5.40 Model Release Notes: Improved Risk Management

Release 5.40 of our machine learning trading is in the process of being released.

– BTC-USD: Mechanics and model have already been upgraded.
– USD-BTC: Mechanics and model have already been upgraded.
– ETH-USD: Mechanics have been upgraded.
– BCH-USD: Upgrade will take place within 24 hours.

Mechanics changes

In order to better manage risk and capture profit, the following changes have been released as part of 5.40:

– Cool Down Improvement: This improvement helps avoid rapidly issuing a new trade after a previous trade closed. The goal is to avoid whipsaws and this is a general best practice in trading.

Previously, if our models issued a loss, they would avoid issuing a new trade until a certain “Cool Down” period elapsed. Now, this “Cool Down” occurs after both a gain and a loss. The duration of this period is determined by our machine learning optimizers.

– Slide Improvement: This improvement helps avoid keeping trades open during stagnating or fading markets. This also creates a “time limit” for a trade to build positive momentum and follows the “triple barrier exit” approach to trading.

Previously, once a position was opened, if the trade went negative and remained negative for a certain period of time, the trade would close, even if it did not hit the stop point. Now, any time price begins fading (even if the trade is positive), the trade will increment toward expiration and closure. This is calculated based on the number of periods price has faded and the current neural network prediction value. Once these combined values exceed a threshold determined by our machine learning optimizers, the trade will close.

– Profit Target Improvement: This improvement increases the likelihood of closing out trades for a positive return. It is designed to avoid getting into a trade that initially moves positive, then later drops negative before the trade is closed.

Profit targets were previously allowed to increase over the life of the trade. Now, the goal of the trade is established once the trade is opened. If that original goal is hit, the profit will be captured. After the appropriate “Cool Down” period, a new trade can be opened if the neural network prediction is still sufficiently positive.

– Improved Risk/Reward Management: This improvement attempts to further shift the risk/reward ratio of any trade in the favor of the trader.

Previously, certain trades could be opened even if the reward potential was lower than the risk potential (based on the predictions). This now has new controls so that only trades with a sufficient risk/reward ratio will result in an open. The “sufficient” level is established by our machine learning optimizers.

– Minor bug fixes: Additional minor fixed have also been deployed for USD-BTC, which is on target to exit beta by the end of July.

Model upgrades

The neural network model for USD-BTC and BTC-USD was also updated along with the 5.40 release. The recent market performance is factored in and provides for higher accuracy across a wide variety of tested market conditions.

The neural networks are continuously trained and may be updated at any point.

Questions

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