| Just buying and selling, all GDAX maker to avoid any fees which would more or less cancel out even the best model I have. Lack of fees is another unique feature of the space. The training period I keep to 3 months and haven't really moved much since initially trying things. A month or less and the model is overfit and useless, too long and it's not working with current data. The prediction/"hold time" changes absolutely make a difference. I was running on litecoin and found about an hour to be the sweet spot. > days versus seconds Seconds would be useless because you can't trade that fast - minutes is what I use. Even if accuracy increases with a hold time over days, the average trade value doesn't go up nearly enough to make up for the trade frequency of the minutes/hours level. Why make 3 trades per week with an average value of .5% when you can make 4 trades a day for an average value of .15%? The compounding of that frequency works wonders, and that 4 trades a day for .15% is what I was actually hitting for a few months. For the record, I do also compare to both naive buy/hold over the training period and the average trade value for the period for all times (different than the buy/hold time because I have a profit lock-in threshold for individual trades, also tuned with genetic algorithms), and the model outperforms both still. The model is still predicting positively but the average trade value is shrinking + market thinning hence why it was breaking even recently until shut down. |
Have you done any work on trying to predict breakouts or crashes? I often think how uncanny it is to compare market movements to simply the number of comments on Reddit threads, or numbers of tweets. I don't know if these are leading or lagging indicators though.