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Building an alpha out of on-chain data ?


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Building an alpha out of on-chain data ?

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rleplae's Avatar
 rleplae 
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Has anybody tried to create an alpha with on-chain data for a crypto currency, eg. bitcoin ?
For example using deep learning to find features that could provide a clue into future direction ?

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  #2 (permalink)
 
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Glassnode have a "The Week On-Chain" newsletter that does an interesting dive into a lot of chain metrics. You can access these metrics real time for a fee. Don't think they've done any deep learning though.

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SMCJB View Post
Glassnode have a "The Week On-Chain" newsletter that does an interesting dive into a lot of chain metrics. You can access these metrics real time for a fee. Don't think they've done any deep learning though.

Hello @SMCJB, yes I looked into their data and also there is cryptoquant that has a similar offering of on-chain data.

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  #4 (permalink)
 
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 rleplae 
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In the mean-time I have made a bit of progress.

On the question can "on-chain" data improve a trading strategy ?
I have now the clear answer : Yes

On a very base and simple MACD / Moving averages trading bot, the result
on 5 yr was 140%, adding an on-chain metric filter, the result was boosted
to above 450%

I still requires further deep analysis, but this first analysis is very hopeful.

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  #5 (permalink)
 
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 rleplae 
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Based on BTC-USD hourly bars
Simple strategy using MACD and SMA

using backtrader framework in Python

Final Portfolio Value: 171111.48
Backtesting Results
Open Positions : 1
Closed Trades : 135
Winning Trades : 64
Loosing Trades : 71


Longest Winning Streak : 6
Longest Loosing Streak : 6
Strike Rate (Win/closed) : 47.40740740740741


Inital Portfolio Value : $100000
Final Portfolio Value : $171111.4801679132
Net P/L : $73496.97
P/L Average per trade : $544.42


Drawdown : $55.67974823088889
Sharpe Ratio: : 0.005897864404264542
VRW : 0.0007003200698899781
SQN : 0.2885971620986656

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  #6 (permalink)
 
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Exactly the same strategy but using an extra on-chain parameter called STF

Final Portfolio Value: 426914.29
Backtesting Results
Open Positions : -
Closed Trades : 54
Winning Trades : 28
Loosing Trades : 26


Longest Winning Streak : 5
Longest Loosing Streak : 6
Strike Rate (Win/closed) : 51.85185185185185


Inital Portfolio Value : $100000
Final Portfolio Value : $426914.2851294556
Net P/L : $326914.29
P/L Average per trade : $6053.97


Drawdown : $22.13766520534782
Sharpe Ratio: : 0.010895987421856542
VRW : 0.0015756519342229314
SQN : 1.109903714821191

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  #7 (permalink)
 
rleplae's Avatar
 rleplae 
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Stock to Flow

Stock to Flow is a metric used to assume bitcoin price based on its scarcity just like gold, silver, and other valuable objects that are limited in amount and costly to earn. The same model for evaluating the value of those objects can be adopted to assess the value of bitcoin. The scarcity is calculated by dividing currently circulating coins in the blockchain network to newly supplied coins.

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  #8 (permalink)
 
SMCJB's Avatar
 SMCJB 
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Platform: TT and Stellar
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rleplae View Post
Exactly the same strategy but using an extra on-chain parameter called STF

Not to be confused with the Altcoin, STF ~ Structure Finance, I assume

rleplae View Post
Exactly the same strategy but using an extra on-chain parameter called STF

Final Portfolio Value: 426914.29
Backtesting Results
Open Positions : -
Closed Trades : 54
Winning Trades : 28
Loosing Trades : 26


Longest Winning Streak : 5
Longest Loosing Streak : 6
Strike Rate (Win/closed) : 51.85185185185185


Inital Portfolio Value : $100000
Final Portfolio Value : $426914.2851294556
Net P/L : $326914.29
P/L Average per trade : $6053.97


Drawdown : $22.13766520534782
Sharpe Ratio: : 0.010895987421856542
VRW : 0.0015756519342229314
SQN : 1.109903714821191

What's the timeline on this?


rleplae View Post
Stock to Flow

Stock to Flow is a metric used to assume bitcoin price based on its scarcity just like gold, silver, and other valuable objects that are limited in amount and costly to earn. The same model for evaluating the value of those objects can be adopted to assess the value of bitcoin. The scarcity is calculated by dividing currently circulating coins in the blockchain network to newly supplied coins.

PlanB's S2F price projections have been, shall we say, a little off of late!

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  #9 (permalink)
 
rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
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Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
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The data sample is 5 years of data in hourly timeframe
the on-chain is daily data ( I get it from crypto quant )
there are roughly +100 other on-chain parameters to
test out...

I did a rough AI scan but the data is too wild
I need to go through it in much more detail
and where necessary even process it before feeding
it to the network


SMCJB View Post
Not to be confused with the Altcoin, STF ~ Structure Finance, I assume


What's the timeline on this?



PlanB's S2F price projections have been, shall we say, a little off of late!


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  #10 (permalink)
 
rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
Posts: 3,003 since Sep 2013
Thanks Given: 2,442
Thanks Received: 5,863


New test based non daily bars, using data from 2017 up to today.

Backtesting Results
Open Positions : -
Closed Trades : 17
Winning Trades : 12
Loosing Trades : 5


Longest Winning Streak : 4
Longest Loosing Streak : 2
Strike Rate (Win/closed) : 70.58823529411765


Inital Portfolio Value : $100000
Final Portfolio Value : $459428.9590874669
Net P/L : $359428.96
P/L Average per trade : $21142.88


Drawdown : $20.289844704596852
Sharpe Ratio: : 0.06088832610231466
VRW : 8.070073986575132
SQN : 1.2047667275497216


Transactions
Date Amount Price SID Symbol Value
2017/04/01 23:59:59 91.26478414343347 1087.10528904 0 daily-2017-2022-ok -99214.42954542044
2017/04/13 23:59:59 -91.26478414343347 1172.7482041859998 0 daily-2017-2022-ok 107030.61170963453
2017/07/21 23:59:59 36.95251566922133 2872.27747875 0 daily-2017-2022-ok -106137.87853986089
2017/07/25 23:59:59 -36.95251566922133 2557.273468968 0 daily-2017-2022-ok 94497.687932524
2017/09/28 23:59:59 22.238330510160473 4203.96328606 0 daily-2017-2022-ok -93489.12500798258
2017/11/12 23:59:59 -22.238330510160473 5954.738573807999 0 daily-2017-2022-ok 132423.4445059439
2018/04/09 23:59:59 18.693230139732606 7020.99670189 0 daily-2017-2022-ok -131245.10715873336
2018/04/16 23:59:59 -18.693230139732606 7939.0923633385 0 daily-2017-2022-ok 148407.2806484802
2018/06/21 23:59:59 21.762519951935083 6761.0652647 0 daily-2017-2022-ok -147137.817719369
2018/06/22 23:59:59 -21.762519951935083 6046.441767477 0 daily-2017-2022-ok 131585.80960293184
2018/06/30 23:59:59 21.067057110844775 6200.20891872 0 daily-2017-2022-ok -130620.15538984336
2018/07/10 23:59:59 -21.067057110844775 6419.6151300415 0 daily-2017-2022-ok 135242.3985742275
2018/08/22 23:59:59 20.706409899059583 6478.26408396 0 daily-2017-2022-ok -134141.5915568315
2018/09/05 23:59:59 -20.706409899059583 6973.682074388 0 daily-2017-2022-ok 144399.91953800205
2018/11/05 23:59:59 22.132167143142347 6473.96484722 0 daily-2017-2022-ok -143282.87207750103
2018/11/14 23:59:59 -22.132167143142347 5910.788939049 0 daily-2017-2022-ok 130818.56874686948
2018/12/03 23:59:59 31.285387230424046 4149.76104274 0 daily-2017-2022-ok -129826.88113584918
2018/12/06 23:59:59 -31.285387230424046 3555.418532508 0 daily-2017-2022-ok 111232.6455557388
2018/12/10 23:59:59 30.380566159792075 3561.90009718 0 daily-2017-2022-ok -108212.54155694682
2018/12/21 23:59:59 -30.380566159792075 3911.2032664999997 0 daily-2017-2022-ok 118824.56960229811
2019/01/27 23:59:59 33.094323321020575 3620.34888764 0 daily-2017-2022-ok -119812.99662245535
2019/02/24 23:59:59 -33.094323321020575 3997.2845776084996 0 daily-2017-2022-ok 132287.42821750484
2019/10/26 23:59:59 15.17470078872539 8671.44122142 0 daily-2017-2022-ok -131586.52594206794
2019/10/30 23:59:59 -15.17470078872539 9073.7100205575 0 daily-2017-2022-ok 137690.83460561937
2019/12/02 23:59:59 18.36285370576742 7401.15793186 0 daily-2017-2022-ok -135906.38035602533
2019/12/17 23:59:59 -18.36285370576742 6780.547719657 0 daily-2017-2022-ok 124510.20582103638
2019/12/19 23:59:59 16.96224295496265 7284.198902 0 daily-2017-2022-ok -123556.35150799618
2020/01/10 23:59:59 -16.96224295496265 7746.0904231695 0 daily-2017-2022-ok 131391.06770891053
2020/03/22 23:59:59 21.09743408679748 6201.82058791 0 daily-2017-2022-ok -130842.50107157482
2020/03/27 23:59:59 -21.09743408679748 6429.1241046820005 0 daily-2017-2022-ok 135638.02203436938
2020/07/08 23:59:59 14.52443486469928 9259.25746127 0 daily-2017-2022-ok -134485.48189169692
2020/08/02 23:59:59 -14.52443486469928 10627.884867114 0 daily-2017-2022-ok 154364.02150192048
2020/09/16 23:59:59 14.18545871484459 10792.65487296 0 daily-2017-2022-ok -153098.76012394036
2021/01/11 23:59:59 -14.18545871484459 32456.847393496002 0 daily-2017-2022-ok 460415.2687144488

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