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Crypto Buy-Dip, Price Percentage Delta- Top 1% of Community.

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.

Update Backtest








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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.


John Schwartz 

Yes I noticed that too, but that doesn't really matter unless the backtests results are completely wrong, filtering might change performance/dd. Could also think of making a long/short version of it.

And even "crap" might be a loaded word, even with the downtrends it still manages the most insane returns, and only 12%DD.....

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Jared Broad 

Hey Jared, I have set my order size to .01 of the account, and am still seeing a bunch of "submitted" status', in the case you mentioned above this shouldn't really be happening right? 

Logs show the orders getting filled and no errors. 

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BTC has been on a Bull run for a long time. It doesn't mean the backtest is wrong. It's just a matter of risk management. If the next month BTC goes on a bull run then you will make a alot of money. 

You want to watch the algo break?
Run this time frame. With the correct fee model. 

SetStartDate(2017, 1, 1); 
SetEndDate(2018, 3, 22);  

Again it's a great algo on the up trend. Just put some code in to prevent it from running on a down trend, and you should be good to go! It is crap on the down trend. That is just a fact not an insult. 

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John Schwartz 

Maybe with the original settings, with modified settings ran it from 1/1/2018 - 03/20/18 where BTC plunged by 50-60% and the backtest shows ridiculous returns and low DD....

Only thing is if there is issues with the backtest and is not trust worthy. I was getting errors going any farther but i'll try running it farther more. 

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 John Schwartz 

Haha worked now, yeah you are right it basically blows out your account, at least on the agressive settings I had lol, going to play around with them. 

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Yep no settings help it, blows out your account, can't believe i didn't backtest further completely forgot after that error haha. Don't trade this live unless you want to lose everything or trade it on an uptrend.

Something to consider is making it both long/short or applying some sort of long term ema, and only take trades in that direction

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So my question guys is why if you back test it from this year 2018 alone the results are huge?

If you go from start of this month or Feb it wins, same with just March, when you run from Jan 2018 till now it loses quite a bit to start then picks up?

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Samuel Cutler 

Yeah, It slipped my mind the date was 2-1 I was mistaking it for January so thought it performed amazingly, when I ran a longer term backtest about a week ago it failed, and forgot about running it longer term again lol.

The strategy basically long only, so in a collapsing market you just keep getting losers. 

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Samuel Cutler

The entire crypto market went on a bull run during that time frame. It could make a lot of algo's look good. 

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Trying to understand exactly how 'Fitness' is measured...

Appears to be...  Fitness = (-1.0) * EMA(currentPrice - previousPrice /  previousPrice) 

So, it buys which ever symbol has most negative price change?

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Hi Eric,

Yes, it buys the dip.

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Any idea why this performs so poorly with stocks?

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@all - We've deleted the Kaiko quote data for crypto -- this will result in different fill prices; but more accurate in this exceptional case. You can read more about it on this thread. We'll keep the other thread updated so not to thread-hijack this one.

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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.


Dear QuantConnect people i may present you my crypto buy dip price algo transformed to sell volatility & leaveraged etn. I copied warrens algo and changed the crypto to stocks but it performed really really bad.

so i changed it from going long to going short :) :)

and suddenly i was a millionaire

but what can be shorted best....of course leaveraged stuff

so Lucas performs it poorly with stocks?????

worked on this 3 minutes

thats how algos should be developed....  :) :) :)

it has everything jupiter stuff and analysis everything

i am going to bed its late in my country

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Michael Manus 

when I run the backtest it shows -99% drawdown.... when i add an end date, without an end date, you get your results but no stats?

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weird if you set starting capital to $1000 you get -99% if you go $10,000+ you get positive returns.....

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Elsid Aliaj the algo is doing 2500 trades so the frees eat up the money

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As Jeremy Bowen found the solutions for his problem. there are sometimes holes in the data so this line

if (data.ContainsKey(stockData.Ticker) && data[stockData.Ticker] == null)

from jeremy is important for playing around it seems..... and you are right statistics are gone....
still all credits go to Warren

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Michael Manus 

Did you try going long I used the opposite long funds, and went long on them seems to be -99%. Any idea why this would work for short but not long?

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leveraged etn stuff which is why everyone plays with that ...

check ugaz or tvix  ... going short people think is free money....

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Update Backtest





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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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