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Algo trading digital assets

johnmathews.eu

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Re: Algo trading digital assets

#31

Post by wc- »

dharma1 wrote: post #29
wc- wrote: post #21

Earlier quoted context omitted.

Yes, very familiar with finex and the bitfinexed guy's warnings / rants / whatever you want to call them. If counterparty risk is a top concern (and it probably should be) then don't trade on unlicensed exchanges... That rule is great to follow and I haven't even gotten into any usdt tether issues...

couldn't you trade on decentralised exchanges where counterparty risk isn't a thing? at least if you're only trading between crypto pairs

Yes, decentralized exchanges (dex) are coming and I'm very hopeful.

However, the ones I have looked at / tested so far just aren't ready for primetime. Slow transaction times, lackluster user experience, no liquidity.

But those are all problems that are to be expected for what are basically beta-status projects (at best) and I am excited to see where things go from here.

Re: Algo trading digital assets

#32

Post by bduerst »

gricardo99 wrote: post #19
nxsynonym wrote: post #7

Earlier quoted context omitted.

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 profitabil…

>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.

Which is because the automation isn't capable of fully gaming itself yet.

In game theory, you don't have to be the smartest person in the room, you just have to know what everyone else is going to do. In a ~100% automated market, whoever can identify the patterns emergent from the automated rules will be able to beat the automation.

Re: Algo trading digital assets

#33

Post by notyourgrandma »

gricardo99 wrote: post #19
nxsynonym wrote: post #7

Earlier quoted context omitted.

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 profitabil…

What do you think of db's recent decision to open-source their trading platform? https://www.db.com/newsroom_news/2017/deutsche-bank-makes-it...

Re: Algo trading digital assets

#34

Post by dpweb »

gricardo99 wrote: post #19
nxsynonym wrote: post #7

Earlier quoted context omitted.

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 profitabil…

HFT strategies are of course secret but aren't they really taking advantage of:

1. Faster speed to market. Basically, front running 2. Extremely low transaction costs. Not available to the retail trader or even electronic mkt makers. 3. Extremely low time in each trade - when you dispense with bell curve predicting - risk becomes only the time you are not flat.

These are NOT prediction of future price. HFT don't make money 'predicting' the market - they are too sophisticated as traders to believe that's reliably possible. It is to some extent, but its very hard and theirs is a better play.

Re: Algo trading digital assets

#35

Post by meesterdude »

joshvm wrote: post #18
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.…

> Trying to trade purely off technical analysis is a disaster waiting to happen.

Watching purely a leading indicator can get you in trouble with false positives; while a lagging one means missing some of the trend. Yes, you can take it too far, use too many indicators, or look for trends in ranging markets and other mistakes.

Re: Algo trading digital assets

#36

Post by meesterdude »

I'm building a trading bot (ruby) that uses a collection of signals to trade. I have been working on the backtesting to do validation of different strategies across different pairs and intervals. The highest i've gotten it so far is 120X from start of LTC/BTC, but thats also on a fairly aggressive setting (and obviously idealistic);

SMA can work, but it can also bite you. I think using only 1 technical indicator is asking for trouble when determining entry. Use at least 2, but no more than 5 or 6.

As a software developer, its a cool field to tinker in. But theres lots of ignorance, hype, and crap.

For anyone who wants to build a simple bot, checkout gekko https://gekko.wizb.it

Re: Algo trading digital assets

#38

Post by albertgoeswoof »

joshvm wrote: post #18
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.…

That ethnews article is bizarre

Re: Algo trading digital assets

#39

Post by dsacco »

dpweb wrote: post #34
gricardo99 wrote: post #19

Earlier quoted context omitted.

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 profitabil…

HFT strategies are of course secret but aren't they really taking advantage of: 1. Faster speed to market. Basically, front running 2. Extremely low transaction costs. Not available to the retail trader or even electronic mkt makers. 3. Extremely low time in each trade - when you dispense with bell curve predicting - risk becomes only the time you are not flat. These are NOT prediction of future price. HFT don't make…

> Faster speed to market. Basically, front running

No, this is not basically front running. Front running has a very specific meaning. High frequency trading is not front running.

Re: Algo trading digital assets

#40

Post by JumpCrisscross »

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…

As a former high-frequency (HF) equity derivatives trader, I'm skeptical of HF cryptocurrency trading. There's a reason few modern markets have HF trading, an activity which could be described as vacuuming up nickels in front of bulldozers. HF needs a stable, predictable environment to make the nickels worth collecting.

Risk management in HF is less about predicting what might go down than avoiding trading when liquidity dries up. This is why when markets get weird HF algos pull out: an unexpected one-minute trading stall can wipe out a quarter's profits.

In crypto, where the market is still learning lessons from the 1930s, the nickels are quarters but the bulldozers are tanks.

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