cytokine (OP)
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May 21, 2012, 09:11:28 PM Last edit: October 04, 2012, 07:48:33 PM by cytokine |
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cytokine (OP)
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May 27, 2012, 09:07:07 PM Last edit: October 04, 2012, 07:49:39 PM by cytokine |
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Progress update
Here is the debug output:
Debug> updating GLBSE_TICKERS.lst
Debug> no dividends found for BTC Debug> no dividends found for JLP Debug> updating JLP-BMD.gdv Debug> updating BITCOINTORRENTZ.gdv Debug> no dividends found for ENJAN16 Debug> no dividends found for BM Debug> updating BMMO.gdv Debug> no dividends found for EN Debug> updating BIT.INC.gdv Debug> updating TYGRR.BOND-B.gdv Debug> updating TYGRR.TECH.gdv Debug> no dividends found for UBTC Debug> no dividends found for CRYPTOL Debug> no dividends found for CC Debug> no dividends found for CIB-SOLUTIONS Debug> updating MU.gdv Debug> updating COGNITIVE.gdv Debug> updating IBB.gdv Debug> updating M.ETF.gdv Debug> updating MPOE.ETF.gdv Debug> updating BTCSYN.gdv Debug> updating RSM.gdv Debug> updating MERGEDMINING.gdv Debug> updating FPGA.CONTRACT.gdv Debug> no dividends found for SATOSHISDAEMON.HORSE Debug> no dividends found for CHEAPERINBITCOINS-STOCKS Debug> updating PUREMINING.gdv Debug> no dividends found for BST Debug> updating BTCWEB.gdv Debug> updating SS.gdv Debug> updating TYGRR.BOT.gdv Debug> updating FPGA-EU.gdv Debug> updating AA.gdv Debug> updating BITBOND.gdv Debug> updating BFLS.gdv Debug> updating GIGAMINING.gdv Debug> no dividends found for BTCMC Debug> updating YABMC.gdv Debug> updating TCC.gdv Debug> no dividends found for BFLS.FUTURES Debug> no dividends found for CANMINE Debug> updating PPT.gdv Debug> no dividends found for PPT.A Debug> updating BTC-MINING.gdv Debug> updating ABM.gdv Debug> updating MATH.gdv Debug> updating FPGA-IPCORE-DEV.gdv Debug> updating JAH.gdv Debug> no dividends found for RUGATU Debug> updating BDK.gdv Debug> no dividends found for PPT.B Debug> no dividends found for ANTI-PIRATE Debug> no dividends found for PPT.C Debug> updating ZIP.A.gdv Debug> updating ZETA-MINING.gdv Debug> updating TEEK.A.gdv Debug> updating TEEK.B.gdv Debug> updating BDK.BND.gdv Debug> no dividends found for GOLD Debug> no dividends found for SILVER Debug> no dividends found for PPT.D Debug> updating TICKER.gdv Debug> updating PLATINUM.gdv Debug> updating RAREEARTH.gdv Debug> no dividends found for DMC Debug> no dividends found for REBATE Debug> updating TYGRR.BOND-A.gdv Debug> updating BIOETHANOL.gdv Debug> no dividends found for GREEN Debug> updating PPT.DIV.gdv Debug> no dividends found for JTGB Debug> no dividends found for IMPACT Debug> no dividends found for PPT.E Debug> no dividends found for HEDGE Debug> no dividends found for BMF Debug> updating 007.gdv Debug> no dividends found for MINING Debug> no dividends found for NONVERBA Debug> no dividends found for MOORE Debug> no dividends found for TYGRR.BOND-P Debug> no dividends found for ABSORB.1.4-6.LONG Debug> no dividends found for ABSORB.1.4-6.SHORT Debug> no dividends found for HEDGE.TYGRR.BOND-B.LONG Debug> no dividends found for HEDGE.TYGRR.BOND-B.SHORT Debug> no dividends found for FZB.A Debug> no dividends found for FOO.PPPPT Debug> no dividends found for BIB.PIRATE Debug> no dividends found for HEDGE.TEEK.B.LONG Debug> no dividends found for HEDGE.TEEK.B.SHORT Debug> no dividends found for HEDGE.GIGAMINING.LONG Debug> no dividends found for HEDGE.GIGAMINING.SHORT
Debug> updating GLBSE_TRADES.lst Debug> recent_id: 206852516879679488 Debug> No new trades found.
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Sukrim
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May 27, 2012, 09:21:42 PM Last edit: July 16, 2012, 07:44:21 PM by Sukrim |
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Do you plan on open sourcing parts of this stuff? Fetching statistics etc. for example would do no harm to your business in any way and your proprietory algorithm can be capsuled away in a small class/config file somewhere maybe...
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cytokine (OP)
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May 27, 2012, 10:07:58 PM Last edit: July 26, 2012, 06:20:05 PM by cytokine |
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Do you plan on open sourcing parts of this stuff? Fetching statistics etc. for example would do no harm to your business in any way and your proprietory algorithm can be capsuled away in a small class/config file somewhere maybe...
In the near future I do not plan to release the source code, since it gives competitors an edge in the very thin market right now for GLBSE funds. However, in the more distant future I probably will release some of the code (it's very simple code anyway) since an open source platform for GLBSE-based trading and backtesting would certainly be something that would benefit everyone.
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friedcat
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May 28, 2012, 05:54:17 AM Last edit: July 17, 2012, 06:35:53 AM by friedcat |
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Assume the average coupon/face rate of mining bonds at this moment is 1.4% per week. Then MOVETO.FUND could have the expected return rate of 1.4%*2-0.75%=2.05% per week by just holding a bunch of mining bonds and do no trading at all. If you decide to be more risk tolerated and do some trading, it could be much more.
However, it all depends on how MOVETO.BOND sells. BDK.BND pays 1% per week and is issued by a forum member who already established his fame. Its current market cap has not exceeded 3,000 BTC. If I were you, I will consider 1,000 BTC by selling MOVETO.BOND to be very very lucky, because both the interest rates and existing credits of BDK.BND are better than MOVETO.BOND.
So: Are you OK with starting small? Could you still operate well without a fully deployed 2x leverage? If MOVETO.BOND doesn't sell well, then MOVETO.FUND will probably also not, because investors know that your fund relies on leverages.
I guess you have considered them all already. But I still hope my questions could help you with a something like a plan-B if things don't turn out to be perfect.
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cytokine (OP)
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May 28, 2012, 09:11:17 AM Last edit: July 16, 2012, 06:42:59 PM by cytokine |
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So: Are you OK with starting small? Could you still operate well without a fully deployed 2x leverage? If MOVETO.BOND doesn't sell well, then MOVETO.FUND will probably also not, because investors know that your fund relies on leverages.
Thanks for the feedback; this is very useful information. - Yes, leverage is 100% optional. If I can sell bonds to boost returns, great; if not, that's OK too. The main point of having the split between the fund and bonds is to give investors more options: use the fund if you like risk, or use the bonds if you want a lower return while offloading a portion of direct equity ownership risk onto others.
- I have upped the interest rate on margin bonds to 1%/week per your suggestion in order to be competitive with other similar offerings.
- Regarding short-term buying and selling - right now after looking at the trade logs, I can quickly see that there is virtually no liquidity on the GLBSE, so we're going to have to stick to long-term plays.
- Regarding bootstrapping the fund - I already have a good chunk of BTC that I am personally investing to get me started when I am finished with the backend code.
Thanks, -cyto
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cytokine (OP)
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May 28, 2012, 12:13:22 PM Last edit: July 26, 2012, 06:20:31 PM by cytokine |
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Update:
I removed the MOVETO.BOND offering (and modified the OP to exclude it) for the following reasons:
(1) There's not enough interest in low-rate/low-risk bonds at the present time (2) There's not enough capacity on the GLBSE to absorb the extra capital ATM, so aggressive reinvestment makes more sense than paying out margin rates (3) It's easier / less headache (4) I can achieve higher returns by modifying the desired risk level inherent in the investment strategy rather than utilizing leverage
Thanks, -cyto
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cytokine (OP)
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May 28, 2012, 11:43:48 PM Last edit: July 16, 2012, 06:44:04 PM by cytokine |
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I've been coding away all day today, and am proud to announce that the database and analysis code are completed, so in terms of execution, we are ready to rock and roll right after the IPO!
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cytokine (OP)
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May 29, 2012, 08:15:17 PM Last edit: July 26, 2012, 06:21:24 PM by cytokine |
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A bunch of updates: I've been spending today (and plan to spend tomorrow and the next day) reviewing code and resolving bugs. Today I found a minor bug in one of my calculations which I fixed; it did not have a large effect however. Specifically, while constructing price bars of various frequencies from the trade data, one of the frequencies had corrupt data. Another detail I want to mention is that the "database" is really just a collection of text files at the moment. I update them every day, so over time it will grow as more trades occur, but eventually I will use a real database. Right now, however, there is so little data that text files are sufficient. Finally, I got a GLBSE contract together that Nefario agrees is good for the fund, here is a copy:
(0) Each IPO share represents a 1 BTC investment in the fund. (1) The fund trades and invests solely in securities on the GLBSE. (2) The maximum concentration in any given security is 20%. (3) Dividends are paid out monthly, on the first of the month. (4) 40% of earnings are paid out as dividends, 40% are reinvested for fund growth, and 20% are paid out as fees to the fund operator. (5) The fund operator will buy-back shares once per month upon request ( after dividends are paid ) to ensure liquidity for exiting MOVETO.FUND. Each share is valued at (1 / # shares) * fund_portfolio_value minus 1% to cover redemption expenses. (6) New shares may be issued at any time at (1 / # shares) * fund_portfolio_value price to ensure liquidity for entering MOVETO.FUND--> Contract updated prior to IPO, please see https://bitcointalk.org/index.php?topic=82869.msg931614#msg931614
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cytokine (OP)
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May 30, 2012, 08:22:40 PM Last edit: July 16, 2012, 06:47:50 PM by cytokine |
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cytokine (OP)
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May 30, 2012, 10:49:16 PM Last edit: July 26, 2012, 06:21:10 PM by cytokine |
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5/30/2012 - CONTRACT UPDATED PRIOR TO IPO such that dividends are automatically reinvested into the fund, which is how most hedge funds operate. This ensures the highest possible performance for investors, as well as making MOVETO.FUND a "set it and forget it" type of investment, where clients are not continually having to reinvest their own dividends. (It also has the side effect of making the paperwork easier for everyone, because investors that continually request new shares in order to reinvest their dividends would be very difficult for me to accommodate.)
Here is the final contract:
(0) Each IPO share represents a 1 BTC investment in the fund. (1) The fund trades and invests solely in securities on the GLBSE. (2) The maximum concentration in any given security is 20%. (3) 80% of earnings are reinvested for fund growth, and 20% are paid out as fees to the fund operator. Fees are paid once a month on the first of the month. (4) The fund operator will buy-back shares on the first of every month upon request to ensure liquidity for exiting MOVETO.FUND. Each share is valued at (1 / # shares) * fund_portfolio_value minus 1% to cover redemption expenses. (5) New shares may be issued at any time at (1 / # shares) * fund_portfolio_value price to ensure liquidity for entering MOVETO.FUND
I have notified Nefario of these changes so hopefully the IPO page will change shortly. Naturally after the first share is sold the contract cannot be modified, so I want to make sure I get it right. It's also possible Nefario will require that the IPO be postponed somewhat due this modification.
Either way, I will keep you posted. Take care. -cyto
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friedcat
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May 31, 2012, 11:36:53 AM Last edit: July 17, 2012, 06:36:15 AM by friedcat |
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5/30/2012 - CONTRACT UPDATED PRIOR TO IPO such that dividends are automatically reinvested into the fund, which is how most hedge funds operate. This ensures the highest possible performance for investors, as well as making MOVETO.FUND a "set it and forget it" type of investment, where clients are not continually having to reinvest their own dividends. ( It also has the side effect of making the paperwork easier for everyone, because investors that continually request new shares in order to reinvest their dividends would be very difficult for me to accommodate. )
Here is the final contract:
(0) Each IPO share represents a 1 BTC investment in the fund. (1) The fund trades and invests solely in securities on the GLBSE. (2) The maximum concentration in any given security is 20%. (3) 80% of earnings are reinvested for fund growth, and 20% are paid out as fees to the fund operator. Fees are paid once a month on the first of the month. (4) The fund operator will buy-back shares on the first of every month upon request to ensure liquidity for exiting MOVETO.FUND. Each share is valued at (1 / # shares ) * fund_portfolio_value minus 1% to cover redemption expenses. (5) New shares may be issued at any time at (1 / # shares ) * fund_portfolio_value price to ensure liquidity for entering MOVETO.FUND
I have notified Nefario of these changes so hopefully the IPO page will change shortly. Naturally after the first share is sold the contract cannot be modified, so I want to make sure I get it right. It's also possible Nefario will require that the IPO be postponed somewhat due this modification.
Either way, I will keep you posted. Take care. -cyto
It's closer and closer to the fee structure of the "real-world" hedge funds now. Good to know that at least you don't charge an extra 2% of the deposits like other hedge funds do. There's a potential risk for you however. If there's a panic buy-back demand with a high volume, you will lose a lot of money when you liquidate your position, considering the low liquidity of GLBSE.
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cytokine (OP)
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May 31, 2012, 08:00:26 PM Last edit: July 16, 2012, 06:49:55 PM by cytokine |
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There's a potential risk for you however. If there's a panic buy-back demand with a high volume, you will lose a lot of money when you liquidate your position, considering the low liquidity of GLBSE.
This is a really good point. I plan to buy-back the shares with my own money though anyway if people want to sell to avoid panic liquidation. I'll try to keep a sizable personal reserve for this purpose, but naturally I don't have an infinite reserve for a real GLBSE catastrophe, such as a major crash event. I'm hoping that liquidity improves as time goes on and therefore withdrawals will be less of a problem.
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moneta
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May 31, 2012, 08:57:04 PM Last edit: July 16, 2012, 10:14:14 PM by moneta |
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(2) The maximum concentration in any given security is 20%.
Is there any limit to exposure to a single market sector? For instance, if your algorithm chooses to invest in 10 different pirate bonds you will have less than 20% in any given security but still 100% exposure to Pirates's default.
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cytokine (OP)
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May 31, 2012, 09:05:57 PM Last edit: July 16, 2012, 06:53:56 PM by cytokine |
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(2) The maximum concentration in any given security is 20%.
Is there any limit to exposure to a single market sector? For instance, if your algorithm chooses to invest in 10 different pirate bonds you will have less than 20% in any given security but still 100% exposure to Pirates's default. This is a great point. Right now no, there is no sector filter - but I will definitely consider adding this soon since it's a great idea. However, regarding Pirate: I have already filtered out all assets that are associated with his operations. If you want pirate exposure, you'll have to invest elsewhere. Nothing against him personally, it's just that I don't know or understand what he is doing.
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friedcat
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June 01, 2012, 04:22:24 AM Last edit: July 17, 2012, 06:36:31 AM by friedcat |
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(2) The maximum concentration in any given security is 20%.
Is there any limit to exposure to a single market sector? For instance, if your algorithm chooses to invest in 10 different pirate bonds you will have less than 20% in any given security but still 100% exposure to Pirates's default. This is a great point. Right now no, there is no sector filter - but I will definitely consider adding this soon since it's a great idea. However, regarding Pirate: I have already filtered out all assets that are associated with his operations. If you want pirate exposure, you'll have to invest elsewhere. Nothing against him personally, it's just that I don't know or understand what he is doing. We plan to be Pirate-free from this week. So MU could be white-listed.
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cytokine (OP)
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June 01, 2012, 04:33:20 AM Last edit: July 16, 2012, 06:55:17 PM by cytokine |
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We plan to be Pirate-free from this week. So MU could be white-listed. Yep, MU is definitely something we're looking at. We are absolutely a fund-of-funds when it makes sense to do so.
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cytokine (OP)
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June 01, 2012, 04:41:10 AM Last edit: July 26, 2012, 06:22:00 PM by cytokine |
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Damn, the only problem I'm having now is that I cannot get price data as far back as I would like from twitter (stupid, stupid twitter ). So I'm not expecting to really be in full-throttle mode until after the first month of operation. That's why I want to start small .
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cytokine (OP)
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June 01, 2012, 07:48:57 PM Last edit: July 16, 2012, 06:56:25 PM by cytokine |
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