Since I knew the cryptocurrency trading world, I was wondering if there is any software that can predict any coins based on mathematical algorithms. I start searching and searching and here is the out come so far:
PAMR algorithm:
PAMR is portfolio selection strategy named “Passive Aggressive Mean Reversion”. I found a lot of people talking about this great strategy and as a result, I tried to find out more info about it.
According to the article called “ PAMR: Passive aggressive mean reversion strategy for portfolio selection” that is been released on Machine Learning – May 2012, Vol 87, Issue 2, pp 221-258 and written by Prof. Bin Li, Peilin Zhao, and Steven C. H. Hoi “ https://link.springer.com/article/10.1007/s10994-012-5281-z” :
This article proposes a novel online portfolio selection strategy named “Passive Aggressive Mean Reversion” (PAMR). Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning technique from machine learning, the proposed portfolio selection strategy can effectively exploit the mean reversion property of markets. By analyzing PAMR’s update scheme, we find that it nicely trades off between portfolio return and volatility risk and reflects the mean reversion trading principle. We also present several variants of PAMR algorithm, including a mixture algorithm which mixes PAMR and other strategies. We conduct extensive numerical experiments to evaluate the empirical performance of the proposed algorithms on various real datasets. The encouraging results show that in most cases the proposed PAMR strategy outperforms all benchmarks and almost all state-of-the-art portfolio selection strategies under various performance metrics. In addition to its superior performance, the proposed PAMR runs extremely fast and thus is very suitable for real-life online trading applications. The experimental testbed including source codes and data sets is available at http://www.cais.ntu.edu.sg/~chhoi/PAMR/
As a result, I did read the whole article but I couldn’t find any clear cut info about how to apply the algorithm in the real market. Also, tried to download the source codes from the provided link “ http://www.cais.ntu.edu.sg/~chhoi/PAMR/ “ however, the link wasn’t working.
I found an email address for Dr. Hoi so I sent him an email asking for help to apply the PAMR concept to the Cryptocurrency market and also asking for the PAMR codes. He did reply in a couple of hours which did surprise me.
He refered me to his website and I will be able to find all the needed codes under Software which is : http://olps.stevenhoi.org/
He also told me that the new program that he worked on which includes many algorithms in it including PAMR, PAMR 1, and PAMR 2 called “OLPS: A Toolbox for Online Portfolio Selection” and it can be downloaded from this link: https://github.com/OLPS/OLPS
I found out that OLPS is an open-source toolbox for On-Line Portfolio Selection, which includes a collection of classical and state-of-the-art on-line portofolio selection strategies implemented in Matlab/Octave.
So, I had to download Matlab to be able to open OLPS. After I opened OLPS in Matlab, I discovered that it wasn’t programed properly to be used in the cryptocurrency markets however, I have been able to have all the codes for all algorithms including PAMR.
I tried to find a programmer in FIVERR.com or Freelancer.com to reprogram OLPS to be able to use bittrex and Poloniex market to predict and choose the proper coin to invist in however, I couldn’t find a programmer who understand or have trading experience to help me reprogram OLPS.
Now I am reaching out to you my Steemit family. I gave you all the sources that I found.. Do you think is it possible to create a software using the Algorithms that we have from OLPS that gives us an option to choose which market we want to trade is “Bittrex, Poloniex,…” then give us the option to apply any algorithm we prefer “PAMR,….” Then once we hit start, the program with go ahead and do auto trades accordingly like a trading bot.
What do you think? Please share this article so we can reach as much people as possible to be able to reach to our dream software.
As always, Your support is needed and highly appreciated
Bitcoin Address for tips
1C7cUxM47y21hNBRW9okKRkDUPkNPQmTsA
Picturs sources:
https://www.pexels.com/photo/mathematical-formula-74228/
https://www.pexels.com/photo/black-click-pen-on-white-paper-167682/
https://www.pexels.com/photo/black-and-white-blur-book-business-240163/
Sources:
https://link.springer.com/article/10.1007/s10994-012-5281-z
http://olps.stevenhoi.org/
https://github.com/OLPS/OLPS
I know of a few different people working with PAMR in the cryptosphere, about 5 total (including me), 3 with aspirations to go to market. Most of us are working with a modified PAMR algorithm because straight PAMR is rather sensitive and when combined with the market volatility in crypto, it doesn't perform well. You can control for this a bit by changing the eps value, but the optimal eps is dependent on the trading pair (and the volume, thereof). OLPS is something that I recommend as a starting point, but is not a complete solution in need of API integration into the exchanges. Running some basic tests with the code will show that.
Just saw your comment right now .... Thank you ashr .... and please keep me posted if you will allow individuals to get involved in your bot ... Thank you again
You've been UpVoted via the UpVote Experiment 002 Bot. Depending on my VP & the price of STEEM you should get a $.01-$.03 for your trouble.
Read more about this experiment here.
Thank You - @blueorgy
Thank you so much
I think this is possible. I'll read all the documents. However such algorithms only work when they're used by a select few.. If everybody uses them, it negates the function.
I agree with you however, the market volume is so huge and tuns of people involved in it .... What I noticed so far from my experience in Cryptocurrency world that anyone who finds a good program with a good algorithm, he never share it ... and if he did, he will share the software only but not the settings ...
That's why I did think to hire a programmer to do it for me but that was a hell of expensive choice..... The other choice is my Steemit family....
Thats why I wish we can share this article as much as possible so we can reach as much ....
Thank you for your time to read and comment
Kindly Vote up this article so it can be moved up further.... Thank you in advance....
I Know really. Sharing that type of success would be like shooting yourself in the foot
Correct :) .........................
Hi! I am a robot. I just upvoted you! I found similar content that readers might be interested in:
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.421.579
Thank you for your vote ...
Looks interesting! I'm currently in my last year of my AI master. I'll take a look at the paper!
WOW, that would be awesome... Thank you sooooo much .... Please keep me posted ...
So i've taken a look at the paper, they mention that their best result was in a highly volatile market which obviously the cryptomarket is... i'm curious too now how well this would perform in this market. In theory i guess you could even change the trading days into trading minutes but for that I think the algorithm would need to have to take different things into account like support, resistance, rsi, ... . I'll first see if i can run some tests with old coinmarketcap data when I find some time one of these days and i'll report back.
I am glad that you are now more interested to it ... feel free to contact me any time here or at my facebook account ..
The professor created all the algorithms including PAMR in OLPS ... you can find it here : https://github.com/OLPS/OLPS
Your help is needed and highly appreciated.
Keep going champ
any news ????
So I tried the algorithm with the following tickers: "ETH", "BTC", "DASH", "XMR", "STRAT", "DGB", "DOGE", "STEEM", "XRP" (so one portfolio containing all of these). It seems that the algo performs worse than a uniform constant rebalanced portfolio. Check the image below. So as ashr mentioned this does not perform that well ...
http://imgur.com/A7YHKWH
Thank you for your time and effort. at least you tried....
Thank you so much
Sorry was busy last days, I'm looking at it right now!
Like yourself I was searching for information on this subject when I found your post. Thank you it is very well put together and very informative. You have taught me a lot.
Thank you my friend for your replay, Yet, I am still searching and will keep you posted.
Thank you again.
thanks for sharing this! i've been looking to algorithmic portfolio management solutions and the OLPS link you posted will help!
More Predictions..
https://steemit.com/cryptocurrency/@steller/astrological-bitcoin-predictions-for-oct-dec-2018