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(Last Updated On: June 14, 2018)

Yesterday there were no longs generated after the meltdown of Bitcoin from Friday. it seem that crypto currency was a dead asset class.  It got me worried since I had no content for webinar I did earlier. tonight. As a result, I had to rework how I approached using this new script I developed a few weeks ago.

Here are the script changes

1.  I reduced the look back period from 1000 to 200 days which makes it more than 6 months.

2. I added some new columns after running a linear regression. 4 new columns were added to ranking spreadsheet which include slope, r-value, p-value, and standard error.

3. A new sorting criteria which is in the order of slope, volume and volatility. Note that I will not report any crypto currency less than a volume of 45 million. This is the latest captured bar of volume with closing price added as well.

There is stlll lots of filtering to do which will makes this more precise as I choose which crypto currency pairs into enter the market via Binance exchange.

See my video here

More to come

I am starting to move out of the analysis to tie up the more important aspects of this ‘entire crypto trading system.’ I am focusing back on my own older Python 2 scripts that do:

1. Kelly Criterion to keep the account protected by throttling the daily amount available based on trading performance.

2. Portfolio Optimizer which will allocate capital to deploy each trading day based on historical market data of the particular crypto asset of interest.

3. Watchlist uses various simple metrics to precisely measure entry into the market. This includes Beta performance on a benchmark like Bitcoin/USA Dollar.

4. Positions Manager is used to measure the exit once a position is entered. I plan to use Average True Range to help here as using like a virtual trailing stop.

More videos will focus on the Python scripts above. They will also need to be translated from Python 2 to version 3.

All of these will lead to new files and charts for my Quant Analytics service.


Thanks Bryan

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs