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Can QuantTrader be used to come up with a rotation strategy that toggles between the largest and most liquid cryptocurrencies (Bitcoin, Ethereum, Litecoin etc) and cash? That would be very a very interesting strategy to look into. Would be great if we can point me in the right direction.
Thanks,
HowardYes, you could do that. The main two obstacles are:
1. Getting the data from Cryptocompare.com and formatting it for QT
2. Create a sensible strategy. All cryptos have very high correlation to each other so it becomes difficult to diversify risk.I can create such a QT project (with historical data) and post it in the next few days.
Best,
vangelisThanks Vangelis. Re your point on high correlation, that would certainly be the case if you look back at the data long enough given all cryptocurrencies really just ran up over the past year. However, over the past few months, I am starting to see differentiation between various crypto assets, which was also written by another author here. Now given the infancy of this asset class, this could very much just be short term noise, and the space may not be mature enough for such investment approach. At pointed out in the article above, the optimized portfolio actually underperforms an equal weight portfolio in his test period. However, if we also throw USDT in the potential portfolio mix, intuition tells me there should be a way to come up with a rotation strategy that toggles allocation between the top crypto assets and cash, optimized for sharpe ratio or maximum drawdown constraints for instance. Happy to carry on the dialogue further. I am an existing subscriber of all the signals. What kind of subscription package can i get for QT? Please feel free to email / PM me.
I created a portfolio of the top 5 cryptocurrencies + USDT based. You can find it in the attached zip file. I included the historical data up to yesterday (25 Sept 2017).
Instructions:
This forum does not allow .zip file, hence the .txt. Once you download the file, change .txt to .zip. Then once you unzip the file, you will have a folder called “QT_Crypto_Large_Coins” with csv files, a Quanttrader.ini file and a few more files. Place this file anywhere you want (but not in the Apps folder). Go to your regular QuantTrader folder, copy QuantTrader502s.exe (or the latest version you use) and paste it in this folder. Then run the .exe from this folder. When the popup appears choose Local Data so you force it to read the csv files. Do not tick the “Reload” box.Thank you Vangelis. Helping to De-risk the crypto-currency world is a great application for QT.
Looking forward to seeing the strategy tonight.
Thanks Vangelis for this. It would be brilliant if LI could provide cryptocurrencies in a QuantTrader digestible format! Of course it would be reasonable to charge a humble price for this.
Hi Vangelis, have you found any indicator for timing buy/sell signal for the crypto currencies? Price appreciation is so much recently that I am not sure if it is possible to extract any correlations. Thanks
I am testing different strategies that rotate through BTC and altcoins but as of late everything has underperformed simple buy and hold of Bitcoin. We are at a very bullish stage, it seems. Bitcoin is an interesting asset because it exhibits “upside” risk. Wars, political instability, capital controls all present opportunities for Bitcoin’s price to jump. Eventually if CME futures are offered one could devise a strategy that uses BTC in conjunction with our familiar VIX, Gold, FX futures (as in MYRS, GLD-USD, UIS strategies).
I have heard many opinions that cryptocurrency is here to stay in some form or another. So, I found one alternative is to invest in stocks that are in the bitcoin/etc. coins and the blockchain. I have put a very small amount into GBTC, GROW, MGTI, and OSTK. I have seen a lot of opinions that Overstock is the safest way to play, as it is already well established.
Due to their short lives, in many cases, the QT model blows up because the CAGR numbers are incredibly high.
I have been trading crypto since 2015 when I bought some BTC just out of interest. Just dumb luck to be long into 2017. I have been actively trading many coins and tokens over the past 12 months but I have noticed that the market dynamics have changed a lot in this time. In the first 3Q’s of 2017 you could be long just about anything and make extraordinary gains. Today you have to be a lot more discretionary in where you place the risk. The market is starting to mature a little and is looking far more at utility. You need to focus on projects where there is a definable use case and where you see true adoption potential. Although I remain an advocate of crypto, I am also realistic about the fact that many of the current products being traded today will end up at zero value. My favoured products are BCH (over BTC), XMR, Ethereum, Neo and one of the new index products. I favour Crypto20 as the best to date, they recently listed on a few exchanges and have low costs. I did build my own index product but the execution over many exchanges was taking up a lot of time and effort for which I decided I would rather pay the management fees. I run all my equity & derivative trading systematically but I do not find crypto has the historical data or liquidity yet to minimise slippage to the extent where I can deploy algo’s in this space, so I just do my research and hodl.
Thanks for sharing your thoughts. I think that we’re still very early and to be honest I don’t see many signs of “market looking for utility”. But I certainly hope this will happen.
Your portfolio is pretty much “big cap”. I’m trying to diversify also to “app level” tokens, like GNT, ZRX, RLC, OMG, BLT to name a few. It’s still undecided which will be more valuable in the future.
https://blog.coinfund.io/fat-protocols-are-not-an-investment-thesis-17c8837c2734 and https://blog.zeppelin.solutions/thin-protocols-cc872258379f are a kind of eye openers for me.
Some users may find this library useful
https://github.com/ccxt/ccxtInteresting article on crypto portfolio rebalancing:
https://hackernoon.com/optimizing-asset-distribution-for-cryptocurrency-rebalancing-d31c7a7d607b
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