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

[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.)