admin
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Coming soon, BitCoin trading & GSB
We are at early stages of BC trading.
Here are results so far on 100k lot of BC, with zero slippage used.
$150 round turn is what we should be using.
Im going to post some things to get people started, but still focused on NQ systems - so will leave it others to continue this work
very good video on bitcoin binance, including ways to reduce commission
https://www.youtube.com/watch?v=YzJ6xkJpeUk
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SwedenTrader
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Very interesting. I dont know if this needs to be considerated at this time in the testing and building but both of the TS symbols BTC and the smaller
BTM are only allowed with limit orders and no market orders. I got the answer that this is from CME-regulations and not a TS issue. If one wants to
get filled for certain when automating this is a problem. I guess a programmer can solve that so one gets filled when using limit orders even when
there are gaps or slippage. It should be the same for all brokers but different platforms maybe can handle this different. I hope they allow market
orders in the future on bitcoin when its considered more stable market.
/Alen
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Siem
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Hi Peter,
I like this idea. My initial plan was to use GSB to create a strategy to trade ETHUSD, but this is also something I had in the back of my head.
What kind of datasource do you want to use for this project?
A while ago I wrote a Python script to get all historic 1-minute data for ETHUSD as well as BTCUSD (or anything else) from the Coinbase and Kraken
exchange, which was a pita to do. Kraken has a more historic candles, but halfway thru 2016 Coinbase gets more volume.
If you want I can supply the data in a GSB / TS compatible format. It would be GMT-based and 24/7, optionally I can change the timezone.
The datasource could crossover the month that Coinbase got more volume so there's a maximum historic amount of data and the best amount of volume.
I have not checked the TradeStation data, but this data could go back as far as October 2013 for Bitcoin.
If you think it is handy for this project I can send you the data.
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admin
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@siem,
your welcome to post some data
I am told
"Binance offers good spreads and variable commission (0.075%, not fixed like in futures) so we can test with very small capital
Multicharts can connect to Binance."
I cant drive this project for some time, but will pass on what I know.
This is the data I was given. Not sure the source, but will publish when I know.
settings and macros to come in a few days
Attachment: Login to view the details
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erlendsolberg
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CME is expected to introduce Micro Bitcoin futures on May 3rd:
https://www.cmegroup.com/trading/micro-bitcoin-futures.html
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admin
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Thats awesome, as long as its liquid enough.
There are a number of issues.
builidng systems on the cash BC, and trading the futures is full of assumptions.
My tests of well over a decade ago show the cash inidic's trade much better than the futures.
Other GSB users found going from data provider1 for building systems on tick data, then trading on provider2 caused lots of issues and degradation.
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Siem
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Here's the 1-minute data for both Bitcoin/USD and Ethereum/USD.
Maybe the #2 crypto could be used as an extra datasource.
I scraped all the historic data from Coinbase and the Kraken exchange. It was saved it in a format compatible with GSB and Tradestation. Later this
week I will get the data from the Binance exchange.
update (April 28): time is fixed in the Kraken file, the date/time was at the start of the candles instead of the close. I have to download the
Coinbase data again, so it will take a bit longer before that file is in this message again.
Attachment: Login to view the details
Thanks received (4):
+1 bizgozcd at 2021-04-25 12:23:03 +1 admini at 2021-04-21 17:48:03 +1 OUrocketman at 2021-04-21 17:03:35 +1 Carl at 2021-04-21 15:32:57
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admin
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Here is my settings for indicator testing. Use the green 10 and build macros that are for nq/es/ym
Much more work can be done on BTC, but this is just a start
Attachment: Login to view the details
Attachment: Login to view the details
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Siem
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Here is the historic 1-minute data from the Binance exchange.
I added some extra pairs, maybe BNB (Binance Coin) is handy for testing purposes.
The following pairs are in the file: BTC/USDT, ETH/USDT, ETH/BTC, BNB/USDT, BNB/BTC and BNB/ETH - up until 04/25/2021
Update: time is fixed.
Attachment: Login to view the details
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admin
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Quote: Originally posted by Siem  | Here is the historic 1-minute data from the Binance exchange.
I added some extra pairs, maybe BNB (Binance Coin) is handy for testing purposes.
The following pairs are in the file: BTC/USDT, ETH/USDT, ETH/BTC, BNB/USDT, BNB/BTC and BNB/ETH - up until 04/23/2021 |
thanks for that. Its problicmatic for now in that data starts at 2017 which I think is too short a period to make systems. It might work to validate
BTC systems but I'm not sure how valid this will be. BTC is new to me and not much work has been done in GSB with it yet. The default settings on GSB
above are a good place to start, but I'm sure there is lots of room for improvement
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Carl
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Another issue with BTC is the extreme price range.
There is a risk strategies are selected based on recent results, and less on stability over the years.
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SwedenTrader
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| Quote: Originally posted by Carl | Another issue with BTC is the extreme price range.
There is a risk strategies are selected based on recent results, and less on stability over the years. |
agree, i was just testing something in my TS cluster WF and i saw your comment and thought of this criteria 4 can be something to considere in that
case you mention.
On the other hand many systems in @ES have contentraded a great portion of the profits to the years 08 and 20 but that is not a problem as long as the
rest of the years are OK.
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Siem
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For the historic data file I have used the open time of the candles.
But now I'm not sure if that was correct, does TradeStation / GSB use the close time of the candles in the text files?
If that is the case I will replace the files I uploaded here with a corrected version.
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admin
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| Quote: Originally posted by Siem | For the historic data file I have used the open time of the candles.
But now I'm not sure if that was correct, does TradeStation / GSB use the close time of the candles in the text files?
If that is the case I will replace the files I uploaded here with a corrected version. |
good you asked. CLose time is used.
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admin
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very good video on bitcoin binance, including ways to reduce commission
https://www.youtube.com/watch?v=YzJ6xkJpeUk
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Siem
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| Quote: Originally posted by admin | | Quote: Originally posted by Siem | For the historic data file I have used the open time of the candles.
But now I'm not sure if that was correct, does TradeStation / GSB use the close time of the candles in the text files?
If that is the case I will replace the files I uploaded here with a corrected version. |
good you asked. CLose time is used. |
Thanks I fixed the Binance and Kraken data, the Coinbase data will have to be downloaded again.
Would it be an idea to create a hybrid file that crosses over from Kraken or another exchange to Binance in order to have more historic data?
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admin
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Hybrid file sounds look a good idea. Im not sure how to do it properly. Im not likely to have time for months to pressure BTC myself. Im spread thinly
over too many areas. However the collective user base should be able to come up with things.
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admin
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Bitcoin GBTC documentation done. Settings in next build 62.07 but likely are in current build, but 62.07 has minor tweaks to the settings.
My current PL on the very leveraged illiquid BTC contract is $38,000 for < 2 months trading.
https://trademaid.info/gsbhelp/BuildingBitcoinsystems.html
A comment made my someone from the Unger group. There out of sample trading results were far high from day trading, then long term BC trading. This
doesnt surprise me, but there could be many reasons for this. It could also be current conditions, but we dont know if this will contine
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SwedenTrader
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Has anobody worked anything on bitcoin futures lately, i would be interested to hear ?
I tried some limited testing intraday this weekend. Got two flat periods and two spikes more or less. But i think it is ok since the flat periods
were also flat in the actual bitcoin price at that period. before 2021 its pretty flat, then volatility came during 2021, later pretty flat again
2022-2023. 2024 was volatile and unseen data in my test and it did even better than the in sample data of 2021. 2025 also starting strong.
I belive if we try to get better results on flat periods it might degrade the volatile periods and my guess is Bitcoin will have more volatility than
stock indicies since its price is expected to grow faster than indexes in the long term.
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SwedenTrader
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I just tested intraday @ETH also more for fun, did not expect it to be a good market. It seems when comparing to BTC it gives better results compared
to risk. I used 15 MBT and 1 ETH for about similar margin needed also similar total stop. No big difference in liquidity also. Comparing the same
period, ETH has shorter data period.
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SwedenTrader
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| Quote: Originally posted by SwedenTrader | Has anobody worked anything on bitcoin futures lately, i would be interested to hear ?
I tried some limited testing intraday this weekend. Got two flat periods and two spikes more or less. But i think it is ok since the flat periods
were also flat in the actual bitcoin price at that period. before 2021 its pretty flat, then volatility came during 2021, later pretty flat again
2022-2023. 2024 was volatile and unseen data in my test and it did even better than the in sample data of 2021. 2025 also starting strong.
I belive if we try to get better results on flat periods it might degrade the volatile periods and my guess is Bitcoin will have more volatility than
stock indicies since its price is expected to grow faster than indexes in the long term. |
Just made my first live trade on this system today intraday and it was a great trade and ATH. Only two similar profits historically 2021 ans 2024 on
the short side. Today it was long.
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