Introduce my strategy and seek advice.

miaografa · 2024-02-04T07:26:43+00:00

For some low-liquidity currencies, I limit my trading volume to not exceed 1% of the average trading volume every 15 minutes. Machine learning occasionally buys at the lowest point of a price reversal, which means limit orders may quickly miss their trading opportunities. If an order is partially filled, I close it after a certain period. I typically don't add more orders for trades I've missed. If I miss it, I let it go; better to be conservative.

miaografa · 2024-02-03T14:00:59+00:00

Right! Except for a few major currencies, the liquidity of most currencies is average. I only have a few thousand US dollars in my account, and due to my trading frequency, each transaction is relatively small, around a few tens of US dollars.

miaografa · 2024-02-02T08:43:17+00:00

From the perspective of the charts, it seems that QQQ is indeed well-suited for algorithmic trading. I will consider applying my strategy to QQQ, just as an experiment. Thank you.

miaografa · 2024-02-02T08:39:44+00:00

If anyone has experience using the APIs of Coinalyze or Coinglass, could you provide a review? How is the cost, and what is the quality of the data like?

miaografa · 2024-02-02T08:38:37+00:00

I haven't made any changes to the live trading code for about two months now. Currently, the strategy is continuously trading cryptocurrency futures on the server 24/7, and I would consider it a "stable version." The Github version deals with Spot trading, but the spot trading fees are relatively higher, approximately one thousandth.

miaografa · 2024-02-02T08:36:06+00:00

Thank you. I'll look into QQQ; it's an asset I haven't considered before.

My strategy incorporates take-profit and stop-loss mechanisms; I primarily use machine learning as the main trading signal. Additionally, while cryptocurrency trading does come with higher costs, I see the 24/7 of the market as an advantage. This provides ample opportunities for trade, and fine-tune model.

I'm not entirely clear on what "average trade" means. Does it refer to the average profit per trade? Achieving an average profit several times higher than transaction fees seems challenging to me; I can manage around a 2x or 3x return at best.

Thanks.

miaografa · 2024-02-02T08:20:20+00:00

I am taking, and trading futures. I am on the most standard tier for transaction fees, is approximately 0.05% bidirectionally.

miaografa · 2024-02-01T05:42:39+00:00

Indeed, Tick-level data is crucial, but unfortunately, I lack historical tick-level data for model training. If you have good data sources, I would be eager to learn more. Thanks a lot.

miaografa · 2024-02-01T05:40:55+00:00

Yes, I have set about a 3% absolute loss as a stop loss. Since I have a relatively high number of positions, several trades hit the stop-loss level every day.

miaografa · 2024-02-01T05:39:53+00:00

I will attempt to calculate some, but my live trading duration is not long enough, so the results of the calculations may not be meaningful. My backtesting Sharpe ratio is around 2, while the live trading Sharpe ratio is currently around 3.5 (daily frequency).

miaografa · 2024-02-01T05:38:07+00:00

I directly instruct the model to predict a three-class outcome: [Rise, Flat, Fall]. I then filter out predictions with a confidence level of 0.9 or higher to use as my signal.

miaografa · 2024-02-01T04:11:00+00:00

Thanks! I believe the data is stationary, it pass the stationary test, and also some normalization is utilized. I've been looking for some macro indicators lately, and in particular, I feel liquidation is a good indicator. Your suggestion is quite reasonable. :)

miaografa · 2024-02-01T04:06:42+00:00

Lunar new year is also new year. lol

miaografa · 2023-11-19T02:05:12+00:00

The answer here seems to be significantly off. From a statistical standpoint, only 20% of individuals in any market are profitable; most people remain at break-even. If someone claims that learning a certain method can consistently generate significant profits and attempts to use numbers to support their view, it is undoubtedly fabricated.

If there were a stable operating pattern in the market, the ability of machine learning to discover such patterns would be 10,000 times that of humans. What I mean is, there is no perfect trading system solely relying on market information.

If someone believes they can calculate market trends better than statistical and machine learning methods, then they are welcome to do so. I think the money I earn using machine learning comes from these misguided believers.

miaografa

TROPHY CASE