Gamestudio Links
Zorro Links
Newest Posts
What are you working on?
by rayp. 01/22/22 00:55
Lapsa's very own thread
by Lapsa. 01/21/22 08:23
Generic, dynamically growing array
by 3run. 01/18/22 15:37
Sam Foster Sound | Experienced Game Composer for Hire
by titanicpiano14. 01/18/22 15:00
Bug in NumUp/Dn
by jcl. 01/17/22 12:23
Help with plotting Lookback in Trade Mode
by degenerate_762. 01/15/22 23:43
AUM Magazine
Latest Screens
Tactics of World War I
Hecknex World
Scheherazade's Journey
Paradox Vector
Who's Online Now
7 registered members (ozgur, Zheka, AndrewAMD, gamers, NorbertSz, kawjansen, 3run), 172 guests, and 7 spiders.
Key: Admin, Global Mod, Mod
Newest Members
kawjansen, Alex2052, AndreasTrader, spacenomad, coinpump
18731 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Page 9 of 13 1 2 7 8 9 10 11 12 13
Re: Lapsa's very own thread [Re: MegaTanker] #484630
11/22/21 18:43
11/22/21 18:43
Joined: Aug 2021
Posts: 139
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 139
@MegaTanker

I don't think it works just as good as in backtest.

But the past is reality.

If your algo captures every movement in complete asset's history - there is no better bet.
Unless you are talking to time travelers.

Sure - some rules that worked in past might hinder in future.
Which is why I'm pro-tinkering.

I find it similar to software development - if your code is scary to touch, contradictory to your feelings, you want to bash it more until it isn't.

Every bias, every fitting is an improvement at particular point in time.
Trick is to align them so they don't interfere.

Speaking of ridiculous numbers - those are rookie numbers.

Once wrote a script that iterates backwards in time, captures everything in generated code.
Theoretically speaking - you can get to gazillion in couple days starting from couple bucks.
Slightly less as I didn't include fees that time but you get the idea.

Can't align those rules.

Re: Lapsa's very own thread [Re: Lapsa] #484631
11/22/21 18:57
11/22/21 18:57
Joined: Aug 2021
Posts: 139
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 139
Quote
price(int offset) : var

Returns the mean price of the selected asset, by averaging all price ticks of the given bar or time frame (TWAP, time-weighted average price).


I suspect this is the main reason live differs from backtest.
Got no ticks.

Perhaps can be fixed by using MedPrice() but I'm unsure if that's desirable.

Last edited by Lapsa; 11/22/21 18:57.
Re: Lapsa's very own thread [Re: Lapsa] #484632
11/22/21 19:58
11/22/21 19:58
Joined: Aug 2021
Posts: 139
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 139
[Linked Image]

oh my... that's a new one

Re: Lapsa's very own thread [Re: Lapsa] #484676
11/29/21 00:32
11/29/21 00:32
Joined: Aug 2021
Posts: 139
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 139
@MegaTanker

Here's an example of "my workflow" and tinkering.

Algo has a nasty draw down on November.
(or perhaps - more accurate picture of an actual performance)

Anyhow...

Copied algo into a new file, called it foxer_black_friday.c
Placed start date 2 weeks ago.
Killed all rules I found vaguely superficial.
Tweaked all rules till I reached ~1.5k% (from red abyss of -300% something).

And then - carefully incorporated only the best parts back into original.

2 week period retest went down to "only" +50%.

[Linked Image]
[Linked Image]

In ROFLcopter numbehs:

Quote

May 1st, $180 start =>

Test: foxer MATICUSDT 2021
Monte Carlo Analysis... Median AR 96%
Win 6169001$ MI 886650$ DD 2514043$ Capital 14074158$
Trades 2345 Win 60.7% Avg +62.4p Bars 114
AR 76% PF 1.15 SR 2.03 UI 6% R2 0.68

Last edited by Lapsa; 11/29/21 01:07.
Re: Lapsa's very own thread [Re: Lapsa] #484677
11/29/21 00:56
11/29/21 00:56
Joined: Aug 2021
Posts: 139
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 139
Why MATIC?

As it's futures algo trading - I don't really care much about the underlying asset.

But... There are some considerations.

First and foremost - the fees!

.5% movement in BTC will show up as 2% movement in MATIC

Given fees on Binance are percentage based - you end up wasting less.

Second - the nature of asset.

MATIC is pretty much a tech lubricant with a promise of providing less transaction fees for Ethereum.
(haven't even read up on details)

That causes an entanglement. I find it unlikely for MATIC to "moon" or dump completely unless it follows ETH.

I believe this intrinsic entanglement also causes pattern repetition. Some sort of similar swings around ETH.

It's not a glaringly obvious pump & dump scam scheme.
It's not completely hype based (well... sort of. whole crypto thing can be seen as such).

And that pretty much sums it up.

Last edited by Lapsa; 11/29/21 00:57.
Re: Lapsa's very own thread [Re: Lapsa] #484761
12/08/21 08:10
12/08/21 08:10
Joined: Aug 2021
Posts: 139
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 139
more tweaks

Quote

Monte Carlo Analysis... Median AR 1109%
Win 153$ MI 21.15$ DD 5.61$ Capital 24.22$
Trades 2524 Win 60.4% Avg +60.7p Bars 110
AR 1048% PF 1.62 SR 9.21 UI 1% R2 0.00


all time high numbers were PF 1.70 SR 10

about 2 months of new data since start

fact that it's still going 24/7 is already an achievement

------------------------------------

in ROFLcopter numbehs and land of sunshine - even Zorro refuses to take it seriously

[Linked Image]

^ $5k start capital

Last edited by Lapsa; 12/08/21 08:15.
Re: Lapsa's very own thread [Re: Lapsa] #484792
12/09/21 22:37
12/09/21 22:37
Joined: Aug 2021
Posts: 139
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 139
during Tuesday -> Wednesday, doubled up whole capital

I mean, it's trading - could disappear just as fast

good news is that compounding setup seems to be satisfactory so far

tuned up tradingview - OHLC/4, Ichimoku, MESA, Volume. nice & clean


[Linked Image]

Re: Lapsa's very own thread [Re: Lapsa] #484795
12/10/21 15:20
12/10/21 15:20
Joined: Aug 2017
Posts: 110
Netherlands
G
Grant Offline
Member
Grant  Offline
Member
G

Joined: Aug 2017
Posts: 110
Netherlands
I assume you're still paper trading or are you running a live account?

Re: Lapsa's very own thread [Re: Lapsa] #484797
12/10/21 17:16
12/10/21 17:16
Joined: Aug 2021
Posts: 139
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 139
@Grant

no. I'm running live account, 24/7. about 10-20 trades per day

backtests are in period May 1st until now (see specific post creation date)

Re: Lapsa's very own thread [Re: Lapsa] #484798
12/10/21 17:35
12/10/21 17:35
Joined: Aug 2017
Posts: 110
Netherlands
G
Grant Offline
Member
Grant  Offline
Member
G

Joined: Aug 2017
Posts: 110
Netherlands
Being profitable in the volatile crypto space is no joke, so congratulations with that!

Was there a specific statistical edge during your testing phase that gave you enough confidence to go live?
I'm asking this because I'm in the process to make this step in the near future.

Page 9 of 13 1 2 7 8 9 10 11 12 13

Moderated by  Petra 

Gamestudio download | chip programmers | Zorro platform | shop | Data Protection Policy

oP group Germany GmbH | Birkenstr. 25-27 | 63549 Ronneburg / Germany | info (at) opgroup.de

Powered by UBB.threads™ PHP Forum Software 7.7.1