Topic: Wouldn't it be nice... (the LazyWhale algorithm) - page 11. (Read 24717 times)
I would say this is simple EMA10/21 crossover strategy on 3d graph. Can't be wrong if you do that way. Too bad I realised it too late...
Hi Just joined. This is perfect for me 
Don't feed the troll.
Why would it matter? Do you always expect services for free?
Yes. At worse, what the guy could do is give out the software for free, and if it works start charging for it sometime in the future, but not now. Otherwise IMO it's a scam.
Why would it matter? Do you always expect services for free?
Yes. At worse, what the guy could do is give out the software for free, and if it works start charging for it sometime in the future, but not now. Otherwise IMO it's a scam.
Why would it matter? Do you always expect services for free?
But I did notice a bit of a red flag going through this thread: something about a version number, as if you are going to sell this program of yours. Surely You're Joking, Mr. Feynman?
Version numbers are standard practice even for personal coding projects simply because version control is important when adding to or debugging existing code. Your projections are odd and unwarranted.
We'll let the author comment? If he says he intends to sell this program, will you eat crow publicly?
But I did notice a bit of a red flag going through this thread: something about a version number, as if you are going to sell this program of yours. Surely You're Joking, Mr. Feynman?
Version numbers are standard practice even for personal coding projects simply because version control is important when adding to or debugging existing code. Your projections are odd and unwarranted.
That's all I'm asking for. (also, sorry for the earlier ad hominems)
Thou shalt insulteth me for my incompetence to put together a proper indicator (which is very much a possibility), but not attacketh with the blunt sword that is the
I "make it up as I go along", to use your words (I assume you mean if I can say if my results would pass a significance filter). But I think I said more than once that I'm aware that there's no guarantee of continued profits in the historic range. Hence, the "public experiment", as I called it from day 1.
I'll note this however: one of the most robust factors (across markets, if I understood them correctly - I skimmed the article) Harvey et al mentions is, non-surprisingly, momentum. Which is .. ta daa .... what my indicator is built up on as well. I hereby claim statistical significance by vague similarity (that should be a thing, I think)
From your prose and sentence structure, you seem like a nice guy, possibly a college major, and not your typical bitcoin bitcon conman. But I did notice a bit of a red flag going through this thread: something about a version number, as if you are going to sell this program of yours. Surely You're Joking, Mr. Feynman?
good idea but practice may say otherwise 
I'm wondering what would happen if everybody here start using the LazyWhale signals. Would expected return go up (self-fulfilling) or down (stampede > queues > slippage; front-running; contrarians etc)?
backtesting is good and all.... but I'm not sure that this is applicable. The time frame too extreme, in bitcoins case. We're never going back to the days of 2011, early adopters got theirs already, no use creating a model that assumes you can start from the beginning.
If you condense the timescale to this year alone, how would you have held up?
If you condense the timescale to this year alone, how would you have held up?
Not sure if I agree with you on this (that 2011 should be ignored)... I believe the market data from back then can still inform future trades, even if the prices from back then never come back. Also, I've said it more than once, everything so far are hypothetical profits. The real test will be seeing if the parameters / constraints I found will hold up in the future.
Re: this year's profit only. Assuming a starting position of 1 BTC as of 2014-01-01, a 1:1 strategy based on this method's output (and assuming no trading costs) has a current account of 1154 USD (~2.95 BTC at current price), based on 3 trades. (yes, I know. very little data points.)
backtesting is good and all.... but I'm not sure that this is applicable. The time frame too extreme, in bitcoins case. We're never going back to the days of 2011, early adopters got theirs already, no use creating a model that assumes you can start from the beginning.
If you condense the timescale to this year alone, how would you have held up?
If you condense the timescale to this year alone, how would you have held up?
Even if you guys are not whales (let's call you dolphins 
), or even for people with even less - don't banks get suspicious when you receive/send a couple thousand back and forth?
), or even for people with even less - don't banks get suspicious when you receive/send a couple thousand back and forth?If your bank is not openly hostile to Bitcoin (few in Europe actually are, it seems. Take a look at this thread maybe: https://bitcointalksearch.org/topic/list-of-bitcoin-hostile-and-friendly-banks-264679), and you plan to pay taxes on your capital gains, that shouldn't be a problem.
Interesting paper, didn't know it before. Thanks.
You know... the cool thing about the EMH (weak or strong, doesn't matter) is how easy it is to empirically falsify it. Just one factor, in one market that yields a result above the significance cutoff (maybe even adjusted for unpublished results
) is enough to at least declare the EMH for that market dead.So, if you don't mind, I'll add a link to your paper to my canned response in the future:
Quote
To see how the new t-ratio benchmarks better differentiate the statistical significance of factors, in Figure 3 we mark the t-ratios of a few prominent factors. Among these factors, HML, MOM, DCG, SRV and MRT are significant across all types of t-ratio adjustments, EP, LIQ and CVOL are sometimes significant and the rest are never significant.
So you just make it up as you go along, or did you run the factors through a stats filter? Re EMH, your empirical falsification would be Warren Buffet of course...
Good luck and let us know when it is open season to insult you... I'll be watching this thread. ;-)
That's all I'm asking for. (also, sorry for the earlier ad hominems)
Thou shalt insulteth me for my incompetence to put together a proper indicator (which is very much a possibility), but not attacketh with the blunt sword that is the
I "make it up as I go along", to use your words (I assume you mean if I can say if my results would pass a significance filter). But I think I said more than once that I'm aware that there's no guarantee of continued profits in the historic range. Hence, the "public experiment", as I called it from day 1.
I'll note this however: one of the most robust factors (across markets, if I understood them correctly - I skimmed the article) Harvey et al mentions is, non-surprisingly, momentum. Which is .. ta daa .... what my indicator is built up on as well. I hereby claim statistical significance by vague similarity (that should be a thing, I think)
Depending on where you live, there is other inconveniences:
1. Transaction fees (about $25 * 2).
2. Currency exchange fees ( * 2).
3. Delays (about 5 days * 2).
4. If the amount is over $10K (or even less, rpietila says it's $5K) it will trigger notification to authorities, so you should be prepared to prove that you are not in drug trade or money laundering etc.
5. Since your country authorities will know about your business, you will have to declare profit from your btc trade and pay tax on it. You may have pay a tax even if you'll make worse that buy & hold. Say, if because of your trading you've lost half of your coins, but since coin price have tripled. So the dollar value of your holdings have grown 1.5x, so you'll have to pay tax on this 0.5. It depends on your country tax rules, of course.
1. Transaction fees (about $25 * 2).
2. Currency exchange fees ( * 2).
3. Delays (about 5 days * 2).
4. If the amount is over $10K (or even less, rpietila says it's $5K) it will trigger notification to authorities, so you should be prepared to prove that you are not in drug trade or money laundering etc.
5. Since your country authorities will know about your business, you will have to declare profit from your btc trade and pay tax on it. You may have pay a tax even if you'll make worse that buy & hold. Say, if because of your trading you've lost half of your coins, but since coin price have tripled. So the dollar value of your holdings have grown 1.5x, so you'll have to pay tax on this 0.5. It depends on your country tax rules, of course.
Yep, these are my worries. On point 4, the bank has called me when I received a $4000 (bitcoin unrelated) transaction...
And on 5: a part of my bitcoin holdings was never on my account, it was transferred directly in bitcoin. How on earth can they know how much I "profited"?
don't banks get suspicious when you receive/send a couple thousand back and forth?
Depending on where you live, there is other inconveniences: 1. Transaction fees (about $25 * 2).
2. Currency exchange fees ( * 2).
3. Delays (about 5 days * 2).
4. If the amount is over $10K (or even less, rpietila says it's $5K) it will trigger notification to authorities, so you should be prepared to prove that you are not in drug trade or money laundering etc.
5. Since your country authorities will know about your business, you will have to declare profit from your btc trade and pay tax on it. You may have pay a tax even if you'll make worse that buy & hold. Say, if because of your trading you've lost half of your coins, but since coin price have tripled. So the dollar value of your holdings have grown 1.5x, so you'll have to pay tax on this 0.5. It depends on your country tax rules, of course.
If you do not sell drugs, do not fund terrorists and you pay taxes, then there is not problem :-).
I don't, don't and do, but still had problems. My bank didn't get my money to exchange, the money just were quietly returned back to my account in a week, so I've lost 2 weeks time (had to open account in other bank) and since it was during a rally, it did cost me a lot 
don't banks get suspicious when you receive/send a couple thousand back and forth?
If you do not sell drugs, do not fund terrorists and you pay taxes, then there is not problem :-).
Interesting paper, didn't know it before. Thanks.
You know... the cool thing about the EMH (weak or strong, doesn't matter) is how easy it is to empirically falsify it. Just one factor, in one market that yields a result above the significance cutoff (maybe even adjusted for unpublished results
) is enough to at least declare the EMH for that market dead.So, if you don't mind, I'll add a link to your paper to my canned response in the future:
Quote
To see how the new t-ratio benchmarks better differentiate the statistical significance of factors, in Figure 3 we mark the t-ratios of a few prominent factors. Among these factors, HML, MOM, DCG, SRV and MRT are significant across all types of t-ratio adjustments, EP, LIQ and CVOL are sometimes significant and the rest are never significant.
So you just make it up as you go along, or did you run the factors through a stats filter? Re EMH, your empirical falsification would be Warren Buffet of course...
Good luck and let us know when it is open season to insult you... I'll be watching this thread. ;-)
This is a truly great thread, it really seems that your lazy whale method works Oda!
I think I might try following it from now on, which will be a first for me in midterm trading.
So as a rookie I really have ro ask:how do you whales do it when your position is usd? Do you just keep the fiat in the exchanges? After MtGox I feel uneasy leaving even my smal amounts hanging around...
I think I might try following it from now on, which will be a first for me in midterm trading.
So as a rookie I really have ro ask:how do you whales do it when your position is usd? Do you just keep the fiat in the exchanges? After MtGox I feel uneasy leaving even my smal amounts hanging around...
Thanks
Please keep in mind that the real test of the method will be the future signals. Backtesting results look promising, but as pointed out by others in here and me as well, it's not possible to rule out entirely that they're mostly the result of curve fitting.Re: 'where to keep your USD'. I'm not a whale myself, but I'll answer anyway
I do feel reasonably secure keeping a non-trivial USD position on Bitstamp for an extended time. They strike me as slightly "bland" exchange perhaps (no margin trading, not ideal for bot traders, intrusive KYC/AML procedure), but as a consequence of that, they seem comparably secure as well to me. Also, never had any trouble or delays with withdrawals (USD or BTC), so I'm willing to take that risk for now and keep my USD on their account. That said, I only trade with a /portion/ of my BTC position - so, if things go terribly wrong on the exchange side, I won't be down entirely.Thanks for the answer! Yeah I guess there's not to much harm if you only keep a portion of your stashes in exchanges.
But what about when you want to keep part of the gains in fiat, because you need to eat?
That is what's great about long term speculation comparing to daily trading - you don't have to keep the money around, one day won't make much difference.
Even if you guys are not whales (let's call you dolphins
), or even for people with even less - don't banks get suspicious when you receive/send a couple thousand back and forth?Sorry for my innocence, I really want to understand, and to be prepared to use the "lazy kitteh" algorithm once the next bubble comes
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