An Insightful Autocorrelation Analysis Walkthrough - Step by Step

[@ShawnJiang1125]

Great video! Very inspiring content. I'll have my team working on machine learning and neural networks take a look soon to see if there are more possibilities! Shaun, your updates never disappoint!

[@CryptoWizards]

Shawn! Thanks for the encouragement as always!

[@alexwatkin4263]

solid work

[@CryptoWizards]

Thanks Alex!

[@FreddyMinn]

I've created both Stastical Arbitrage bot and Charts web version Using JavaScript that base on your Udemy courses. To exit I use Average True Range values as Trailing Stop Loss for both positions. Million Thanks for sharing your secrets ❤

[@CryptoWizards]

Nice work Freddy! Also thank you for sharing your insights with the community!!

[@ministryNoiz]

Thanks for your video! Have you researched all trading pairs on some exchange? If so, how many pairs have a transition percentage greater than 60? What is the highest percentage you have seen?

[@CryptoWizards]

I haven't done it for each exchange, but 60% to 70% is not uncommon. My hunch is that as the pairs become more traded, the autocorrelation disappears. What causes it is open for debate!

[@ay5960]

Most assets with good liquidity will have 0 auto-correlation, but the future returns are not independent of past returns. There are correlations between the magnitude of returns (volatility clustering), hence you get auto-regressive models like GARCH to model volatility. Might be helpful for options.

[@CryptoWizards]

💯

[@proo3968]

Amazing stuff mate! Do you think people use it as a feature for ml?

[@CryptoWizards]

Good question. I could see a scenario for using ML to learn from trades of assets that have autocorrelation. Although for analysing a single asset, the use of a state space model for autocorrelation could be better for ML perhaps. Will be covering this later on.

[@NuruddinKhan-w8r]

can i have the Python Code for Data:

[@CryptoWizards]

I just used the CW XTrader App to get the data for this video.

[@CryptoWizards]

Also forgot to mention that you can download the spreadsheet with the link in the comments to get the data

[@alexjacob612]

Sir can you create a funding fee bot pls? Spot /futures arbitrage

[@CryptoWizards]

Sounds like a good project for when the tool upgrades are done.

[@alexjacob612]

@CryptoWizards it's a good strategy but not many people talk about it I don't know why.

[@jon-uk1468]

Great video and it nicely follows on from the last one. How can I combine this algorithm with z score and half life calculations ? And is python now the right language to use as you have mentioned Rust in the past.

[@CryptoWizards]

Indeed, with the spread we actually use something called an ECM, which am building into the upgrades coming to analyse what’s known as the “speed of adjustment”. It’s easy to understand once past the up and coming videos so will cover it later on. For now, we want a spread to be mean reverting and we can analyse similar to autocorrelation through what’s known as an AR process. In terms of programming language, it doesn’t really matter unless doing HFT. I like Rust because it’s very robust and fast, but the learning curve on it is steep. Python has more libraries for statistical analysis already built etc, so faster to deploy ideas. Sometimes I test ideas in Python and then write the final implementation in Rust. Of course ChatGPT speeds this all up now.

[@jon-uk1468]

@@CryptoWizards thanks again for replying. I will study your reply in more detail tomorrow. Are you updating the z score app to provide this additional data in the tables ? This sounds like a more reliable way of finding pairs to trade. This would be a massive help as finding the pairs to trade with reliable data is key here. I'm ok at taking profits but not very good at finding assets to trade.

[@CryptoWizards]

Absolutely, the ZSCORE tool updated coming are extreme. This is one big reason for making these latest videos, to help everyone become aware of what all the new metrics mean. Thanks again for such helpful comments. Will do a YT short to cover programming languages too...

[@jon-uk1468]

@@CryptoWizards Thank you for replying and you are welcome. I am fascinated by the date science and as an ex coder from the good old days , I have a real interest to learn and share my learning too. As a lot of the members on CW discord do. Are you going to add another channel to discord ? I am happy to help mod it foc . Also happy to beta test foc if you need any additional help / resources. I'm on as Jon UK . Either way I'm really looking forward to seeing the next videos and the new z score app 😃

[@CryptoWizards]

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