LEAN is the open source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
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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.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jack Pizza
5.5k Pro
,
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.
0
Michael Manus
10.2k Pro
,
of course ib lets you short this.....
1
Ak129301
65 Pro
,
you can short on kraken
0
Guadiana
5.9k Pro
,
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,
1
Ajit Krisshna
9 Pro
,
Did anyone try this out live? For either crypto or ETFs?
Curious to see how good the results are compared to backtest
0
ForeverYoungNow
135 Pro
,
Does this have a python version?
0
ForeverYoungNow
135 Pro
,
beautiful strategy. how to define changes1Ratio and changes2Ratio by using python?
0
Warren Harding
58.2k Pro
,
Hi Cheng.
Thanks, no there is no python version that I'm aware of.
Otherwise your fees won't be calculated correctly ;)
0
Mitchell Penman-Allen
100 Pro
,
Just backtested Samuel's strategy after a direct clone.. What's missing here?
0
George Briggs
324 Pro
,
Market changed.
0
Mitchell Penman-Allen
100 Pro
,
It has vastly different results over the exact same time periods..
0
Mitchell Penman-Allen
100 Pro
,
Has QC varied the data for GDAX? Maybe auto added fees?
0
George Briggs
324 Pro
,
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;
}
}
0
Mitchell Penman-Allen
100 Pro
,
Interesting, I made no changes myself.. Literally clone algo -> backtest
0
Fortunum
103 Pro
,
I noticed that crypto data was not accurate a couple of weeks ago and they changed it
0
Lucas
450 Pro
,
Is anyone live trading this also since warren released it? How is it going for you?
0
ForeverYoungNow
135 Pro
,
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.
0
Gunner Howe
20 Pro
,
This algo seems to lose 100% equity in August of 2018. Not sure why that's the only month that it doesn't seem to perform on, but it completly clears your account for that month.Â
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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