We will test the crypto on Bitmex, since there you can easily get ticks with directions for free.
Actually, the idea is very simple:
— buy if the sum of the volumes of the last 5 trades is more than 500,000
– sell if the sum of the volumes of the last 5 trades is less than -500,000
We trade one conditional bitcoin (ticker XBTUSD).
We'll use R and the QuantTools package.
Let's write a little bit of code:
Results:
Everything was calculated in about 38 seconds. Of these, 30 seconds were spent reading ticks from the disk. Below is a time profiling table in milliseconds:
Read this:
For those who missed the story about the “hockey player-swindler”
“In hockey – God, in life – sucker”. Business, ICO and “true friends” Evgeniy Malkin, for whom he will also be responsible. – Part 5/7
“In hockey – God, in life – sucker”. Business, ICO and “true friends” Evgeniy Malkin, for whom he will also be responsible. – Part 3/7
BRICS countries support the idea of a single digital currency
Malkin, passport, megalomania Sports.ru and a storm of shit
“In hockey – God, in life – sucker”. Business, ICO and “true friends” Evgeniy Malkin, for whom he will also be responsible. – Part 2/7