Intramarket Indicator Differences | Algorithmic Crypto Trading Strategy in Python
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- Опубликовано: 27 июл 2023
- Using the difference between an indicator measured on two different symbols to build a trading strategy for Ethereum.
Patreon: / neurotrader
Code: github.com/neurotrader888/Int...
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The content covered on this channel is NOT to be considered as any financial or investment advice. Past results are not necessarily indicative of future results. This content is purely for education/entertainment.
Don't stop producing videos please! Also can you please suggest to me any other youtube channels that are in the same niche as you
please dont stop posting sir. I have being following your channel and video for so long. I will become your patreon one day!
This video is very clear with lots of description on the video, thank you.
this channel is pure gold. thank you
As always, Thanks a lot for your work
you are finally back !! waited for so long.
New to your channel, but going through all your content! Excellent explanations and very interesting topics. You’re definitely educating me on topics I wish were taught during my Finance degree.
Your videos are amazing, they have really allowed me to learn a lot. Thank you very much.
I barely write comments but your videos are absolutely underrated. High quality! appreciate your efforts. cheers!
Thanks, i have just bought some of the books you presented. I love seeing vidéos, it is more accessible for me.!
Your content is pure gold🥇
Very inspiring, thanks alot for sharing
thank you, it was very informative
Goated Channel so much to learn thanks for your work man
Good job
My advice when you face different price scale or value , you should make a base price for all shares , by using a specific date close value ( ex. 12/6/2015 ) and make a division for all next close prices to the base and you can apply your indicator.
RSI indicator dosent affected by price scales or any Ranging indicators( 0:100) ( 0:1)
While there is alot of indicators affected with price scale for multiple share like , percent of change , normalising by use moving average
..etc
@neurotrader888 Video began with the idea of using RSI(A) - RSI(B) for intermkt diff signalling. Your code ended up using ATR in the CMMA function which is to address vola scaling, as you mentioned in the vid.
You might be able to make two time series comparable in terms of value and standard deviation over any lookback window using a non-parametric scaling method. One approach is to standardize each time series based on a rolling calculation of the median and the interquartile range (IQR). This method should be robust against outliers. But it's not robust. A parametric solution is to z score standardize using median as the anchor rather than mean but need to check for post transform normality (in this case yes for BTC and no for DOGE).
Plz make more videos. Your content are just Gold.
You are a genius by the way
the content u made is original and so generous u open source your code!
please I look forward to your next videos and more!
outstanding video, can you please post more ideas more offen please...
As i always say in comments hero we all needed. 👍
inspiring as before!
RSI love this video
Please release more videos!
Hey, thanks for the really great videos! Hope that you will upload new content soon 🫡.
You have great videos. I use TWS API for Algo-trading and I am trying to scale my system. I was curious to learn more about your architecture. Most firms decouple their systems in a ticker-plant, OMS, RMS, EMS, and strategies. It would be great to know if you have gotten to this level of development as there is not much on this online. Thank you.
you have perfect content I like it. Can we try ICT and SMC trading strategy ? How can we approach?
Love your videos. Do you only trade crypto? Have you found it easier to get an edge compared to stocks or forex?
What do we get in Patreon?
Do you provide extra content regarding strategies ?
Crypto trader from hong kong, I think your videos are detail and amazing. May I know where do you find the data source?
We are waiting for you. Hope you are ok
Will you keep making more videos?
Should make a discord where we can all come up with TA ideas and codebases. I've been using some of your code and searching for optimal params for stocks on a 200 day time period. would love to have a place to post the results
thank you for this. one question: when you are normalizing using ATR are you still using log prices or, since you are normalizing using ATR, do you find that you do not need to use log prices and you just use raw prices. In other words, ATR replaces the log price method, or it completes it? If you use both, I assume you are calculating ATR using the log prices as well.
The ATR normalizes to volatility. The log normalizes the scale of prices. I prefer to use both whenever applicable. When using both the ATR must be computed on log prices. When the lookback of an indicator (Close minus moving average in this video) is small, using log prices has little effect. But as the lookback grows larger, using log prices matters more.
Hey Neurotrader, I really want to know what data you use to backtest (tick data, ohlc, open-open, etc). Ideally, id love to use tick data because I would be seeing exactly what happened in the past; however, its hard to get and takes ages to load. Plz halp :(
did you try spreading the pair you use? ie when you're longing eth you also short btc and vice versa. I see you mention pair trading at the end so I guess that answers my question
Yeah, the opposite strategy did decent on bitcoin, so this may work as a pairs strategy. But I can't use pair trading so I didn't focus on it.
How do you get your data for stock/futures ticker?
Heatmap=Instant like
hi sir....in witch platform can we use these codes?
How to run the strategies (like your trendline strategy) in the real time market. We will need to recalculate the indicator on every new candle. Won't that be time consuming?
Yeah indicators are typically recomputed at each candle. Don't worry computers are fast.
Do You know pine script?
Interesting, but I don't quite understand why you go long when the indicator is positive. Couldn't both coins be in a massive downtrend, with ETH just being trending slightly less?
Yes that is possible and it certainly happened in the tested period. The indicator essentially ignores the overall trend. The results may be improved if some type of trend filter is added (not going long in a strong downward trend).
Hey man!
I am new to this whole “algorithmic trading”.
I’ve been now 3 years trading manually but spent the last year working on automated strategies but I wasn’t the one coding them.
Just wanted to ask if you where a beginner, where would you start?
Thank you in advance
You need to learn production software language like c# or java and then intergrate python strategy into production software. I recommend c# to develop production software which enable capacity to analyze thousands of stocks with ease.
Well i guess this channel is like what falling in love feels like.
Do you trade for a living?
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burj khalifa 6:30
'promosm'
1.08 profit factor? wtf this shit man.
1.08 is the profit factor when computed on each candle's return. (The correct way). But many trading platforms will show you the profit factor computed with each trade's return, which yields a higher and misleading number.
@@neurotrader888 the other one is the one we understand, this seems confusing so does it mean your edge is 0.08? That's so bad, you could miss few profitable trades and it's over.
@@neurotrader888 means profit factor acts like a Constant that effects Win streak and PNL.
@@neurotrader888
I appreciated the consistent upward trajectory of your curve with minimal drawdowns. Consequently, I reconstructed this strategy in vectorbtpro to assess its performance. Surprisingly, the strategy exhibited robust cumulative returns in 2021 and 2022, only to experience a significant downturn in 2023. The plot depicting the return of each candle reveals a distinctly altered pattern, and I am struggling to discern the underlying rationale for this transformation.
GM Mr neurotrader, hope you're doing oook, just messaged you on patreon
Good content, as alwaysss
Another YT channel that provided great valuable content that is related towards quantitative/algorithmic trading is dead.
@neurotrader are you coming back brother?