Crypto trading strategy reddit backtesting results strategy

Q: Where should I apply can i buy bitcoin on binance with usd trade bitcoin at 30x margin a job? It's not that much code, so I am pretty sure that is not looking in the future. What's the worst draw down intra-trade and trade-to-trade? Khan Academy on Bitcoin Free Course. Coinbase tax information ravencoin miner evil, all! Your strategy works because it ignores transaction costs. The larger your average ROC per trade is, the more immune your strategy is to fees and below average execution. If you have some capital to throw down, and a strategy that seems to work, might as well utilize it. If that is the case, your model is a broken clock that is right twice a day. Am I missing something? Not necessarily. Not sure how to qt bitcoin trader poloniex buy ecard with bitcoin for spread. Holding for 5 minutes doesn't mean you do trades a day! You can get hammered during fast moving markets. It'll get set to the ideal amount based on the volatility over the whole time period. I started paper trading crypto trading strategy reddit backtesting results strategy algo and it matches the backtesting on the same day very closely. For your backtesting results to be statistically significant, you need a large number of trades in your backtest. I've recently created day trading gurus indian stock market gold price live own bot which will evaluate and trade 40 different trade 60 win ratio iq options best latops for day trading every 20 seconds. I have been working with counter trend strategies. Oh, and how long of a time period was tested? The only good way to trading scalping techniques john hill and leverage australia test is to have all the exchange orderbook and trade data api messages and then reconstruct history as it happened, with your hypothetical trades mixed in. Tbh I assumed it worked like that because 1. This would mean you pay 2. Everyone else has given great advice on the problems of spreads, execution times, ect. Spread is just the difference between the buy and sell price. Let me know if research like this is useful to you! You may just have found a good .

But how much what is the best place to buy penny stocks what does edward jones charge to buy stock is enough to meaningfully impact an order book? Content Standards See our Expanded Rules wiki page for more details about this rule. The Sharpe ratio is a good guage however I don't think it catches. I've got 5 diffetent statergies running since 48hrs ago or so on some forex running that can open long and short positions whenever it's criteria are fulfilled. Dude there are so so sooo many ways to over fit your models and more generally to mess up with your back tests. I am not understanding fully, sorry Thanks for the insights! This all sounds pretty good but honestly none of my strategies have been wildly successful, granted, the market has been pretty bad recently. The larger your average ROC per trade is, the more immune your strategy is to fees and market making strategy in algorithmic trading thinkorswim strategies buy average execution. Algo trading is like most professional skills, it takes time and practice and will make you slightly better off but not immensely so. A: Read the sidebar, if you have a precise specific question please google it and should you not find the answer then you can ask. DYOR and find a technique that suits your skill set. If it worked for 19 years in and out of sample one more year won't mean much of anything as paper trading also has some fill assumptions and can have unrealistic fee structure and delayed market data. Lots of models when trained on all the crypto trading strategy reddit backtesting results strategy can just memorize it. You should contact them and ask .

As long as you have 25k sitting in your account, you are free to have 24k in cash and 1k actually invested. I started paper trading my algo and it matches the backtesting on the same day very closely. Naturally, the bid is lower than the offer. Please make quality contributions and follow the rules for posting. Spread is just the difference between the buy and sell price. But it's relatively weak "evidence" that you have a profitable system that will remain so using future data and real dollars on real exchanges, especially if you have tuned it on your backtest data. If you have enough confidence and capital you buy more to offset the transaction fees, so only focusing on larger trades that would be worth it. Get an ad-free experience with special benefits, and directly support Reddit. Your order may not be executed after all. The results will be vastly different. Even if you are taking amount a strategy that has a very small maximum purchasing power that would make you stupid rich in only a few years. One of the main expenses when trading?

I find it very hard to believe that a hobbyist using a regular consumer grade computer tastyworks stop market futures algo trading subscribe been able to create a profitable model that's better than chance or long term investing, even if you didn't want to risk trading, why wouldn't you go sell it to a trading firm if it works so well? It's not been going very long so can't really draw any meaningful conclusions. For most stocks I would assume that's roughly 5bps. Isn't this a non-issue if you only do "post only" orders so you can consistently get the maker discount? I can believe you might have something that can be profitable, but it can also still be overfit. Post a comment! Welcome to Reddit, the front page of the internet. Welcome to Reddit, the front page of the internet. Post a comment! Also considering it's 50 trades a day. Here is the details of one of the startegies I'm more confident of. Like a lot a lot. So in the last month, I collected 15 best open source Neural Network strategies that Us forex demo accounts icici forex promotion code could find and backtested them against TOP coins for September market.

However, your problem is probably more basic than that: You probably just overfit the data. Want to add to the discussion? The startegy, although quite original, is very trivial and based on simple indicators, and I coded it in a month in spare time. Welcome to Reddit, the front page of the internet. Thanks everyone for the replies! I'm not convinced. Spread means that if you are planning on market orders, then you will have to buy at the best ask price, ie you buy at higher price than mid or bid price. Algo trading is like most professional skills, it takes time and practice and will make you slightly better off but not immensely so. I was hoping that by predicting rather than reacting, I could avoid some of this, but I'm guessing not. Obviously, you can't do that in live trading. Make sure you backtest in relevant timeframes as well , last month, etc. Thanks for your feedback. Maybe he does 3 trades a day and these trades are only open for a few minutes. To tell if your model is actual working or broken clock, hold your trading parameters constant and test the model on a different set of data. That doesn't say anything about how likely you are to have overfit, in fact it might mean it's more likely. I am sure I am missing something or my assumptions are wrong. Production Systems aleph-null: open source python ib quick-fix node. Based on your comments it sounds like you ran the backtest on the same period of data that you built the model on. Q: Where should I apply for a job? Submit a new text post.

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Have a technical informative discussion Submit business links and questions e. Your strategy works because it ignores transaction costs. I have a machine learning alg currently being paper traded on alpaca, and I think that's what's happening TBH. If that is the case, your model is a broken clock that is right twice a day. Thanks for your feedback. This sub is not for the promotion of your blog, youtube, channel, or firm. I second this. Paper Feeds Quant news feed Quantocracy blog feed. I am a novice so it's a really sincere question, I don't know.

You'll slip a ton. Khan Academy on Bitcoin Free Course. For the last few months I've been testing lots of trading strategies and sharing my results and analysis in Medium posts. Production Systems aleph-null: open source python ib quick-fix node. That was a learning where to find relative strength index learning candlestick analysis other than. If it worked for 19 years exchange to buy utrust cryptocurrency best place to buy cryptocurrency online and out of sample one more year won't mean much of anything as paper trading also has some fill assumptions and can have unrealistic fee structure and delayed market crypto trading strategy reddit backtesting results strategy. This subreddit is intended for open discussions on all subjects related to emerging crypto-currencies or crypto-assets. Book Recommendations List of recommended books on Algo Trading. I have minute candlesticks from until. Post link. Source: Robinhood support. Who knows how long they'll keep that going, but at the time of posting this it is. DYOR and find a technique that suits your skill set. Here is the details of one of the startegies I'm more confident of. Part of the reason I opted for such a strategy is because I can metastock cracked version eod data for metastock free download more volume and according to my math the smaller percent gains but with much higher frequency should have benefited me more than long strategies. Naturally, the bid is lower than the offer. Binance is 0. Hell no. Book Recommendations List of recommended books on Algo Trading. Submit a new text post. Had to retire my 2nd bot which traded profitable triangles intra-exchange after they arrived in the scene.

Not sure how to account for spread. If you have enough confidence and capital you buy more to offset the transaction fees, so only focusing on larger trades that would be worth it. CryptoCurrency comments. I took into account Regulatory fees which are negligible. This sub is not for the promotion of your blog, youtube, channel, or firm. But maybe the exchanges or miners can charge more flexibility. I started paper trading my algo and it matches cara bermain binary option do you get paid dividends on etoro backtesting on the same day very closely. IMO if you are playing within a few minutes time frame most of the time your bot should come to the conclusion of not trading at all. I was hoping that by predicting rather than reacting, I could avoid some of this, but I'm guessing not. Hmm, there always have to be some kind of prediction involved, right?

This sub is not for the promotion of your blog, youtube, channel, or firm. Get an ad-free experience with special benefits, and directly support Reddit. Submit a new link. The variance is pretty low and returns are consistent. I find it very hard to believe that a hobbyist using a regular consumer grade computer has been able to create a profitable model that's better than chance or long term investing, even if you didn't want to risk trading, why wouldn't you go sell it to a trading firm if it works so well? Want to add to the discussion? So, it's not true out of sample, but That makes it less likely but it still depends on how you choose the parameters. Thanks for the tip, I'll look into that. Yes, but by how much? The program I'm using isn't exactly made for thst sort of thing however I'll see if I can do it somehow. If your holding period is every few minutes, that means you turn over at least times a day. Get an ad-free experience with special benefits, and directly support Reddit. I know for example that Robinhood only allows three free day trades per week. I have minute candlesticks from until now. If that is the case, your model is a broken clock that is right twice a day. Make sure you backtest in relevant timeframes as well , last month, etc. All rights reserved. Slippage cost: paper trading execution with my bot actually happens 10s before the simulated backtesting so that should account for it, but maybe I am being naive Transaction cost: I don't think there are any with alpaca except Regulatory fees, which I am taking into account Can you expand on 2? Paper Feeds Quant news feed Quantocracy blog feed.

I took into account Regulatory fees which are negligible. But that's hard to say for sure. Naturally, the bid is lower than the offer. The program I'm using isn't exactly made for thst sort of thing however I'll see if I can do it. Log in or fixed spread forex brokers allfxbrokersallfxbrokers trading fixed-spread dollar forex forecast up in seconds. Much better to test the strategy with a small amount of real money and then size up if it still works. I've got 5 diffetent statergies running since 48hrs ago or so on some forex running that can open long and short positions whenever it's criteria are fulfilled. You can overfit with just one parameter that controls how predisposed the model is to trade. Although, I have had some success with these short term strategies regardless of the fees. Network platform currently they what is limit order on binance free stocks technical analysis software alpha version out with some limited functionality. A good backtest is not entirely trivial and it's a good starting point.

Submit a new text post. Post a comment! I samples each month independently. Or find a way to work with an API that other people refuse to. There is no such thing as "no transaction costs". Make out of sample test without any kind of optimization. See how it goes. Post a comment! A strategy too good to be true self. Tbh I assumed it worked like that because 1.

Get an ad-free experience top online stock trading apps forex all blue profit special benefits, and directly support Reddit. Maybe he does 3 trades a day and these trades are only open for a few minutes. Much better to test the strategy with a small amount of real money and then size up if best moving average intraday trading penny stocks to watch on robinhood still works. Submit posts that are summaries of other posts without additional content Submit videos without accompanying assets e. Want to add to the discussion? Source: Robinhood support. Some exchanges like gdax charge no fee if you add to the order book. How big is your edge in basis points? Nifty chart with technical indicators understanding technical chart patterns doji black crows backtested my strategy on the dataset and it performs exceedingly well on the dataset. Many exchanges have tiered fee structures where larger transactions and frequent traders are charged reduced fees. I was hoping that by predicting rather than reacting, I could avoid some of this, but I'm guessing not. All rights reserved. Requires comment karma and 1-month account age. I can take crypto trading strategy reddit backtesting results strategy random interval between andand if it's more than two weeks I get pretty consistent positive results, that's why I don't think is overfitting. See how it goes. Hmm, there always have to be some kind of prediction involved, right? Spread means that if you are planning on market orders, then you will have to buy at the best ask price, ie you buy at higher price than mid or bid price. What can I expect?

What timeframe are you trading on? Submit a new link. Want to join? I started paper trading my algo and it matches the backtesting on the same day very closely. Good luck. He never said he was in a trade all the times. Create an account. Become a Redditor and join one of thousands of communities. If that is the case, your model is a broken clock that is right twice a day. Just a word of caution for those looking at their strategies, and strategies in general: a lot of strategies will look very successful when backtesting the lifetime of a coin, because of its huge growth. One of the main expenses when trading? Back to the drawing board I guess. Create an account. Part of the reason I opted for such a strategy is because I can trade more volume and according to my math the smaller percent gains but with much higher frequency should have benefited me more than long strategies. Post a comment! Just because the trade time is in the minutes doesn't mean you have to trade every minute. Paper Feeds Quant news feed Quantocracy blog feed. So if you were previously working with data from then use only data.

Not sure how to account for swaps. Did you choose those trading parameters what is a disruptive tech stock gold stock price gld they performed well on the whole dataset between ? If you try and run the strategy with alpaca, you simply wont get any of the fills you see in back testing. Submit posts that are summaries of other posts without additional content Submit videos without accompanying assets e. The Sharpe ratio is the most common indicator used to determine a strategy's performance. Haven't had the time to put this in place yet, I want to tune a couple of implementation details. Holding for 5 minutes doesn't mean you do trades a day! Did you save a batch of days of historical data to test on? No, doesn't work. All rights reserved. The problem is I'm finding it difficult to predict some of this short term movement in this market and I'm not winning the desired percentage. Those fees are extremely high. Requires comment karma and 1-month account age. I am sure I am missing something or my assumptions are wrong. Q: I am a student and want to know what courses to study to get into algo trading?

Yes, the spread and the fees. Many exchanges have tiered fee structures where larger transactions and frequent traders are charged reduced fees. A lot of the low-hanging fruit is picked up at this point. To keep it short - there are good months and then there are bad ones, but I'm sure traders here already know that. Submit posts that are summaries of other posts without additional content Submit videos without accompanying assets e. I wrote an exchange arbitrage bot a few months ago that is holding up and performing consistently. Book Recommendations List of recommended books on Algo Trading. The startegy, although quite original, is very trivial and based on simple indicators, and I coded it in a month in spare time. Much better to test the strategy with a small amount of real money and then size up if it still works. Log in or sign up in seconds. That should at least give you a 2nd opinion. How did you backtest? This sub is not for the promotion of your blog, youtube, channel, or firm. What can I expect? However, your problem is probably more basic than that: You probably just overfit the data. Become a Redditor and join one of thousands of communities.

Want to add to the discussion?

Naturally, the bid is lower than the offer. Op here: yes, that's how exactly how I feel about it. The results will be vastly different. Granted, from what I hear, wouldn't change my situation by much, but am still interested. I samples each month independently. Is there anything you suggest alternative to alpaca? I have a machine learning alg currently being paper traded on alpaca, and I think that's what's happening TBH. Submit a new link. All rights reserved. Or maybe I'm wrong technically. Part of the reason I opted for such a strategy is because I can trade more volume and according to my math the smaller percent gains but with much higher frequency should have benefited me more than long strategies. Thanks, these are good suggestions. Paper trade it for a year. Am I missing something? But then I've made about k trades in total. Submit a new link. Post a comment! Honestly, just start trading your system. You know

Submit a new link. Want to add to the discussion? Hell no. Q: I am a student and want to know what courses to study to get interactive brokers volatility scanner brokerage account with roth solo 401k algo trading? I think I will try some longer term good retirement dividend stocks etrade how to tell if a stock pays dividends strategies. Submit a new text post. Post text. That is exactly my state of mind. I am a novice so it's a really sincere question, I don't know. For those that aren't aware: if you use BNB to pay your fees, Binance's fees are halved 0. The only good way to back test is to have all the exchange orderbook and trade data api messages and then reconstruct history as it happened, with your hypothetical trades mixed in. I've got 5 diffetent statergies running since 48hrs ago or so on some forex running that can open long and short positions whenever it's criteria are fulfilled. Welcome to Reddit, the front page of the internet.

I have minute candlesticks from until now. That is exactly my state of mind. I am a very expert software engineer, but a novice in algo trading. Op here: yes, that's how exactly how I feel about it. Q: Where should I apply for a job? A strategy too good to be true self. Get an ad-free experience with special benefits, and directly support Reddit. The startegy, although quite original, is very trivial and based on simple indicators, and I coded it in a month in spare time. The return on each single month is extremely consistent with only few months being actually negative very bearish periods. Yeah, I guess this is a mistake on my end. Backtest your strategy with a framework you haven't developed yourself and compare the results. Get an ad-free experience with special benefits, and directly support Reddit. Or find a way to work with an API that other people refuse to. Submit a new text post. Maybe he does 3 trades a day and these trades are only open for a few minutes. That should at least give you a 2nd opinion. Most of my Algos hold for several minutes at the most. Your order may not be executed after all. Khan Academy on Bitcoin Free Course. Become a Redditor and join one of thousands of communities.

Definitely not using margin. A: Read the sidebar, if you have a precise specific question please google it and should you not find the answer then you can ask. Smells like overfitting to me. Sadly I'm not even approaching a sharpe ratio of 2 on any of my backtests. Max drawdown's at 0. If you use limit orders you incur opportunity cost Binance is 0. Probably not negligible. It's easy to find strategies with a tiny amount of edge and ignore fees and assume perfect execution. Become a Redditor and join one of thousands of communities. Get an ad-free experience with special benefits, and directly support Reddit. Sp did 3. I've got 5 diffetent statergies running since 48hrs ago ishares equity income etf local td ameritrade brokers so swing trading meaning best stocks to day trade 2020 uk some forex running that can open long and short positions whenever it's criteria are fulfilled. Unless OP is just assuming they're able to get the absolute peak of each candle, I don't think latency is the issue. The only good way to back test is to have all the exchange orderbook and trade data api messages and then reconstruct history as it happened, with your hypothetical trades mixed in. You can use whatever portion of it you like. Algo trading is like most professional skills, it takes time and practice and will make you slightly better off but not immensely so. I can take any random interval between andand if it's more than two weeks I get pretty consistent positive results, how to get a coinbase credit card crypto exchange telegram why I don't think is overfitting. Log in or sign up interactive brokers commissions comparison explosive stock trading strategies pdf seconds. Are you making some crazy fill assumptions? I know it can't possibly be this simple : I learned a lot about all the thoughtful answers. So in the last month, I collected 15 best open source Neural Network strategies that I could find and backtested them against TOP coins for September market. I'm not convinced. Like a musician who only plays in the bedroom, you'll never progress optimally unless you get out there and perform live.

Back to the drawing board I guess. I am a very expert software engineer, but a novice in algo trading. Spread is just the difference between when do funds become available on thinkorswim tradingview slb buy and sell price. That is a very high benchmark to beat for your signals and could explain why your strategy is not performing to your expectations. Want to join? All of which are issues and important ones to know for the future. Run it on a demo account and monitor it for quite some time. A lot of the low-hanging fruit is picked up at this point. Sp did 3. Content Theft See our Expanded Rules page for more details about this rule. Kraken scales with how much you trade, I'm down to 0. How many parameters is your system using and how "optimized" are these parameters? I am a novice so it's a really sincere question, I don't know. You'll slip a ton. Plus perturbation of the parameters don't dramatically change the performance.

A good backtest is not entirely trivial and it's a good starting point. It's normal to be excited at a good backtest. Alpaca sells your orders as payment for order flow. Submit a new link. But that's hard to say for sure. I second this. Q: I am a student and want to know what courses to study to get into algo trading? A: Read the sidebar, if you have a precise specific question please google it and should you not find the answer then you can ask here. Get the mean spread and assume you cross it every time. Even if you are taking amount a strategy that has a very small maximum purchasing power that would make you stupid rich in only a few years. That is exactly my state of mind. Hi, all!

Want to add to the discussion? Spam See our Expanded Rules page for more details about this rule. Want to join? I can take any random interval between andand if it's more than two weeks I get pretty consistent positive results, that's why I don't think is overfitting. Back to the drawing board I guess. Good luck. Production Systems aleph-null: open ishares canada etf mer biotech stocks under 10 cents python ib quick-fix node. All rights reserved. What is 'good' results for backtesting? I'm going to switch my market orders to Limits and see how many of them actually get executed.

The Sharpe ratio is the most common indicator used to determine a strategy's performance. I expect some discrepancy on real trading, but how much can it possibly be? All of which are issues and important ones to know for the future. Yeah, I guess this is a mistake on my end. I'm not sure if that is what the other poster is referring to, but it's a possible explanation. What's the worst draw down intra-trade and trade-to-trade? Like a lot a lot. I'll look into that. Become a Redditor and join one of thousands of communities. Want to join? Have a technical informative discussion Submit business links and questions e. It's not that much code, so I am pretty sure that is not looking in the future. For those that aren't aware: if you use BNB to pay your fees, Binance's fees are halved 0. Many exchanges have tiered fee structures where larger transactions and frequent traders are charged reduced fees. Book Recommendations List of recommended books on Algo Trading.

Obviously, you can't do that in live trading. I know it can't possibly be this simple : I learned a lot about all the thoughtful answers already. The results of that will give you a better idea on performance. This looks nice and can't wait to see how it develops. Want to add to the discussion? DYOR and find a technique that suits your skill set. Q: I am a student and want to know what courses to study to get into algo trading? Here is an interesting Article explaining how this platform will be using machine learning and artificial intelligence concepts to help optimize trading strategies. If that is the case, your model is a broken clock that is right twice a day. I did have a bug at the beginning, where it looked at a bar in the future. Did you choose those trading parameters because they performed well on the whole dataset between ? Submit posts that are summaries of other posts without additional content Submit videos without accompanying assets e. I've recently created my own bot which will evaluate and trade 40 different trade pairs every 20 seconds. The blocks are composed of transactions not coins.