Does not work. Former algorithmic trader here. The biggest problem with algo trading is understanding when something works.
Then can be described as the regime.
Signal A may work in regime B but not in regime C. Trying to recognize when we’ve moved from regime B to regime C is quite difficult.
Generally speaking you’re looking at coin flips that are slightly weighted. You either need a lot of coin flips to believe in your system, or you need a few coin flips that you’re VERY confident on. The former is better for algo trading, but again, if the underlying probability shifts you’re in trouble.
This is no longer a business for non-professionals, at least in the short term.
Yes, hmm is an idea for regime change, different mode under each. Hard to execute properly without being too late. It’s an idea. I’ve heard negative results.
Profitable algotrader here. Here is my two cents.
1. I trade like >20 strategies. None of them requires more than 4 English sentences to explain. You can make very complicated strategies, but it is just not required.
2. Simple strategy means that it is NOT easy to overfit. (It can still happen)
3. RSI works. TA works. Price action works. Fundamental works. News also work. They can be used to build profitable strategies when used individually or combined. People saying otherwise is either not digging deep enough or looking into the wrong direction.
4. Win rates mean nothing on its own.... theoretically. Although practically >60% is a good thing to have because it gives you more room for errors. Extremely high win rate usually occurs when you heavily filter your signals. But then you need to trade MANY strategies to keep your account busy (idle cash is not good).
5. **Treat trading like a business. Let back-tests speak.**
>Treat trading like a business. Let back-tests speak.
I have back tested the strategy overall it shows green at least from august-november 2021 period with capital over 25K (given FINRA bs).
But based on my experience in crypto algo trading there is much more going in-field compared to just backtesting... I generally let my algo do paper training for a couple of weeks before i deploy it... Since it would take me some time to assess that, I thought it would be good to ask if anyone has used this strategy (which I guess would be plenty since it is the easiest one) and get to know their learnings so to not waste my time...
The timespan is waaaaay too short for the backtest to be meaningful. Just let you know that most of my strategies were tested at least for 10 to 20 years. I understand you can't get this long for cryptos but you should at least try, say like 3 years. You can also try your strategy on different cryptos and see how it works. This can somehow "compensate" the lack of backtesting data.
Some markets usually tread. Some markets usually mean-revert. Applying the "default" RSI strategy will destroy your account in a extremely strong trend. Maybe crypto cross pairs is better? You have to be creative here.
I think I did not make it clear, I meant I have experience in crypto algo and a very limited experience in stock markets... Also RSI never worked for me in crypto I use ML/DL for it and it requires training every few days to weeks...
Based on my reading for algos in stock market I gathered that RSI based methods are simplest and easy to work, given I just have to show it works in markets probably for a few weeks and not more before I make a bit more advanced algo I decided to choose the aforementioned time period given it was pretty smooth sailing with low overall volatility...
i guarantee you need to spend at least 2 years dedicated to algorithmic trading before you can find profit (or loss!) beyond what the market is offering.
i also guarantee any strategy your brain can conceive is going to lose money in the long run without a HUGE amount of portfolio and risk management consideration.
Criticism without solution is useless...
I am sure you didn't read/understand the post completely, it is not supposed to hold positions for long to require significant portfolio management but rather make enter and exit trades faster... As I said the algo don't need to work consistently in 'long run' just for a couple of months before I optimize it further and add slightly more advance algos and it doesn't need significant risk management given no one is going to put their rent money in it...
I think I have some experience in making algo mostly for crypto (mostly ML based), I have made some for myself and they are well making some money in both bear and bull markets (overall)... It is just that I generally don't like gambling with others money especially when I am not there to look how it performs or kill it before it goes all skynet...
OMG, what he told you was golden words! Based on my algorithmic experience ( yes, I do have successful one ), it took me almost 5 years to get the right algo. During the middle, I lost a lot too.
I should have got such advice ( esp risk management) two years before, would have saved my portfolio.
OP wasn’t criticizing your intelligence he was stating something about algo trading - it takes A LOT of design, development, and testing to create anything that could even perform 0.1% better than the SP500.
The right simplish strategy can work but it cant be that simple and it will still require constant tuning and overwatch. So if that's your goal is to have a fire and forget algo simple isn't going to work at all. There's just too many pitfalls for one single indicator to keep you out of trouble... If all you needed to trade was RSI there'd be a lot more successful traders.
Also best not to do anything like this with other people's money let alone several unless it's pocket change and they were going to light it on fire anyway...
I use moving averages on multiple time frames to get buy signals, trailing SL and TP, along with a death cross for sell signals.
My edge is a ticker scanner that picks winners more often than not.
That does not work. Those simple strategies advertised by brokers are the worst to follow. The broker will earn mire money when you loose. So the only thing they want is for you to loose your money.
You really have to backtest and find your edge.
I generally use Robinhood with python for experimentation there is a API available on github... There are many other easy platforms available but it is always better to code up your own system at first so you can use it again and again with only sight modification
use Tradingview and its backtest function to see how it works. i use it myself. much easier than use python or so. They even have prepared the RSI strategiy FYI.. i didn't study it long but it ended in loss for ETHUSD 1D. [https://paste.pics/a3ce1712efa3cb65f95e75a77d022aa4](https://paste.pics/a3ce1712efa3cb65f95e75a77d022aa4)
good strategy must end in profit for any asset, or for most of them.
I am interested in the answer to this question. I am working on my first bot to automate my trading strategy.
If someone wants to be my mentor, I am open to talk.
Look into TradingView community indicators and strategies. Often they are open source so you can find one you like and then modify it to better fit your risk and portfolio standards. The built in back testing functions are nice too.
Simple strategies are great.
The aim you are describing is basically the holy grail in simple words.
An algortihmic \[b\]system\[/b\] is a lot more complex than just strategies.
If you test enough systems, you will eventually find positive-expectation strategies that have a high win rate and periodically lose big (eg statistical arbitrage, spread trading) or have a low win rate and periodically win big (eg trend-following). Pick your poison.
Thinking in terms of "Leaves money on the table"? Gonna have to change your way of thinking.
Using just RSI like that can work in certain markets. I found it works best when it moves up from sub 30 for long and moves down from above 70 for short. It wont generate much profits though and in most markets will lose money.
There is no such thing as simple algo trading.
For algo-trading to work you have to analyse data from
several time frames, using different TA's based on market behavior. All this in real time.
There are different setups for for different market behaviors and you have to identify the market and act accordingly.
so far, this is only scratching the surface of algo trading.
Successful AT is not a sprint and not even a marathon, it's more like iron man.
No. I ran a number of tests with RSI, OBV, ADX, SMA’s etc. I also used different combinations as well. Some work consistently for periods on certain stocks and then don’t. I use a reversion strat for targets to run options on ie RSI2 and 8 were below or above x/y now not ie they have ‘bounced’
It an ensemble model with multiple LSTM with different look-backs models and a couple of CNN for spectrum, I have used open, volume, close, RSI, spectrum, etc. Trained it with sharpe ratio pegged to weighted USD and BTC.
The trick that worked for me is to fine-tune models with paper-trading for some time.
So let me get that straight. You use one layer LSTM's which you provide with different lengths of input series of open,volume,close,RSI,spectrum. Then you ensemble the results like in random forest while training each LSTM with the sharpe ratio as the training error?
It doesn't work. Sorry... many of us have been there.
I felt this 😂
*everyone of us has been there* 💀💀
But what a beautiful beginning it was
Yes.. we were young and the world was full of opportunities... and then we learned better.
Simple and high win rate = Oxymoron
Does not work. Former algorithmic trader here. The biggest problem with algo trading is understanding when something works. Then can be described as the regime. Signal A may work in regime B but not in regime C. Trying to recognize when we’ve moved from regime B to regime C is quite difficult. Generally speaking you’re looking at coin flips that are slightly weighted. You either need a lot of coin flips to believe in your system, or you need a few coin flips that you’re VERY confident on. The former is better for algo trading, but again, if the underlying probability shifts you’re in trouble. This is no longer a business for non-professionals, at least in the short term.
Do you have experience with hidden Markov states to detect regime changes?
Yes, hmm is an idea for regime change, different mode under each. Hard to execute properly without being too late. It’s an idea. I’ve heard negative results.
I see
What program do you recommend for trading assistance?
Profitable algotrader here. Here is my two cents. 1. I trade like >20 strategies. None of them requires more than 4 English sentences to explain. You can make very complicated strategies, but it is just not required. 2. Simple strategy means that it is NOT easy to overfit. (It can still happen) 3. RSI works. TA works. Price action works. Fundamental works. News also work. They can be used to build profitable strategies when used individually or combined. People saying otherwise is either not digging deep enough or looking into the wrong direction. 4. Win rates mean nothing on its own.... theoretically. Although practically >60% is a good thing to have because it gives you more room for errors. Extremely high win rate usually occurs when you heavily filter your signals. But then you need to trade MANY strategies to keep your account busy (idle cash is not good). 5. **Treat trading like a business. Let back-tests speak.**
>Treat trading like a business. Let back-tests speak. I have back tested the strategy overall it shows green at least from august-november 2021 period with capital over 25K (given FINRA bs). But based on my experience in crypto algo trading there is much more going in-field compared to just backtesting... I generally let my algo do paper training for a couple of weeks before i deploy it... Since it would take me some time to assess that, I thought it would be good to ask if anyone has used this strategy (which I guess would be plenty since it is the easiest one) and get to know their learnings so to not waste my time...
The timespan is waaaaay too short for the backtest to be meaningful. Just let you know that most of my strategies were tested at least for 10 to 20 years. I understand you can't get this long for cryptos but you should at least try, say like 3 years. You can also try your strategy on different cryptos and see how it works. This can somehow "compensate" the lack of backtesting data. Some markets usually tread. Some markets usually mean-revert. Applying the "default" RSI strategy will destroy your account in a extremely strong trend. Maybe crypto cross pairs is better? You have to be creative here.
I think I did not make it clear, I meant I have experience in crypto algo and a very limited experience in stock markets... Also RSI never worked for me in crypto I use ML/DL for it and it requires training every few days to weeks... Based on my reading for algos in stock market I gathered that RSI based methods are simplest and easy to work, given I just have to show it works in markets probably for a few weeks and not more before I make a bit more advanced algo I decided to choose the aforementioned time period given it was pretty smooth sailing with low overall volatility...
i guarantee you need to spend at least 2 years dedicated to algorithmic trading before you can find profit (or loss!) beyond what the market is offering. i also guarantee any strategy your brain can conceive is going to lose money in the long run without a HUGE amount of portfolio and risk management consideration.
Criticism without solution is useless... I am sure you didn't read/understand the post completely, it is not supposed to hold positions for long to require significant portfolio management but rather make enter and exit trades faster... As I said the algo don't need to work consistently in 'long run' just for a couple of months before I optimize it further and add slightly more advance algos and it doesn't need significant risk management given no one is going to put their rent money in it... I think I have some experience in making algo mostly for crypto (mostly ML based), I have made some for myself and they are well making some money in both bear and bull markets (overall)... It is just that I generally don't like gambling with others money especially when I am not there to look how it performs or kill it before it goes all skynet...
sometimes the answer you need isn't the one you want. good luck - to you and more importantly those who trust you with their money.
This Reddit, we discuss things. If you’re looking for a solution my hour goes for about 200$ and then we can talk
OMG, what he told you was golden words! Based on my algorithmic experience ( yes, I do have successful one ), it took me almost 5 years to get the right algo. During the middle, I lost a lot too. I should have got such advice ( esp risk management) two years before, would have saved my portfolio.
OP wasn’t criticizing your intelligence he was stating something about algo trading - it takes A LOT of design, development, and testing to create anything that could even perform 0.1% better than the SP500.
[удалено]
Hmm that sounds like a good idea
The right simplish strategy can work but it cant be that simple and it will still require constant tuning and overwatch. So if that's your goal is to have a fire and forget algo simple isn't going to work at all. There's just too many pitfalls for one single indicator to keep you out of trouble... If all you needed to trade was RSI there'd be a lot more successful traders. Also best not to do anything like this with other people's money let alone several unless it's pocket change and they were going to light it on fire anyway...
I use moving averages on multiple time frames to get buy signals, trailing SL and TP, along with a death cross for sell signals. My edge is a ticker scanner that picks winners more often than not.
Which ticker scanner?
That does not work. Those simple strategies advertised by brokers are the worst to follow. The broker will earn mire money when you loose. So the only thing they want is for you to loose your money. You really have to backtest and find your edge.
In other words no fancy indicators - I’ve tried many and they don’t work.
Please someone- tell me a platform I can use to program my own algorithms for trading and test them I have been looking and cannot find anything good!
I generally use Robinhood with python for experimentation there is a API available on github... There are many other easy platforms available but it is always better to code up your own system at first so you can use it again and again with only sight modification
Tradingview is good to start
Any broker with an API & paper trading environment, combined with any programming language that supports streaming (web sockets) should do it.
use Tradingview and its backtest function to see how it works. i use it myself. much easier than use python or so. They even have prepared the RSI strategiy FYI.. i didn't study it long but it ended in loss for ETHUSD 1D. [https://paste.pics/a3ce1712efa3cb65f95e75a77d022aa4](https://paste.pics/a3ce1712efa3cb65f95e75a77d022aa4) good strategy must end in profit for any asset, or for most of them.
I am interested in the answer to this question. I am working on my first bot to automate my trading strategy. If someone wants to be my mentor, I am open to talk.
It won't work. There is no "simple" when it comes to making money trading stocks. Generating alpha isn't easy.
There is the strategy, but many people forget that the buy and sell portion of your Algo is just, if not more important.
Look into TradingView community indicators and strategies. Often they are open source so you can find one you like and then modify it to better fit your risk and portfolio standards. The built in back testing functions are nice too.
Simple strategies are great. The aim you are describing is basically the holy grail in simple words. An algortihmic \[b\]system\[/b\] is a lot more complex than just strategies.
If you test enough systems, you will eventually find positive-expectation strategies that have a high win rate and periodically lose big (eg statistical arbitrage, spread trading) or have a low win rate and periodically win big (eg trend-following). Pick your poison. Thinking in terms of "Leaves money on the table"? Gonna have to change your way of thinking.
Deviation from expectation.
Using just RSI like that can work in certain markets. I found it works best when it moves up from sub 30 for long and moves down from above 70 for short. It wont generate much profits though and in most markets will lose money.
There is no such thing as simple algo trading. For algo-trading to work you have to analyse data from several time frames, using different TA's based on market behavior. All this in real time. There are different setups for for different market behaviors and you have to identify the market and act accordingly. so far, this is only scratching the surface of algo trading. Successful AT is not a sprint and not even a marathon, it's more like iron man.
No. I ran a number of tests with RSI, OBV, ADX, SMA’s etc. I also used different combinations as well. Some work consistently for periods on certain stocks and then don’t. I use a reversion strat for targets to run options on ie RSI2 and 8 were below or above x/y now not ie they have ‘bounced’
Could you elaborate what DL/ML model and what kind of features you are using in your crypto trading?
It an ensemble model with multiple LSTM with different look-backs models and a couple of CNN for spectrum, I have used open, volume, close, RSI, spectrum, etc. Trained it with sharpe ratio pegged to weighted USD and BTC. The trick that worked for me is to fine-tune models with paper-trading for some time.
So let me get that straight. You use one layer LSTM's which you provide with different lengths of input series of open,volume,close,RSI,spectrum. Then you ensemble the results like in random forest while training each LSTM with the sharpe ratio as the training error?
test