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by hft_throwaway 4254 days ago
I see no mention of the spread, costs or even ability to put on a short position, exchange lag variability (huge issue when simulating even on modern exchanges, let alone fly-by-night bitcoin markets). Additionally, it is very easy to find trend-following signals that "work" but break down when conditions change very quickly. That seems to make up most of the prediction, along with an order book imbalance signal that might be more stable.

I think a better approach would be looking at order book features and lags vs. other markets. The costs are high on BTC markets so it would be pretty tough to overcome those though. Anyone with experience to do this is probably doing it somewhere more lucrative. I think BTC markets only trade a few million USD a day.
1 comments
reduce 4254 days ago
About 35 million USD in trades on the public bitcoin-paired markets today. About 40 million USD today in total volume for all pairs on these exchanges.

http://www.cryptocoincharts.info/coins/info

link
hft_throwaway 4253 days ago
More than when I last looked, but to put that in perspective, you could trade $40mm in a few price ticks in major currency pairs and CME avg daily turnover alone is > $100bn: http://cmegroup.mediaroom.com/2013-06-07-CME-Group-Sees-Reco...

Public spot FX markets and OTC trading do huge volumes too.

Some BTC exchanges charge like 60 bps per trade. Finding a signal to overcome that cost and do enough trading to make it worthwhile would be quite difficult.

link