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 BryanFACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!