Topic: Wouldn't it be nice... (the LazyWhale algorithm) - page 12. (Read 24717 times)

True. The insult is added on the spot to fit the particular instance of stupidity on display. (bad temper sometimes. sorry.)



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 Just one factor, in one market that yields a result above the significance cutoff (maybe even adjusted for unpublished results :D) is enough to at least declare the EMH for that market dead.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:

"Despite the positive evidence on the profitability of technical trading strategies, it appears that most empirical studies are subject to various problems in their testing procedures, e.g., data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies."

TL;DR:

Lol, BTCtrader71 beat me to it

Don't leave out this part:

Your canned response always includes an insult too?  How thoughtful (Not).

Although I doubt you will understand it, here is a paper [1] you should read and ask some grownups what it means.

Good luck with your market crystal ball gazing.  I expected to see a plea for donations for your so-called research, but happily I did not see you stoop that low.

TonyT

[1]
http://www.nber.org/papers/w20592

Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0. However, what hurdle should be used for current research? Our paper introduces a multiple testing framework and provides a time series of historical significance cutoffs from the first empirical tests in 1967 to today. Our new method allows for correlation among the tests as well as missing data. We also project forward 20 years assuming the rate of factor production remains similar to the experience of the last few years. The estimation of our model suggests that a newly discovered factor needs to clear a much higher hurdle, with a t-ratio greater than 3.0. Echoing a recent disturbing conclusion in the medical literature, we argue that most claimed research findings in financial economics are likely false.

Here, have my canned response for cases like this:

Can we publicly ridicule you now, unicorn?  LOL u r lookin for the mythical chart to describe the future of BTC.  If the BTC market is fair, then by definition there is no way to predict it, according to the EMH (Efficient Market Hypothesis).  If it's not fair, as you imply, and the whales are manipulating it, then it is predictable.  Has anybody looked at the trading volume to see if there are whales that dump shares (or buy back) during the red/green portions of the curve?  Keep in mind volume always increases when there is a price jump or fall, so you must parse the data to see if whales are trading, not just volume.  There was a whale ("BearWhale") a few weeks ago trading bitcoin but I don't see it had a big effect on price.

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.

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.

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...

Just to screw with people I bet it goes green then red right after lol... but lets see...

Go on, cross ya bugger, dare you, double dare you!!!

New version (V3.2). Updated to include (rather "lax") stop loss triggers. I backtested a range of stop percentages to make sure they don't interfere with the signals (and corresponding trades) in the past. The point was not to optimize historical profit further (which would be cheating imo), but adding a level of safety to the output of the method. Exact percentage values at which stops are set changes, but roughly, around 10%, 15%.

Suggested position still USD. Here's an updated view, with the approximate area in which either a buy signal is triggered (green), or a change to a buy signal becomes unlikely in the short to mid term (red).

+


=

Think I understand it now. Most trends used in the signal are long term enough that this doesn't appear to happen easily, and I'm using a threshold that probably reduces the likelihood for it happening further.

I'll test it on other charts / markets as soon as I have time. Right now, I want to add one small feature, a "built in" mildly volatility adjusted stop loss, and see how it performs over the history with that built in stop compared to the current stop free version.

or 0 BTC and 0 USD if traded at mtGox

I originally thought this fewcoins account was another falllling shill account, but there are some subtle differences.

You are right.  Let's discuss its future performance.  Let me get my crystal ball.

This is hilarious... I love how everyone has to keep referring to bitcoin's past performance
GLTA