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Getting Started with Algorithmic Cryptocurrency Trading

jaynagpaul.com

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Re: Getting Started with Algorithmic Cryptocurrency Trading

#21

Post by adjkant »

a13n wrote: post #18
brndnmtthws wrote: post #2

If you want to lose money, this is a good way to do it. You're better off buying what you believe in and holding it. It's easy to fit a perfect model to historical data, but it rarely works going forward, unless you have insider information.

Can you expand on why you don't think algo trading with predictive algorithms is a viable strategy? GDAX has 0% fees on limit orders. Say you set a limit sell at +1% and a stop loss at -1%. You could trigger a buy whenever you predict that it's >80% likely to hit +1% before -1%. Plug in everything you can get (trades, order book, etc) from GDAX's WebSocket API into an RNN, and I'd guess you can be right more than you…

Another interesting idea is that patterns can hold if the market is mostly being affected by bots. Especially at the micro level.

Even basic ML/AI strategies can be easily profitable with the current volatility. It drastically reduces the risk of the HOLD strategy, and while not necessarily the top profits, can be much safer.

I've been running various algorithms for the past 4 months with varying success (whole system homemade in Python), all profitable.

I'd also note that as mentioned elsewhere in the thread, what algorithm is very important. This market is like few others, and thus I have found lends itself to very different strategies.

Re: Getting Started with Algorithmic Cryptocurrency Trading

#22

Post by a13n »

adjkant wrote: post #21
a13n wrote: post #18

Earlier quoted context omitted.

Can you expand on why you don't think algo trading with predictive algorithms is a viable strategy? GDAX has 0% fees on limit orders. Say you set a limit sell at +1% and a stop loss at -1%. You could trigger a buy whenever you predict that it's >80% likely to hit +1% before -1%. Plug in everything you can get (trades, order book, etc) from GDAX's WebSocket API into an RNN, and I'd guess you can be right more than you…

Another interesting idea is that patterns can hold if the market is mostly being affected by bots. Especially at the micro level. Even basic ML/AI strategies can be easily profitable with the current volatility. It drastically reduces the risk of the HOLD strategy, and while not necessarily the top profits, can be much safer. I've been running various algorithms for the past 4 months with varying success (whole syste…

See? Now there's a blog post I'd read!

Re: Getting Started with Algorithmic Cryptocurrency Trading

#24

Post by a13n »

jiggunjer wrote: post #23

I've heard of strategies where multiple accounts can collude to manipulate the solo bots that make statistical decisions. Is this a real danger when professional companies start getting involved in crypto?

Hmm, just looking at GDAX's API, you aren't able to tell who's making an order. You don't know if it's one account with ten orders, or ten accounts with one each. So I don't see why multiple accounts would be an advantage.

Re: Getting Started with Algorithmic Cryptocurrency Trading

#25

Post by lvturner »

a13n wrote: post #24
jiggunjer wrote: post #23

I've heard of strategies where multiple accounts can collude to manipulate the solo bots that make statistical decisions. Is this a real danger when professional companies start getting involved in crypto?

Hmm, just looking at GDAX's API, you aren't able to tell who's making an order. You don't know if it's one account with ten orders, or ten accounts with one each. So I don't see why multiple accounts would be an advantage.

One thing that springs to mind is that it would allow you to have POSITIONS on both sides of the market, you could use this to create a series of small sell orders that would lure the bots down towards a larger buy order.

You could do this by just placing orders, but I guess in some instances it would be beneficial to be able to hold positions in both directions.

Re: Getting Started with Algorithmic Cryptocurrency Trading

#26

Post by canttestthis »

a13n wrote: post #18
brndnmtthws wrote: post #2

If you want to lose money, this is a good way to do it. You're better off buying what you believe in and holding it. It's easy to fit a perfect model to historical data, but it rarely works going forward, unless you have insider information.

Can you expand on why you don't think algo trading with predictive algorithms is a viable strategy? GDAX has 0% fees on limit orders. Say you set a limit sell at +1% and a stop loss at -1%. You could trigger a buy whenever you predict that it's >80% likely to hit +1% before -1%. Plug in everything you can get (trades, order book, etc) from GDAX's WebSocket API into an RNN, and I'd guess you can be right more than you…

Could you link me to where it says GDAX has 0% fee on limit orders? I couldn't find it.

Re: Getting Started with Algorithmic Cryptocurrency Trading

#28

Post by RandomInteger4 »

joosters wrote: post #19
RandomInteger4 wrote: post #12

Earlier quoted context omitted.

falsiness of 0 is not unique to javascript. int main (int argc, char* argv[]) { return 0; }

That's nothing to do with the language! UNIX processes return an exit code, not a true/false flag.

What question does the exit code answer? Are there any errors? No (0) there are no errors.

The concept of using 0 to mean false is not new to javascript is what I was getting at.

Re: Getting Started with Algorithmic Cryptocurrency Trading

#29

Post by RandomInteger4 »

paulgb wrote: post #16
RandomInteger4 wrote: post #11

Earlier quoted context omitted.

This isn't a javascript problem. They were trying to be too clever and test whether a value was set in the same statement where that value was used for a comparison. The non-truthiness of 0 is something present in many languages.

It's not specific to JavaScript (I've made the same bug in python), but it should be a sign that a language designed to make websites interactive fulfills different requirements than a language designed for building real money trading systems.

Maybe, or maybe people just need to be less clever with their code?

Re: Getting Started with Algorithmic Cryptocurrency Trading

#30

Post by ctchocula »

canttestthis wrote: post #26
a13n wrote: post #18

Earlier quoted context omitted.

Can you expand on why you don't think algo trading with predictive algorithms is a viable strategy? GDAX has 0% fees on limit orders. Say you set a limit sell at +1% and a stop loss at -1%. You could trigger a buy whenever you predict that it's >80% likely to hit +1% before -1%. Plug in everything you can get (trades, order book, etc) from GDAX's WebSocket API into an RNN, and I'd guess you can be right more than you…

Could you link me to where it says GDAX has 0% fee on limit orders? I couldn't find it.

"When you place an order at the market price that gets filled immediately, you are considered a taker and will pay a fee between 0.10% and 0.25% for BTC books and 0.10% and 0.30% for ETH books.

When you place an order which is not immediately matched by an existing order, that order is placed on the order book. If another customer places an order that matches yours, you are considered the maker and your fee will be 0%.

When you place an order that gets partially matched immediately, you pay a taker fee for that portion. The remainder of the order is placed on the order book and, when matched, is considered a maker order. The fee is 0% for that part of the total order."

https://www.gdax.com/fees/

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