Great Video - your results seem truly amazing. I would however exercise caution as the results seem almost too good to be true and should be able to be replicated by other people in other markets before being adopted. Your channel is one of the most unique on UA-cam.
Thank you for sharing this valuable information! I really appreciate it, it’s really exciting me since I was searching already how to predict market state. One thing to be mindful of, would be, that you trained the model on the entire data and bqsicalky you already know all the states in anticipation of the strategy entries or at least that's how I understood it. Wouldn't be more realistic to try to determine the states with one part of the data then try to see if you will be able to recognize those states for unseen data applying the trading srrategy?
I wonder if you forgot to shift the signals for one day. It looks suspiciously so. I have seen this over and over again - and I have made this mistake myself in the past.It is sometimes unbelievable what a difference one day makes.
100% spot on! When I changed the close to be the following days open in terms of assumed strategy returns, plus lagged the HMM by 1 day - I got dramatically worse results. However, if not lagging the HMM by 1 day - still extremely favourable results. More testing is needed and back to the drawing board lol.
Haven't gone through the notebook but if you're calculating signals (even partially) on Close, you are ensuring the trade takes place on next Open right?
Also after doing "run all" I can't reproduce results. I get negative sharpe. I wonder if you're hardcoding something that is randomized? Labels perhaps?
Thanks Xaknafein. Am equally hunting for this. Having now changed the close to the Open, I definitely see a big drop - but still a really strong Sharpe. Returns Benchmark: 101.56% Returns Regime Strategy with MA Cross: 85.08% The returns are indeed lower, but the Sharpe is still looking strong: Sharpe Ratio Benchmark: 0.848 Sharpe Ratio Regime Strategy with MA Cross: 3.275 When adjusting for the HMM (Not GMM), am getting ridiculous results: Sharpe Ratio Benchmark: 0.817 Sharpe Ratio Regime Strategy with MA Cross: 5.426 --- --- Returns Benchmark: 96.35% Returns Regime Strategy with MA Cross: 213.36% HOWEVER...if I lag the HMM by one day, I get much, much worse performance. So you are right...one day can make ALL the difference. Thanks a lot for the healthy dose of realism. Back to the drawing board.
@@CryptoWizards another possible issue is that through various kernel restarts, your regime labels don't stay constant. In 1 run, label 0 corresponds to a bull regime but in the next kernel restart it's the bearish regime. This can be trivially broken down in an extra step to keep the results constant though all executions.
Great insight! I think you're right, need to initialise these things with a consistent random seed or something. Working on HMM's more and going to find other ways of quantifying their use given that Backtesting can only get you so far - more ML and tests needed.
Really awesome video ! Definitely look into "K-Fold Testing" The market 500 days ago is not the same as the last 100. I have a similar project (but uses a very different approach )
Of course you have a bias in it. It's the strong uptrending market and the assumption it will continue. Test it with a ranging market or distort the data to eliminate the trend and you will see the true result of your system. If you want to trust and trade a uptrend bias, you can simply buy the the tops with proper risk and money management, no machine learning needed.
jeezus holy fuck that was awesome ! when favor for 0 states only iv got: Sharpe Ratio Benchmark: 0.513 Sharpe Ratio Regime Strategy with MA Cross: 5.418 --- --- Returns Benchmark: 48.17% Returns Regime Strategy with MA Cross: 213.36%
@@jnprz9799 You may be right. But honestly I have no idea how it is in comparison to stocks. Arguably bitcoin is not a crypto anymore (imo) so... Ideas become strategies with backtests or they don't)
Great Video - your results seem truly amazing. I would however exercise caution as the results seem almost too good to be true and should be able to be replicated by other people in other markets before being adopted. Your channel is one of the most unique on UA-cam.
Thank you for sharing this valuable information! I really appreciate it, it’s really exciting me since I was searching already how to predict market state. One thing to be mindful of, would be, that you trained the model on the entire data and bqsicalky you already know all the states in anticipation of the strategy entries or at least that's how I understood it. Wouldn't be more realistic to try to determine the states with one part of the data then try to see if you will be able to recognize those states for unseen data applying the trading srrategy?
1000%!
I wonder if you forgot to shift the signals for one day. It looks suspiciously so. I have seen this over and over again - and I have made this mistake myself in the past.It is sometimes unbelievable what a difference one day makes.
100% spot on! When I changed the close to be the following days open in terms of assumed strategy returns, plus lagged the HMM by 1 day - I got dramatically worse results. However, if not lagging the HMM by 1 day - still extremely favourable results.
More testing is needed and back to the drawing board lol.
Did you finish the AI parts of your course your were talking about i am thinking of taking it.
Haven't gone through the notebook but if you're calculating signals (even partially) on Close, you are ensuring the trade takes place on next Open right?
Also after doing "run all" I can't reproduce results. I get negative sharpe. I wonder if you're hardcoding something that is randomized? Labels perhaps?
Thanks Xaknafein. Am equally hunting for this. Having now changed the close to the Open, I definitely see a big drop - but still a really strong Sharpe.
Returns Benchmark: 101.56%
Returns Regime Strategy with MA Cross: 85.08%
The returns are indeed lower, but the Sharpe is still looking strong:
Sharpe Ratio Benchmark: 0.848
Sharpe Ratio Regime Strategy with MA Cross: 3.275
When adjusting for the HMM (Not GMM), am getting ridiculous results:
Sharpe Ratio Benchmark: 0.817
Sharpe Ratio Regime Strategy with MA Cross: 5.426
--- ---
Returns Benchmark: 96.35%
Returns Regime Strategy with MA Cross: 213.36%
HOWEVER...if I lag the HMM by one day, I get much, much worse performance. So you are right...one day can make ALL the difference. Thanks a lot for the healthy dose of realism. Back to the drawing board.
@@CryptoWizards Keep at it 👍
@@CryptoWizards another possible issue is that through various kernel restarts, your regime labels don't stay constant. In 1 run, label 0 corresponds to a bull regime but in the next kernel restart it's the bearish regime. This can be trivially broken down in an extra step to keep the results constant though all executions.
Great insight! I think you're right, need to initialise these things with a consistent random seed or something. Working on HMM's more and going to find other ways of quantifying their use given that Backtesting can only get you so far - more ML and tests needed.
Great insides thank you! Are you going to sell a script which implements the different states on a normal chart?
So it's basically a regime filter, I don't understand how it works sadly, or how it is different from a common filter/indicator.
Really awesome video ! Definitely look into "K-Fold Testing" The market 500 days ago is not the same as the last 100. I have a similar project (but uses a very different approach )
5 years of YT and I still haven't worked out how to pin comments to the top. This is a good one.
@@CryptoWizards We all are getting old that's why :P
Of course you have a bias in it. It's the strong uptrending market and the assumption it will continue. Test it with a ranging market or distort the data to eliminate the trend and you will see the true result of your system. If you want to trust and trade a uptrend bias, you can simply buy the the tops with proper risk and money management, no machine learning needed.
jeezus holy fuck that was awesome !
when favor for 0 states only iv got:
Sharpe Ratio Benchmark: 0.513
Sharpe Ratio Regime Strategy with MA Cross: 5.418
--- ---
Returns Benchmark: 48.17%
Returns Regime Strategy with MA Cross: 213.36%
Wowzers! Great you checked out the code! Yeah, it seems crazy. Im running some supervised ML against this to see. But yeah. It's unreal!
Applying this to crypto would be kind of silly, but still interesting to see)
Lol! It's always an adventure with Crypto.
Why silly? Bitcoin basically acts like a tech stock nowadays
@@jnprz9799 You may be right. But honestly I have no idea how it is in comparison to stocks. Arguably bitcoin is not a crypto anymore (imo) so... Ideas become strategies with backtests or they don't)
What a great discovery
I feel the same
thank you ❤