I see no mention of the spread, costs or even ability to put on a short position, exchange lag variability (huge issue when simulating even on modern exchanges, let alone fly-by-night bitcoin markets). Additionally, it is very easy to find trend-following signals that "work" but break down when conditions change very quickly. That seems to make up most of the prediction, along with an order book imbalance signal that might be more stable.
I think a better approach would be looking at order book features and lags vs. other markets. The costs are high on BTC markets so it would be pretty tough to overcome those though. Anyone with experience to do this is probably doing it somewhere more lucrative. I think BTC markets only trade a few million USD a day.
I think a better approach would be looking at order book features and lags vs. other markets. The costs are high on BTC markets so it would be pretty tough to overcome those though. Anyone with experience to do this is probably doing it somewhere more lucrative. I think BTC markets only trade a few million USD a day.