Automated Trading Contest (Prize 0.5 BTC) / Best automated strategies - page 6.

pulsecat

full member

Activity: 220

Merit: 100

Quote from: ZirconiumX on November 25, 2013, 12:22:55 PM

After polishing off the code somewhat, I present to you, the B'n'H beater!

This is my official entry.

Matthew:out

Please note this round is on Mtgox, not Bitstamp.

Quote from: sukiho on November 28, 2013, 06:08:27 AM

just a mention to clarify the rules, November has only 30 days

Thanks for pointing this out. Fixed.

sukiho

hero member

Activity: 514

Merit: 500

just a mention to clarify the rules, November has only 30 days

ZirconiumX

full member

Activity: 286

Merit: 100

Quote from: exuals on November 27, 2013, 02:09:48 PM

Quote from: ZirconiumX on November 25, 2013, 12:22:55 PM

After polishing off the code somewhat, I present to you, the B'n'H beater!

This is my official entry.

Matthew:out

I learned a lot from your code and attempted to implement my simple system into yours, turned out alright:
https://cryptotrader.org/backtests/kqPNdaRruEz2edpiK

Code:

2013-11-24 16:00 Simulation completed. Balance: 181.2825 BTC (145035.09 USD)

I haven't added selling based of previous highs beating new high * percentage but I think it would sell at the peak with some adjustment for potentially more profit.

Well, my first place spot was fun while it lasted, but I don't stand a hope in hell against that.

Matthew:out

exuals

newbie

Activity: 3

Merit: 0

Quote from: ZirconiumX on November 25, 2013, 12:22:55 PM

After polishing off the code somewhat, I present to you, the B'n'H beater!

This is my official entry.

Matthew:out

I learned a lot from your code and attempted to implement my simple system into yours, turned out alright:
https://cryptotrader.org/backtests/kqPNdaRruEz2edpiK

Code:

2013-11-24 16:00 Simulation completed. Balance: 181.2825 BTC (145035.09 USD)

I haven't added selling based of previous highs beating new high * percentage but I think it would sell at the peak with some adjustment for potentially more profit.

exuals

newbie

Activity: 3

Merit: 0

Not sure if I'm eligible to contest, doing these more out of interest.

Based off a similar data-set that ZirconiumX used to show off his BnH beater.

I can't reach quite the same results, I use a cheesy minimum price gain percentage mixed with a volume indicator for buying during bubbles.

First actual attempt I suppose:

Code:

2013-11-25 16:00 Simulation completed. Balance: 75.9959 BTC (63075.88 USD)

(Starting from $1,000, MtGox, BTC/USD @ 4hr)

https://cryptotrader.org/backtests/bQzucyJursAiv2cgF

I'm honestly not sure how "vwap" works but changing the param from a 5 to a twenty increased output dramatically.
Also I'm just a game programmer with little to no market knowledge but this is hell of a lot of fun to dick around with.

Casimir1904

full member

Activity: 209

Merit: 100

Radix-The Decentralized Finance Protocol

Quote from: ZirconiumX on November 25, 2013, 12:22:55 PM

After polishing off the code somewhat, I present to you, the B'n'H beater!

This is my official entry.

Matthew:out

looks nice, only to bad it didn't sell on the $900 up from 19.11

for mtgox i did test with butter bot ema 10/21 2h and buy threashold on 0% and sell threashold on 5% made 9 trades in 2y and beated B'n'H 0.6% fee.

Profit:36929.98%Max. Profit:37153.50%Min. Profit:-0.60%Trades:9
Time   Type   Price   Value   Profit
21.11.2013 11:00:00   buy   670.000    $37029.98   36929.98% 55.26862866 BTC
20.11.2013 13:00:00   sell   500.000    $37253.50   37153.50%
04.05.2013 22:00:00   buy   110.120    $8254.24   8154.24%
02.05.2013 08:00:00   sell   116.380    $8304.06   8204.06%
17.04.2013 18:00:00   buy   90.162    $6472.16   6372.16%
11.04.2013 04:00:00   sell   169.064    $6511.22   6411.22%
21.08.2012 18:00:00   buy   10.082    $390.64   290.64%
19.08.2012 12:00:00   sell   10.099    $392.99   292.99%
28.11.2011 17:00:00   buy   2.539    $99.40   -0.60% 39.14927137 BTC

+16.11935729 BTC
+36929.98 USD
Starting fund was $100.

Can't make so long backtesting with cryptotrader but should be nearly same result.

ZirconiumX

full member

Activity: 286

Merit: 100

Quote from: ZirconiumX on November 25, 2013, 12:22:55 PM

After polishing off the code somewhat, I present to you, the B'n'H beater!

This is my official entry.

Matthew:out

Note that this does not seem to be as effective on MtGox or BTC-E. It's almost a fluke.

Matthew:out

ZirconiumX

full member

Activity: 286

Merit: 100

After polishing off the code somewhat, I present to you, the B'n'H beater!

This is my official entry.

Matthew:out

ZirconiumX

full member

Activity: 286

Merit: 100

Quote from: ZirconiumX on November 25, 2013, 02:17:48 AM

Quote from: pulsecat on November 24, 2013, 01:51:10 PM

Quote from: ZirconiumX on November 24, 2013, 11:08:23 AM

Quote from: Grinny on November 24, 2013, 05:45:25 AM

I'm in with this one: https://cryptotrader.org/backtests/AzhmEhWnxuPHSFadX

Which does not beat Buy'N'Hold. Bear in mind that modified example scripts are allowed.

As for me, though I'm not making an official entry yet, I am experimenting with some drunk science.

I have no idea how changing the VWAP from 20 periods to 1 period increases the income tenfold.

Matthew:out

Great! Finally we have first volume based strategy. The only dissappointing detail is that it went short at $494.26 and didn't buy after.

Does the volume really have that much of an effect if I'm only calculating the VWAP for one period?

As for the short selling, there are multiple things I could try to solve the problem, based around ignoring the VWAP, such as checking if we have hit a 20-period high, or using the ADX.

I could also try something purely volume based.

Matthew:out

As it turns out, one of these strategies is very successful indeed.

I'll throw you a bone:

2013-11-25 00:00 Simulation completed. Balance: 103.9711 BTC (83182.08 USD)

Matthew:out

lonsharim

full member

Activity: 196

Merit: 100

Is there any place for us to see the winning strategies of the previous (4?) rounds?

ZirconiumX

full member

Activity: 286

Merit: 100

Quote from: pulsecat on November 24, 2013, 01:51:10 PM

Quote from: ZirconiumX on November 24, 2013, 11:08:23 AM

Quote from: Grinny on November 24, 2013, 05:45:25 AM

I'm in with this one: https://cryptotrader.org/backtests/AzhmEhWnxuPHSFadX

Which does not beat Buy'N'Hold. Bear in mind that modified example scripts are allowed.

As for me, though I'm not making an official entry yet, I am experimenting with some drunk science.

I have no idea how changing the VWAP from 20 periods to 1 period increases the income tenfold.

Matthew:out

Great! Finally we have first volume based strategy. The only dissappointing detail is that it went short at $494.26 and didn't buy after.

Does the volume really have that much of an effect if I'm only calculating the VWAP for one period?

As for the short selling, there are multiple things I could try to solve the problem, based around ignoring the VWAP, such as checking if we have hit a 20-period high, or using the ADX.

I could also try something purely volume based.

Matthew:out

pulsecat

full member

Activity: 220

Merit: 100

Quote from: ZirconiumX on November 24, 2013, 11:08:23 AM

Quote from: Grinny on November 24, 2013, 05:45:25 AM

I'm in with this one: https://cryptotrader.org/backtests/AzhmEhWnxuPHSFadX

Which does not beat Buy'N'Hold. Bear in mind that modified example scripts are allowed.

As for me, though I'm not making an official entry yet, I am experimenting with some drunk science.

I have no idea how changing the VWAP from 20 periods to 1 period increases the income tenfold.

Matthew:out

Great! Finally we have first volume based strategy. The only dissappointing detail is that it went short at $494.26 and didn't buy after.

ZirconiumX

full member

Activity: 286

Merit: 100

Quote from: Grinny on November 24, 2013, 05:45:25 AM

I'm in with this one: https://cryptotrader.org/backtests/AzhmEhWnxuPHSFadX

Which does not beat Buy'N'Hold. Bear in mind that modified example scripts are allowed.

As for me, though I'm not making an official entry yet, I am experimenting with some drunk science.

I have no idea how changing the VWAP from 20 periods to 1 period increases the income tenfold.

Matthew:out

Grinny

sr. member

Activity: 390

Merit: 250

I'm in with this one: https://cryptotrader.org/backtests/AzhmEhWnxuPHSFadX

wamatt

member

Activity: 85

Merit: 10

It's probably too complicated, but have you considered plans to support Bitfinex via their API?

Complexity would due to the leverage and shorting. Additionally there are loan fee's on margin trades, all of which, would affect the P+L calculation

Gimmoroy

legendary

Activity: 1372

Merit: 1000

Quote from: pulsecat on November 23, 2013, 08:43:41 AM

- There is no "outperform Buy and Hold" rule, so someone should guaranteed win.

Sure? My supermegaalgorithm will make single buy at the start point.
May I send the address to get my prize ?

Is there someone, who will publish profitable algorithm?
I think the challenge should keep an algorithm in secret. And I am sure, it will be a good occasion to sell the good things, and make service idea more reliable.
Also the announcement should be crossposted at least in coders section.

pulsecat

full member

Activity: 220

Merit: 100

OK, because there is very few of those who would risk their bitcoins, the Round #5 will be sponsored by myself!

As compared to previous rounds:
- Strategies will be backtested over the period of 1 year instead of one month.
- There is no "outperform Buy and Hold" rule, so someone should guaranteed win.
- ~~All strategies must be pure algorithms, read more in the rules link.~~
Please review updated rules for Round 5 and suggest changes, as these rules are subject to changes until Monday.

Anyone who wishes to donate to the prize fund please send Bitcoins to 1BueD4kDjkPHVWH7btwt6GNz7Ki3wyeA7q.
The bigger will be the prize, the more participants join the contest. As the result everyone will benefit from the variety of good strategies!

itod

legendary

Activity: 1974

Merit: 1077

Honey badger just does not care

Quote from: pulsecat on November 16, 2013, 02:36:10 PM

Entry fee is 0.1 BTC which goes to the winning pot. Also i'll double the prize - for example if there will be 5 participants, i add 0.5 BTC to the pot. Voluntary donations are welcome, though they won't be doubled.

Great pulsecat! Withdrawing coins to send it.

Although this Coinapult service looks like a pain in the ass. What will launch when I do the transaction? It's a bit scary, aren't there more elegant ways to generate unique payment addresses?

pulsecat

full member

Activity: 220

Merit: 100

OK, who is willing to participate in the next round, beside itod and ZirconiumX?
Unlike the previous rounds, strategies will be backtested on historical market data with start date set to 2013/01/01 plus one month of future performance.
Entry fee is 0.1 BTC which goes to the winning pot. Also i'll double the prize - for example if there will be 5 participants, i add 0.5 BTC to the pot. Voluntary donations are welcome, though they won't be doubled.

If you wish to join in ~~send entry fee (0.1 BTC) and your nickname to this address [email protected] using Coinapult service.~~ contact me in PM first.

If you would like to contribute to the prize pool, please send your bitcoin donations to this address 1BueD4kDjkPHVWH7btwt6GNz7Ki3wyeA7q

Mavi

member

Activity: 80

Merit: 10

Fine by me, but i don't have any btc right now, i'm waiting for price goes down.

Topic: Automated Trading Contest (Prize 0.5 BTC) / Best automated strategies - page 6. (Read 50220 times)