First off, thank you so much to Goomboo for providing this strategy - I'm sure it is appreciated by all!

I am a first time poster (just got off "newbie" status), but found your post and was very excited by the chart and it got me started to create my own data gatherer from MtGox with the intention of eventually creating an automated bot.

However, as I got further into thinking about it, important questions got raised. Could you (and others reading this) please address my thoughts?

I'd like this to be a PRACTICAL analysis as opposed to theory because if real people are putting real money into this system, they need to be prepared for actual statistical results. Users who starting using your system prior to the big bubble certainly did well, but now the question is how will this perform ongoing and for people just now starting.

#1 - Your latest graph (page 43) shows results the 0.6% Commission and admits that there is no slippage from bid-ask spread. I do not believe this is realistic. If you're going to have a trading system, unless there is a clear value that you can place a Limit order for, it'll be a Market order and therefore will incur a Bid/Ask Loss.

I've only been storing one minute data for a day now, but so far after 1,191 points that looks to be 0.28% loss.

#2 - You assume 0.6% Commission, but doesn't MtGox take Commission from both Buys and Sells? For instance, lets say you buy 1 bTC on Day 1 and sell it 12 hours later. Wouldn't they tack on 0.6% on the buy and 0.6% on the sell? My tests buying and then immediately selling 0.01 and 0.1 BTC seems to confirm that. My typical loss was over 1.2%.

I believe, therefore, you need to assume a 1.2% Commission

#3 - I understand that you can "short" using 3rd party companies, but unless there is a way to do it directly in MtGox (or whatever your model is based on) I don't think you should include shorting profit. That's not much of a concern up until recently with the big bubble, but going forward shorting profits might be higher than long profits.

#4 - That's neat that you calculated it for the 0.25% Fee schedule, but lets face it - that's not realistic. 500,000 BTC per month - that's $54 million! Not only is that an absurd amount of money, but I doubt you could trade anywhere close to that without huge slippage.

So, if I'm correct, then that means you're really looking at a 1.5% commission rate or so. Could you re-calculate it for that commission rate? Unfortunately, I'd bet that'll make the numbers pretty weak, especially starting in May where things have calmed down. If you were to average one trade per day, 30 trades per month, that'd mean you'd need a 45% gross return every month just to break even! That's a minimum of 548% return required per year.

PLEASE tell me I'm wrong (and most importantly why) as I'd love to start making some good green, but unfortunately I think this is the way it works.

I have lots of strategies in Forex where it'd gross me a 10,000% profit per year, but when you include commissions and bid/ask loss it winds up being a 50,000% LOSS. Once BTC gets to the point to where it can be traded efficently, the big gaps in the exchanges (ie: the $8 difference between MtGox and BitStamp and the $10-$11 difference between MtGox and BTCe) will be eliminated and systematic traders will come out of the woodwork to capitalize on these trends which will eliminate the profitability of them.

PS - Could you show some monthly status from 2011? That might give us a good idea of what it looked like before the big bubble.

Thanks!

Comments?