bitcoin is dead" users need not reply ). That still doesn't mean that the exact parameters of the "bubble filter" are optimal, but it's probably not going to be the millstone around the algorithms neck that it is right now, delaying sell signals when it really shouldn't.

In a way, I'm making a human choice for my algorithmic method here: the assumption, that in the long run, it is better to err on the side of buying than on the side of selling - a choice that is justified by the global history of the market, but not by the more local one.

Comments welcome.

Can I take a look at the code ? maybe if you upload it on Github you will get some contribution which will help make it work better algorithm ?

[oda.krell]

Can I take a look at the code ? maybe if you upload it on Github you will get some contribution which will help make it work better algorithm ?

Thanks, but the code is fine, I'm pretty sure. Nothing complicated either. It's about the filtering condition #3. Is there any justification to asymmetrically delay sells but not buys. Generally, the answer is no. I do it anyway, cause on a long enough time frame I'm bitcoin bullish, I guess.

[oda.krell]

Harsh, man. I'm not exactly claiming to have invented a perpetuum mobile of trading. In fact, the engine's kind of sputtering right now

[NotLambchop]

^Just meant that (at first glance) it seemed to be overly complex.  Didn't fully grasp what you were trying to do, though.  It would probably be a bit easier if you posted something like pseudocode, like mmitech suggested.

[oda.krell]

^ Right. Good point.


average-fast = f(x)
average-fast-sig = f'(x)

average-mid = g(x)
average-mid-sig = g'(x)

average-slow = h(x)
average-slow-sig = h'(x)

sig-1 := if average-mid > average-mid-sig, buy. if average-mid < average-mid-sig, sell.

sig-2 := if average-fast > average-fast-sig, buy. if average-fast < average-fast-sig, sell.

sig-3 := if average-slow < average-slow-sig, sell.

trade-signal := if sig-1 == sig-2 == sig-3 == sell, sell. if sig-1 == sig-2 == buy, buy. o/w, do nothing.


To be clear, the final trades are based on the combined 'trade-signal' condition.

[mmitech]

^ Right. Good point.


average-fast = f(x)
average-fast-sig = f'(x)

average-mid = g(x)
average-mid-sig = g'(x)

average-slow = h(x)
average-slow-sig = h'(x)

sig-1 := if average-mid > average-mid-sig, buy. if average-mid < average-mid-sig, sell.

sig-2 := if average-fast > average-fast-sig, buy. if average-fast < average-fast-sig, sell.

sig-3 := if average-slow < average-slow-sig, sell.

trade-signal := if sig-1 == sig-2 == sig-3 == sell, sell. if sig-1 == sig-2 == buy, buy. o/w, do nothing.


To be clear, the final trades are based on the combined 'trade-signal' condition.

ah OK, so it is not a code, it is kind of a logic you have there, and do you daily pull the data and calculate it manually? if yes, then where from and how do you get that data?

[oda.krell]

^ Right. Good point.


average-fast = f(x)
average-fast-sig = f'(x)

average-mid = g(x)
average-mid-sig = g'(x)

average-slow = h(x)
average-slow-sig = h'(x)

sig-1 := if average-mid > average-mid-sig, buy. if average-mid < average-mid-sig, sell.

sig-2 := if average-fast > average-fast-sig, buy. if average-fast < average-fast-sig, sell.

sig-3 := if average-slow < average-slow-sig, sell.

trade-signal := if sig-1 == sig-2 == sig-3 == sell, sell. if sig-1 == sig-2 == buy, buy. o/w, do nothing.


To be clear, the final trades are based on the combined 'trade-signal' condition.

ah OK, so it is not a code, it is kind of a logic you have, and do you daily pull the data and calculate it manually? if yes, then where from and how do you get that data?

The above is just the pseudocode because Lambchop thought it'd be easier to understand. It is not calculated "by hand", if that's what you mean.

Based on the regular exchange data, like the one you can get from sierrachart, tradingview, or bitcoincharts. Nothing proprietary or secret.

[Biodom]

Guys! Back on topic please!!! 

We're here to discuss black box, underperforming trading algorithms with stupid names, not nematode registration.

"nematode registration"... *snort*

don't you curse nematodes. They are an important genetics model organism (C. elegans), from which much was learned about aging, development, etc...

[bucktotal]

my lazy-whale signal flipped up again this am.

[oda.krell]

^ Remarkably similar then. Mine is getting close as well, but I decided not to post "predictions of signal changes" anymore... I'll update if and when it flips, that's prediction-y enough

[bucktotal]

i think last time i was a little ahead of you on the upswing as well. but i think i was a little later on the downswing. my last lazy-whale trade was also ~ -15% or so. doesn't matter. small losing trades and big winning trades is what the lazy-whale strives for imo 

[oda.krell]

Right, I remember your post from last time now.

Alright, so now I'm actually interested what's going on ... if you don't mind the question (and I sure can't complain if you do, after being pretty mum about my own algorithm initially as well ), are you using a similar logic like I do for my signal (as in: asymmetric sell condition to account for Bitcoin's "bubbles"), or something entirely different?

[bucktotal]

Right, I remember your post from last time now.

Alright, so now I'm actually interested what's going on ... if you don't mind the question (and I sure can't complain if you do, after being pretty mum about my own algorithm initially as well ), are you using a similar logic like I do for my signal (as in: asymmetric sell condition to account for Bitcoin's "bubbles"), or something entirely different?

my method is fairly simple (similar to a 10/21 crossover) and im happy to share as much about it as you do about yours. i have no asymmetric conditions, just sliding window boxcar smoothing.

[inca]

Please post both your indicator changes on the forum.

[uvwvj]

Right, I remember your post from last time now.

Alright, so now I'm actually interested what's going on ... if you don't mind the question (and I sure can't complain if you do, after being pretty mum about my own algorithm initially as well ), are you using a similar logic like I do for my signal (as in: asymmetric sell condition to account for Bitcoin's "bubbles"), or something entirely different?

my method is fairly simple (similar to a 10/21 crossover) and im happy to share as much about it as you do about yours. i have no asymmetric conditions, just sliding window boxcar smoothing.

 

[ssmc2]

Right, I remember your post from last time now.

Alright, so now I'm actually interested what's going on ... if you don't mind the question (and I sure can't complain if you do, after being pretty mum about my own algorithm initially as well ), are you using a similar logic like I do for my signal (as in: asymmetric sell condition to account for Bitcoin's "bubbles"), or something entirely different?

my method is fairly simple (similar to a 10/21 crossover) and im happy to share as much about it as you do about yours. i have no asymmetric conditions, just sliding window boxcar smoothing.

Like this?

[Wandererfromthenorth]

OP:


I think what you wanted to do was a good idea (profiting as much as possible from bitcoin's price behaviour but integrating trading into the mix but with the least effort (aka fewer trades possible)), but the actual implementation might not be the best one.

First of all it is based on assumptions that should not be taken for granted:

"(1) Bitcoin can experience massive gains in very short time, so by default, your position should be long.

(2) However, if there is a very clear trend reversal to the downside, sell.

(3) If you sold too early (into a downtrend that didn't manifest), don't hesitate to buy back at a small loss if necessary, because: see (1) above."


A trader should not be biased, for all he knows, bitcoin is a bubble that might continue to crash once it actually bursts. So the "favour a long position" strategy might work as long as bitcoin is in "pump mode", until it doesn't (the "dump mode"). A trader should only focus on the chart, it should tell him all he needs to know.

I think you should just forget about algorithms and complicated indicators and just trade with very basic TA tools like triangles and trend lines (on high time frames only, considering you want to minimise effort as a trader) depending on how much effort you want to put in the "trading part" of the investment strategy (if you want to incorporate short selling or not, how many trades do you want do perform every a month/every few months, etc).


Instead of "LazyWhale algorithm", it would just be the "LazyWhale strategy".

An example using 2013-2014:



Most of these is what I actually did in my trading (while shorting on the downside instead of just holding USD) and posted them here (as others have, it's just to say that it's not just hindsight ), playing smaller waves too tho (it depends how "Lazy" you want your "LazyWhale" to be).


If you use complicated indicators and such, your "buy signal" might be a mistake and you might buy at a top. You should instead use simple trade setups like "buy the wedge breakout/sell the wedge breakdown" because that way you know that when you execute your trade the price will move in your direction massively right away. You're able to time the market (and estimate the magnitude of a trade) and avoid getting chopped off by consolidations and noise that might mess with your indicators and algorithms.

PS: you cannot really see the double top in that high time frame but on lower ones it is pretty flagrant.

[oda.krell]

OP:


I think what you wanted to do was a good idea (profiting as much as possible from bitcoin's price behaviour but integrating trading into the mix but with the least effort (aka fewer trades possible)), but the actual implementation might not be the best one.

First of all it is based on assumptions that should not be taken for granted:

"(1) Bitcoin can experience massive gains in very short time, so by default, your position should be long.

(2) However, if there is a very clear trend reversal to the downside, sell.

(3) If you sold too early (into a downtrend that didn't manifest), don't hesitate to buy back at a small loss if necessary, because: see (1) above."


A trader should not be biased, for all he knows, bitcoin is a bubble that might continue to crash once it actually bursts. So the "favour a long position" strategy might work as long as bitcoin is in "pump mode", until it doesn't (the "dump mode"). A trader should only focus on the chart, it should tell him all he needs to know.

I think you should just forget about algorithms and complicated indicators and just trade with very basic TA tools like triangles and trend lines (on high time frames only, considering you want to minimise effort as a trader) depending on how much effort you want to put in the "trading part" of the investment strategy (if you want to incorporate short selling or not, how many trades do you want do perform every a month/every few months, etc).


Instead of "LazyWhale algorithm", it would just be the "LazyWhale strategy".

An example using 2013-2014:



Most of these is what I actually did in my trading (while shorting on the downside instead of just holding USD) and posted them here (as others have, it's just to say that it's not just hindsight ), playing smaller waves too tho (it depends how "Lazy" you want your "LazyWhale" to be).


If you use complicated indicators and such, your "buy signal" might be a mistake and you might buy at a top. You should instead use simple trade setups like "buy the wedge breakout/sell the wedge breakdown" because that way you know that when you execute your trade the price will move in your direction massively right away. You're able to time the market (and estimate the magnitude of a trade) and avoid getting chopped off by consolidations and noise that might mess with your indicators and algorithms.

PS: you cannot really see the double top in that high time frame but on lower ones it is pretty flagrant.

Nice trades, if you followed them all

That said: this is supposed to be an exercise in algorithmic trading, i.e. I'm trying to define a completely automated signal and see how far I can get with it. Never said that's the only way of trading, or even that I am relying on it exclusively.

About the other point, "traders shouldn't be biased" (to the upside, in this case)... I answered that as well in my OP I'd say It's actually the premise of this method that it has such a bias, i.e. it only makes sense to even consider using this signal under the assumption that you are an "investor" who believes in Bitcoin's long term potential, but you would also like to have some protection from the (often extreme) drawdown your position can suffer in this market.

Short version: I claim the flaws of this method that you are mentioning aren't flaws under the basic assumptions of it.

However, the objections raised before, that there are too few trades over the entire history to have any real certainty about the backtesting results, or that there was no clear separation between training and testing data, are absolutely valid.

[oda.krell]

Please post both your indicator changes on the forum.

Isn't that exactly what we've been doing? 

Bucktotal's signal flipped to 'buy' earlier today. My own signal still suggests the same position as before (USD), for now.

[bucktotal]

actually, full disclaimer: i do not trade using these signals. to date i've done a bit better than my lazywhale system, because im not as lazy. but i thought lets just see how it does. i'd imagine most lazy-whale systems wont do well during small trend flipping periods. best just not to trade maybe.

im my case, the long timescale signal and can easily flip back and forth several times this week. often the signal will flip and its just a warning to be buying or selling over the following week. the lazyWhale will come in and be the floor/ceiling for the next little while, etc...

its easy to see how a simple system would have crushed this exponentially growing market over the years. certainly doesn't mean it will continue. Goomba's 10/21 thread (https://bitcointalk.org/index.php?topic=60501) is a great example of a solid lazy-whale system.

[oda.krell]

actually, full disclaimer: i do not trade using these signals. to date i've done a bit better than my lazywhale system, because im not as lazy. but i thought lets just see how it does. i'd imagine most lazy-whale systems wont do well during small trend flipping periods. best just not to trade maybe.

im my case, the long timescale signal and can easily flip back and forth several times this week. often the signal will flip and its just a warning to be buying or selling over the following week. the lazyWhale will come in and be the floor/ceiling for the next little while, etc...

its easy to see how a simple system would have crushed this exponentially growing market over the years. certainly doesn't mean it will continue. Goomba's 10/21 thread (https://bitcointalk.org/index.php?topic=60501) is a great example of a solid lazy-whale system.

Hm. Respectfully disagree Goomba's thread is what got me into algorithmic trading back in the day, but I never liked the ultra simple setup he used... I remember writing a long post about backtesting several versions of it, under more realistic assumptions (trading cost, and profit "stability" over time). In the end I had to conclude that a pure EMA strategy works, but one has to accept many many unprofitable trades in the process (which is okay if you only care about the total profit, but the goal of this signal is to minimize the occurrence of "unnecessary" trades)

I'm still very surprised that your signal is based on a single pair of parameters. I think you posted about a backtest on Bitstamp data... did you ever test it on Gox data (mainly to see where it would have sold during the $32 bubble)?

If I understand correctly what you're doing, and your smoothing is applied uniformly, you do get very similar results (i.e. not selling too early during the big "bubbles") despite only one parameter pair. Full disclaimer from my side: I never found a pair that can do that If the parameters are "wide" enough to no sell too early in a bubble, they fail to buy back early enough during a reversal. If they are "narrow" enough to buy back at a good spot, they also sell to often in a rally.

[oda.krell]

Last post for today

Here we go again...

Buy @236, Bitfinex
Buy @237, Bitstamp

(previous trade: Sell @311, Bitstamp)


I'm sure most in here know that we're dangerously close to a zone of major resistance, in the form of the 2014 downwards trendline, currently at around 255-260 USD. The algorithm is mostly "dumb momentum" however, and doesn't take support/resistance trendlines into account though, so, as before: don't blindly follow this signal.

[bucktotal]

actually, full disclaimer: i do not trade using these signals. to date i've done a bit better than my lazywhale system, because im not as lazy. but i thought lets just see how it does. i'd imagine most lazy-whale systems wont do well during small trend flipping periods. best just not to trade maybe.

im my case, the long timescale signal and can easily flip back and forth several times this week. often the signal will flip and its just a warning to be buying or selling over the following week. the lazyWhale will come in and be the floor/ceiling for the next little while, etc...

its easy to see how a simple system would have crushed this exponentially growing market over the years. certainly doesn't mean it will continue. Goomba's 10/21 thread (https://bitcointalk.org/index.php?topic=60501) is a great example of a solid lazy-whale system.

Hm. Respectfully disagree Goomba's thread is what got me into algorithmic trading back in the day, but I never liked the ultra simple setup he used... I remember writing a long post about backtesting several versions of it, under more realistic assumptions (trading cost, and profit "stability" over time). In the end I had to conclude that a pure EMA strategy works, but one has to accept many many unprofitable trades in the process (which is okay if you only care about the total profit, but the goal of this signal is to minimize the occurrence of "unnecessary" trades)

I'm still very surprised that your signal is based on a single pair of parameters. I think you posted about a backtest on Bitstamp data... did you ever test it on Gox data (mainly to see where it would have sold during the $32 bubble)?

If I understand correctly what you're doing, and your smoothing is applied uniformly, you do get very similar results (i.e. not selling too early during the big "bubbles") despite only one parameter pair. Full disclaimer from my side: I never found a pair that can do that If the parameters are "wide" enough to no sell too early in a bubble, they fail to buy back early enough during a reversal. If they are "narrow" enough to buy back at a good spot, they also sell to often in a rally.

fair enough. goomboos system was simple, hyper-simple. i found something like 6/18 performed better in 2013 and i think a few others also found 10/21 wasn't so useful around the end of that thread. but, as the market has grown, the parameters have changed. anyway, that thread is just a good one in general i think, but i can understand your quest for something better. i agree pure ema strats are not even close the best, but they certainly fall in the "lazy" category. 

never used gox data. my guess is with gox data it would have given a signal a few weeks into the downtrend. they were strong oscillating trends back in the day.

[sidhujag]

OP:


I think what you wanted to do was a good idea (profiting as much as possible from bitcoin's price behaviour but integrating trading into the mix but with the least effort (aka fewer trades possible)), but the actual implementation might not be the best one.

First of all it is based on assumptions that should not be taken for granted:

"(1) Bitcoin can experience massive gains in very short time, so by default, your position should be long.

(2) However, if there is a very clear trend reversal to the downside, sell.

(3) If you sold too early (into a downtrend that didn't manifest), don't hesitate to buy back at a small loss if necessary, because: see (1) above."


A trader should not be biased, for all he knows, bitcoin is a bubble that might continue to crash once it actually bursts. So the "favour a long position" strategy might work as long as bitcoin is in "pump mode", until it doesn't (the "dump mode"). A trader should only focus on the chart, it should tell him all he needs to know.

I think you should just forget about algorithms and complicated indicators and just trade with very basic TA tools like triangles and trend lines (on high time frames only, considering you want to minimise effort as a trader) depending on how much effort you want to put in the "trading part" of the investment strategy (if you want to incorporate short selling or not, how many trades do you want do perform every a month/every few months, etc).


Instead of "LazyWhale algorithm", it would just be the "LazyWhale strategy".

An example using 2013-2014:



Most of these is what I actually did in my trading (while shorting on the downside instead of just holding USD) and posted them here (as others have, it's just to say that it's not just hindsight ), playing smaller waves too tho (it depends how "Lazy" you want your "LazyWhale" to be).


If you use complicated indicators and such, your "buy signal" might be a mistake and you might buy at a top. You should instead use simple trade setups like "buy the wedge breakout/sell the wedge breakdown" because that way you know that when you execute your trade the price will move in your direction massively right away. You're able to time the market (and estimate the magnitude of a trade) and avoid getting chopped off by consolidations and noise that might mess with your indicators and algorithms.

PS: you cannot really see the double top in that high time frame but on lower ones it is pretty flagrant.

I find tls are the way to go they are the earliest indicator.. best risk reward.. others either repaint or they get you in late.. you always have to have an exit or stoploss with any entry and its hard to with moving averged which are already late

[oda.krell]

I find tls are the way to go they are the earliest indicator.. best risk reward.. others either repaint or they get you in late.. you always have to have an exit or stoploss with any entry and its hard to with moving averged which are already late

True, but: how do you backtest a discretionary strategy (based on trendline estimations, among others)?

There's no way around the following dilemma:

Using the full range of human intuition, pattern recognition and, well, intelligence, yields "discretionary trading". Quite possible the most profitable way to trade, but also the hardest one to estimate, quantitatively, if and how profitable it is.

Algorithmic trading is a reduction of the above in terms of available algorithms (not everything a human can do can be implemented as a TM), it gives some additional capacity however (crunching big data), and it comes with a boon: running the algorithm on historical data to estimate performance.

I'm dismissing neither. Both are valuable tools. I just reject any easy answer that says "only algo trading works", or "only discretionary trading gives good results". Both answers would be missing the trade-off involved in this decision, imo.

[uki]

A pity I discovered this thread so late. Thanks a lot for the courage of sharing your ideas publicly.
It is not that easy task to create your own working strategy, first of all because you think of plethora of different signals that can be used and that you want to be used, secondly because the signals you have chosen may very well fit the historical data, with no guarantee that they will work in future - bringing you back to the point one, I believe, with the need to add some more signals and making the whole idea overly complex. That is where you are now, I believe.

Now, if I may suggest something is to check, if signal #1 has the long enough observation window? That is whether the medium term signal is enough to filter our major trend change and thus adjust the asymmetry of signal #3 accordingly.

Alright. Initially, when people asked how the algorithm works internally, I refused to specify it any further. Now that nobody cares anymore, here's the basic idea ^_^

Note: I'm not going to fill in the exact numerical parameters of the the technical/indicator signals. No need to encourage frontrunning. But in principle, with the details I'm about to give, you could find your own (and probably very similar) parameters by training the individual parts over the market data that is the same for everyone.

The trade signals of this algorithm are a complex condition based on three technical signals.

Signal #1, the "main" signal, is a medium term momentum signal. Think "daily EMA20+10 crossover", but the average I use is instead a Hull type average (and the parameters are obviously not 20/10).

Important to note here: signal #1 is symmetric wrt 'buy' and 'sell'.

If used alone, signal #1 is profitable over the global bitcoin history (GX, BS, BF), and roughly uniformly profitable as well. However, it yields slightly too many trades, and tends to sell too early during major rallies. So, it is not the desired signal yet that only sells when it really has to.

Signal #2 is a short-term momentum signal. It acts as a filter applied to #1. Think of it as an "optimal entry/exit" filter. It cannot initiate additional trades by itself, it can only delay a trade based on signal #1. It is basically capturing the idea: if the medium term is up, but the short term is drastically down, better wait a bit before you buy (similar for delaying a sell trade). Signal #2 is buy/sell symmetric as well, and I don't really think it is problematic (also, leaving it out doesn't change the results from a pure signal #1 strategy much).

Signal #3 is the tricky one. You could call it the "bubble filter". Just like #2, it doesn't do anything other than (possibly) delay signals coming from #1, i.e. it doesn't add to the total number of trade signals but only *reduces* them under certain conditions.

It defines certain market conditions (think: long term momentum) to be so strongly bullish that a mid-term momentum signal from #1 that says 'sell' should be ignored for the moment, until either the mid term is up again, or the market condition becomes less bullish, in which case the 'sell' goes through.

And here's the tricky bit. Signal #3 is not buy/sell symmetric. It only delays 'sell' trades, but not 'buy' trades, in case the long term momentum is flipped around

I know. That buy/sell asymmetry is a big violation of all that is holy in algorithmic trading. Reeks of overfitting.

Still, given the history of the Bitcoin market so far, I can see some justification for it. It works well for 2011, 2012, 2013. In 2014, it still works well enough for the first half, but from then on, it's not really justified anymore.

I guess it all depends now if Bitcoin will ever go through a significant bull market again, and when. Let's say it does ("Bitcoin is dead" users need not reply ). That still doesn't mean that the exact parameters of the "bubble filter" are optimal, but it's probably not going to be the millstone around the algorithms neck that it is right now, delaying sell signals when it really shouldn't.

In a way, I'm making a human choice for my algorithmic method here: the assumption, that in the long run, it is better to err on the side of buying than on the side of selling - a choice that is justified by the global history of the market, but not by the more local one.

Comments welcome.

[oda.krell]

A pity I discovered this thread so late. Thanks a lot for the courage of sharing your ideas publicly.
It is not that easy task to create your own working strategy, first of all because you think of plethora of different signals that can be used and that you want to be used, secondly because the signals you have chosen may very well fit the historical data, with no guarantee that they will work in future - bringing you back to the point one, I believe, with the need to add some more signals and making the whole idea overly complex. That is where you are now, I believe.

Now, if I may suggest something is to check, if signal #1 has the long enough observation window? That is whether the medium term signal is enough to filter our major trend change and thus adjust the asymmetry of signal #3 accordingly.

Thanks

Not sure I understand your question correctly. Probably better to go through it based on the pseudocode I posted:

average-fast = f(x)
average-fast-sig = f'(x)

average-mid = g(x)
average-mid-sig = g'(x)

average-slow = h(x)
average-slow-sig = h'(x)

sig-1 := if average-mid > average-mid-sig, buy. if average-mid < average-mid-sig, sell.

sig-2 := if average-fast > average-fast-sig, buy. if average-fast < average-fast-sig, sell.

sig-3 := if average-slow < average-slow-sig, sell.

trade-signal := if sig-1 == sig-2 == sig-3 == sell, sell. if sig-1 == sig-2 == buy, buy. o/w, do nothing.

You're asking me if I could leave out sig-3 and get the same results?

No, of course not. Otherwise, I would have never introduced that asymmetry

Without sig-3 (slow), sig-1 alone (medium) is still quite profitable. Just that it is a lot more profitable together with the "bubble filter".

[uki]

what I meant with the statement below:

Now, if I may suggest something is to check, if signal #1 has the long enough observation window? That is whether the medium term signal is enough to filter our major trend change and thus adjust the asymmetry of signal #3 accordingly.

is whether your medium term filter should not be enhanced with a long-term one that would indicate you whether in the long term you are in the bear or bull market and then modify your signal 3 accordingly: being in the long term bear you would be only buying if additionally signal #3 indicates so. Moving to your pseudo-code that would mean:

Code:

sig-0=: if average-long > average-long-sig, bull. if average-long < average-long-sig, bear.

bull: keep your current code
bear: provide symmetric modification to sig-3

Otherwise you may be trapped in a situation you have long-term bear, but a mid-term bull (a false break-out to the upside).
or did I get it wrong?

[oda.krell]

what I meant with the statement below:

Now, if I may suggest something is to check, if signal #1 has the long enough observation window? That is whether the medium term signal is enough to filter our major trend change and thus adjust the asymmetry of signal #3 accordingly.

is whether your medium term filter should not be enhanced with a long-term one that would indicate you whether in the long term you are in the bear or bull market and then modify your signal 3 accordingly: being in the long term bear you would be only buying if additionally signal #3 indicates so. Moving to your pseudo-code that would mean:

Code:

sig-0=: if average-long > average-long-sig, bull. if average-long < average-long-sig, bear.

bull: keep your current code
bear: provide symmetric modification to sig-3

Otherwise you may be trapped in a situation you have long-term bear, but a mid-term bull (a false break-out to the upside).
or did I get it wrong?

Nice. Get what you're asking now.

The Answer is: yes. I have such a 'ultra-long term modifier' (sig-0) that I could use to make the algorithm fully symmetric wrt buy and sell

The problem? That signal switched exactly once so far (in mid 2014), so I have very little certainty that it is not just an arbitrarily fitted parameter combination.

Still, at least if would be a condition that can be met (or not) based on the market data, while right now, the "bubble filter" (EDIT that makes the final trade signal "lean towards bullish") is permanently on.

[sidhujag]

I find tls are the way to go they are the earliest indicator.. best risk reward.. others either repaint or they get you in late.. you always have to have an exit or stoploss with any entry and its hard to with moving averged which are already late

True, but: how do you backtest a discretionary strategy (based on trendline estimations, among others)?

There's no way around the following dilemma:

Using the full range of human intuition, pattern recognition and, well, intelligence, yields "discretionary trading". Quite possible the most profitable way to trade, but also the hardest one to estimate, quantitatively, if and how profitable it is.

Algorithmic trading is a reduction of the above in terms of available algorithms (not everything a human can do can be implemented as a TM), it gives some additional capacity however (crunching big data), and it comes with a boon: running the algorithm on historical data to estimate performance.

I'm dismissing neither. Both are valuable tools. I just reject any easy answer that says "only algo trading works", or "only discretionary trading gives good results". Both answers would be missing the trade-off involved in this decision, imo.

We are irrational and charts become irrational thus I find that algo trading really only works if you have no spread (working at a bank) and do arbs all day or frontrun iceberg orders.. but not on higher tfs because physcology is always changing..

Our core thought process is a cycle and thus you see patterns repeat but they happen randmwly almost.. neural networks almost get usthere but they will overtrain..

So best method is your mind... after 10k hrs you will know whats next on intuition based on patterns and news. If you map the variables your algo will break next week so your method needs to keep adapting.. this is why most ppl fail at trading.. i stopped because I get too greedy and lose sight of big picture. I can see price but i wont trade it. I know I have an edge but the emotional part is the beast within me.. maybe one day Ill try it again.

All u need is a 1% edge to become wildly rich.. just that u need to know that in order to devise a plan.. rather than expect to win everytime..

Im sure if you automate your though process u can get the 1% and evolve ur logic over time.. the money management is what will let u keep going (dont get greedy) its a marathon not a spring.

Black swans will always happen though.. that is the risk of any market. It will get you so i beg to question wether it is just gambling or not.. make a million and get out.. but get out to what? Every market has swan events? Maybe ur luck and a little bit of smart guessing helps here..

Ie: The swiss currency move caught ppl offgaurd.. there was no way to close your long as no liquidity present.. ur margin was sucked dry.. those that were lucky or had inside info struck it rich.. but most didnt.. no money management would have helped here you are at the mercy of the environment.