>but I believe this arbitrary number is probably way too high for a crypto currency

Well...

There definitely is a risk to burn it all down.
It's still a small capital. I would rather risk it.
Ain't my day job, just a hobby.

And I don't think that's actually the case.
I mean - running this for couple months already.

Aim isn't steady income.
Aim is to snowball to absurd numbers.
That requires quite drastic measures.

Somehow disliked optimalF.
I guess there were some certain rationale behind the formula, but to me it felt akin to Fibonacci levels or Elliot waves.
Weird.

Haven't heard of Kelly criterion.
Thanks for hooking me up - literature looks sort of promising.
Should hold something useful.

>but with small variations for each asset

Not quite. I think the biggest gains comes from very asset-specific tweaks.
Base ideas for similar assets do remain same though.

2 red days

quite substantial losses

more useful data

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algo surely hates slow and gradual price decline

if server time is out of sync - that introduces interesting shift in price action

(bit weirdly as exchange is supposed to reject out of sync requests or something)

doji candles on backtest becomes a part of previous / next candles on actual performance graph

whole thing becomes a mess and I think is a culprit for the drawdown algo experienced

changed `price()` to `MedPrice()`, backtest results unchanged, synced time

still not a perfect 1:1 to backtests, but at least now I see an actual resemblance

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trading business ain't doing well lately

-IMO- you've picked one of (if not THE) hardest market(s) to trade successfully.
Have you tried your approach (or a similar one) on the regular forex markets?
In my experience, it's already a challenge to be successful in that market, especially on the long haul.

It's around full month of hard work to build something similar for forex.

Bit too much to just "take a look".

hopefully next week prints a bit so there's more breathing room

reluctant to feed the beast

tried watching. got bored. learned nothing

will check out wtf is Kalman filter though

That Kalman part was the only part I was interested in.
Maybe you've already found it, but there's also a Zorro / R implementation on https://robotwealth.com/kalman-filter-pairs-trading-with-zorro-and-r/

some more creativity



I mean - just couple days ago it was 1130%.
thought it would be impossible to squeeze out more

data keeps piling

I will catch that dragon

Given the number of trades, you have an impressive profit factor and ulser index. Those are the 3 main stats I'm looking for when evaluating a strategy.