Quote from: Loredo on October 20, 2013, 10:28:48 PM

Quote from: PuertoLibre on October 12, 2013, 09:03:21 PM

These are my thoughts:

I realize this is an EMA bot. Simple rules, simple executions. As you can see in my pic above.....

IF you use 1 hour settings (and above) AND there is a flash crash within 30 minutes... (meaning, it goes from where it was to the new bottom (lets say a 25% drop in price)...the bot reacts to it after the next update by initiating a sell order. Correct?

First I'll admit how I got here: I've all but finished up watching or being concerned with the hardware thread; there's little more to see there from here on out, IMO. I searched to see if you had left the forums, since I hadn't seen you on the BFL threads, and found this.

This is actually very much closer to my core business than bitcoins, so I'll make a couple of points, regarding EMA's and their use as trading signals.

First, an EMA "period" is actually a product of two dimensions: sampling frequency and normalized parameter. Example is easiest. Say you want to construct an EMA with a period of 6 hours. You solve for the parameter as \alpha = 2/(6+1),
if you are sampling once per hour.

But if you sample every minute, then a parameter of \alpha = 2/(6*60+1) will give you a function that is virtually the same as the first, but with the ability to "respond" to signals every minute rather than once an hour.

Second, regarding EMA "signals." There are two basic triggers used: simple crossings of the lines, and so-called "directional bindings." In other words, rules are "trade when price crosses ema", OR "trade when slope of function changes." Except for "noise," "significance of the binding", or "price confirmation offset", these two rules are identical.

This is because, by its mathematical construction, an EMA changes slope whenever a current price contributing to the function falls (rises) below(above) the current value of the EMA.

Just some off-top-of-head comments.

Hi Loredo

,
We really enjoy having knowledgeable traders on the thread, I hope you stick around our community (no purchase necessary

).

Please let me know if you need anything at all, and WELCOME!

Pablo.

Just curious: What is you main profession, mathematics?