As of this writing this algo is ranked #1 and is in the top 1% of the community.
It's a crypto algo. GDAX charges high fees for 'takers', and there is no fee modelling. It will have to be appropriately converted to limit orders in order to take advantage of GDAX's zero fee for 'makers' fee model in order to actually be useful. Slippage is low on GDAX for the instruments in question so that shouldn't have too much of an impact.
Problem is getting shares to short I don't think any brokerage will let you short these things, checked IB and they didn't have any of those shares available, at least on their public look up site.
of course ib lets you short this.....
you can short on kraken
Guys, im working with Crypto algos at some years, and with QC for GDAX since November... I had to switch to LEAN, because QC doesnt not support EUROS, and as an European my GDAX account is in Euros.
Feel free to get in touch with me in case you want to collaborate. Imdoing optimization of my algos in a 3d party propietary tool.
Kind regards,
Did anyone try this out live? For either crypto or ETFs?
Curious to see how good the results are compared to backtest
Does this have a python version?
beautiful strategy. how to define changes1Ratio and changes2Ratio by using python?
Hi Cheng.
Thanks, no there is no python version that I'm aware of.
@Warren Harding Thank you.
Don't forget to
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
Otherwise your fees won't be calculated correctly ;)
Just backtested Samuel's strategy after a direct clone.. What's missing here?
Market changed.
It has vastly different results over the exact same time periods..
Has QC varied the data for GDAX? Maybe auto added fees?
I have not seen a backtest result differ that was not from my own doing. However to be sure, I cloned your algo and got the same results.
Only difference I can see in the orignal and the one you shared is this:
public class CustomFeeModel : IFeeModel
{
public decimal GetOrderFee(Security security, Order order)
{
var fee = order.AbsoluteQuantity*0.0025m*security.Price;
return fee;
}
}Interesting, I made no changes myself.. Literally clone algo -> backtest
I noticed that crypto data was not accurate a couple of weeks ago and they changed it
Is anyone live trading this also since warren released it? How is it going for you?
Two factors need to be taken into consideration. First, in reality, cryptocurrcies are difficult to filed as limit orders. Second, it is hardly for us to sell one cryptocurrency and buy another immediately just as the buy dip strategy does, and because of compound interest, the real return is lower than that calculted through backtest.
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