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Cryptocurrency Analysis with Python – Buy and Hold

romanorac.github.io

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Re: Cryptocurrency Analysis with Python – Buy and Hold

#11

Post by HIP_HOP »

viridian wrote: post #8

This may be a bit pedantic, but the phrase the author uses in his disclaimer "Experts agree that cryptocurrencies are a bubble." bothers me because it's kind of misleading. The actual fact at hand is ~96% of economists think that the crypto market has been subject to a massive speculation bubble as of November. While that's sort of close to Roman's disclaimer, there is some nuance that ought to be given, since a) 4%…

I agree, I just wanted to make sure some noob doesn't think he'll invest and make a guaranteed profit.

Re: Cryptocurrency Analysis with Python – Buy and Hold

#12

Post by turnersr »

hendzen wrote: post #3

Don't work with closing prices for statistical analysis. Work with returns (really log returns). This would have simplified some of the code, and made the plots in the same units rather than requiring separate axes. More detail: https://quantivity.wordpress.com/2011/02/21/why-log-returns/

What do you mean by those plots currently have different units? Don't they consider the price in dollars as the unit?

Re: Cryptocurrency Analysis with Python – Buy and Hold

#13

Post by AlexCoventry »

minimaxir wrote: post #5

Unless you can include the complete irrationality of the users fueling the crypto bubble to get rich into the statistical model, any statistical analysis of those prices will be misleading. Traditional historical trend analyses of stock prices assume the market is somewhat rational. (but not 100% efficient, which is where money can be made)

It's not irrational. It's an asset whose price is rising. If you want to make money, it's a good asset to trade. Just avoid hodling the bag when the music stops...

Re: Cryptocurrency Analysis with Python – Buy and Hold

#14

Post by jonny_eh »

dperfect wrote: post #9

I ran some tests of my own with simulated automated trading strategies over the past few years of historical Bitcoin price data. I used a genetic algorithm to encode a range of time parameters for MACD, along with different trading triggers and amounts. After a day or two of running it against a huge number of permutations and generations optimized for highest overall return, I came to a similar conclusion: the fitte…

Is that another way of saying "the bubble hasn't burst yet"?

Re: Cryptocurrency Analysis with Python – Buy and Hold

#15

Post by granitosaurus »

dperfect wrote: post #9

I ran some tests of my own with simulated automated trading strategies over the past few years of historical Bitcoin price data. I used a genetic algorithm to encode a range of time parameters for MACD, along with different trading triggers and amounts. After a day or two of running it against a huge number of permutations and generations optimized for highest overall return, I came to a similar conclusion: the fitte…

You and OP have the same mistake - you trade exchange, when you should trade margin.

In trading exchange bots will lose in unregulated market. Only the best bots can benefit where insider information is a common thing.

In margin trading however what you do is extend your overal capital, i.e. by having 10k usd you can make profits of holding 10k and trading 100k (at 10x margin). However of course margin is more dangerous but nevertheless you'll most likely end up with positive in the long run.

Re: Cryptocurrency Analysis with Python – Buy and Hold

#16

Post by adjkant »

dperfect wrote: post #9

I ran some tests of my own with simulated automated trading strategies over the past few years of historical Bitcoin price data. I used a genetic algorithm to encode a range of time parameters for MACD, along with different trading triggers and amounts. After a day or two of running it against a huge number of permutations and generations optimized for highest overall return, I came to a similar conclusion: the fitte…

Depending on the automated strategy, they can dramatically reduce risk though. That has value well beyond the simple return of buy and hold, where if you don't time the sell perfectly, it's all useless. I think that's the big advantage automated trading strategies can have if designed well.

Re: Cryptocurrency Analysis with Python – Buy and Hold

#17

Post by dperfect »

jonny_eh wrote: post #14
dperfect wrote: post #9

I ran some tests of my own with simulated automated trading strategies over the past few years of historical Bitcoin price data. I used a genetic algorithm to encode a range of time parameters for MACD, along with different trading triggers and amounts. After a day or two of running it against a huge number of permutations and generations optimized for highest overall return, I came to a similar conclusion: the fitte…

Is that another way of saying "the bubble hasn't burst yet"?

Well, the data did include Bitcoin's first rise above $1000 and subsequent crash (which most people called "a bubble"). If you had bought right before that one "popped", yes - you would have waited a while to be back in positive territory, so that's one time window where you might have lost money compared to the algorithm, but only if you were impatient.

Re: Cryptocurrency Analysis with Python – Buy and Hold

#18

Post by HighlandSpring »

minimaxir wrote: post #10
HIP_HOP wrote: post #7

My next step is to implement strategy testing. I would like to end this series with a classifier that predicts buy or hold. Follow me on Twitter to get the latest updates: https://twitter.com/romanorac

A classifier that flips a coin would probably have higher accuracy.

Give the coin a bias towards long and you've got a winner!

Re: Cryptocurrency Analysis with Python – Buy and Hold

#19

Post by HIP_HOP »

minimaxir wrote: post #10
HIP_HOP wrote: post #7

My next step is to implement strategy testing. I would like to end this series with a classifier that predicts buy or hold. Follow me on Twitter to get the latest updates: https://twitter.com/romanorac

A classifier that flips a coin would probably have higher accuracy.

I am going to try. I am not saying I developed it.

Re: Cryptocurrency Analysis with Python – Buy and Hold

#20

Post by thisisit »

AlexCoventry wrote: post #13
minimaxir wrote: post #5

Unless you can include the complete irrationality of the users fueling the crypto bubble to get rich into the statistical model, any statistical analysis of those prices will be misleading. Traditional historical trend analyses of stock prices assume the market is somewhat rational. (but not 100% efficient, which is where money can be made)

It's not irrational. It's an asset whose price is rising. If you want to make money, it's a good asset to trade. Just avoid hodling the bag when the music stops...

> Just avoid hodling the bag when the music stops...

and how do you know exactly when the music has stopped?

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