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Algo trading digital assets

johnmathews.eu

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Re: Algo trading digital assets

#11

Post by gormo2 »

tlb wrote: post #9

Although simulations will predict good profits, you will probably lose your money doing this due to counterparty risk. Counterparty risk is the risk that, between the time you click the 'sell' button and the time you actually get the money deposited in your bank account a few days later, the exchange goes insolvent. When a given coin trades at different prices on two exchanges (which is what these arbitrage algorithm…

Nice comment. How does that relate to the SMA visualizations discussed in the article?

Re: Algo trading digital assets

#14

Post by wc- »

tlb wrote: post #9

Although simulations will predict good profits, you will probably lose your money doing this due to counterparty risk. Counterparty risk is the risk that, between the time you click the 'sell' button and the time you actually get the money deposited in your bank account a few days later, the exchange goes insolvent. When a given coin trades at different prices on two exchanges (which is what these arbitrage algorithm…

This comment is almost like a copy-paste every time some kind of crypto trading article is submitted. I might have missed something in the article / code but this isn't an arb strat? It is just using some moving averages to try to follow a perceived trend in different trading pairs on a single exchange.

Counterparty risk definitely still exists, but it is getting better very quickly with the growth of regulated US-based exchanges like gdax, gemini, and ledger x. In the altcoin world, Bittrex is in the process of fulfilling state-by-state requirements for regulatory approval. The crypto world is very different today from when MtGox dominated and getting even better.

Re: Algo trading digital assets

#15

Post by dfox »

georgeglue1 wrote: post #6

Can someone summarize the returns and risk-level of his strategy?

For this kind of simple SMA/EMA crossing strategies there is essentially only one tunable knob (minimum return on one trade pair) that controls both return and risk and main output of this kind of analysis is finding out setting of that knob which you are comfortable with.

Re: Algo trading digital assets

#17

Post by csomar »

tlb wrote: post #9

Although simulations will predict good profits, you will probably lose your money doing this due to counterparty risk. Counterparty risk is the risk that, between the time you click the 'sell' button and the time you actually get the money deposited in your bank account a few days later, the exchange goes insolvent. When a given coin trades at different prices on two exchanges (which is what these arbitrage algorithm…

I don't think you have read the article, traded digital assets or understand the current landscape of crypto.

Re: Algo trading digital assets

#18

Post by joshvm »

georgeglue1 wrote: post #6

Can someone summarize the returns and risk-level of his strategy?

Trying to trade purely off technical analysis is a disaster waiting to happen. Have a look at the technical analysis of ETH/USD, for instance, they have absolutely no clue what's going on:

https://www.ethnews.com/analysis/10-30-2017-ethereum-forecas...

As to the linked article, the idea of SMA crossovers is nothing special: https://www.babypips.com/learn/forex/moving-average-crossove...

Take a look at their example. Say you sold at the peak, great. Then the currency drops and you buy at the bottom, great. But then the SMA crosses again and you sell - oops, look where the graph is going. You can't predict this stuff with technical indicators.

Re: Algo trading digital assets

#19

Post by gricardo99 »

nxsynonym wrote: post #7
wc- wrote: post #4

This is a decent first-steps guide into analyzing historical trading data. With resources like Quandl, QuantConnect, etc continuing to improve, hopefully we will see more and more people diving into the data. That being said, the "todos" at the end of this article kind of understate just how much work is left to be done before a strategy like this could be put into production. Ignoring the actual viability of a simpl…

Here's a question I've had for a while regarding trading systems in the cryptocurrency world -- What's the end goal? Would a perfect trading system fully automate the trading process to maximize returns, or is the goal to develop the best tool to assist a trader? I'm curious what you, as someone in the field of developing these systems, see as the "ideal product". As a follow up question, what would happen to a marke…

I'm not exactly sure what you're asking. What's the goal of building a trading system?

As someone who's worked on trading systems in a professional setting I'll give some thoughts.

First and foremost the goal is to make money. I guess some people build these systems for fun/hobby or for the challenge/educational value. But huge amounts of money are spent on trading systems, with the goal that they increase profitability. Sometimes that means maximizing returns, sometimes that means assisting traders. This is a very large market, with very diverse types of end-users. I believe crypto is similar, but a microcosm of the broader trading environment (with some of its own cyrpto-specific idiosyncrasies). You have some "HFT" traders, "institutional", HODLERs, etc... Each has different objectives and skill sets. A trading system has a different value proposition for each trader's needs and objectives.

In terms of a 100% automated market, that's an interesting question. The biggest world markets are very highly automated, such as the equities market. Google "hft percentage of volume" and you'll find various sources claiming up to 70% of the equities volume is HFT. Since HFT trades complete in micro-seconds, this is fully automated trading. The Flash crash was partially blamed on a high-level of automation, were a trader was trying to game the response to large orders[1]. I think a 100% automated market would collapse. Even the 70% automated market of equities has shown some scary positive feedback loops that need human intervention.

1 - https://www.bloomberg.com/view/articles/2015-04-21/guy-tradi...

Re: Algo trading digital assets

#20

Post by nosuchthing »

wc- wrote: post #14
tlb wrote: post #9

Although simulations will predict good profits, you will probably lose your money doing this due to counterparty risk. Counterparty risk is the risk that, between the time you click the 'sell' button and the time you actually get the money deposited in your bank account a few days later, the exchange goes insolvent. When a given coin trades at different prices on two exchanges (which is what these arbitrage algorithm…

This comment is almost like a copy-paste every time some kind of crypto trading article is submitted. I might have missed something in the article / code but this isn't an arb strat? It is just using some moving averages to try to follow a perceived trend in different trading pairs on a single exchange. Counterparty risk definitely still exists, but it is getting better very quickly with the growth of regulated US-ba…

You forgot the most infuential (and unscrupulous) crypto exchange in the cyptocoin ecosystem: Bitfinex. https://medium.com/@bitfinexed/latest
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