Michael Ward Undergraduate Departmental Honors Computer Science Dept., Utah State University

Introduction Crossover Website

Algorithmic trading is a system The Moving Average Crossover test trades a single currency. It The research is published on of trading where buy and sell attempts to predict when the currency’s price will rise and when http://capstone.mikethebro.com signals are automatically the price will fall. The algorithm will buy whenever a rise in price The user can enter parameters generated by mathematical is predicted and sell whenever a fall in price is predicted. such as moving average models. distance and starting cash. They can also select a strategy and Algorithms choose any of the top five cryptocurrencies. The three algorithms used in The server uses a Python this project are moving backend with the Tornado average crossover, mean server framework. Front-end reversion, and pairs trading. graphs are displayed using the Plotly library for JavaScript. Data Data was collected every five Future Research minutes for the top one hundred This graph is an example of using a 1.5-day moving average on cryptocurrencies between the cryptocurrency Litecoin. The blue line represents buying and Further research will be October 5, 2017 and January conducted on taking more holding and the orange represents the algorithm. The algorithm 24, 2018. The data was strategies used for trading avoids many of the drops in the currency’s price in the right collected with a Python script and testing them in the section of the graph. calling coinmarketcap.com’s API cryptocurrency market. on a Raspberry Pi. Pairs Trading Modifications will also be tried on these strategies. Trading Fees The Pairs trades two currencies back and forth. Additionally, pairs trading The algorithm attempts to predict when one currency’s price will strategies will be tried with 1.Broker Fees rise and the other’s price will fall. It then sells the falling currency different pairs that are more These are the fees that the and buys the rising currency. likely to have . This broker charges to exchange your may include matching cryptocurrency. This project used and cryptocurrencies together Kraken’s trading fees of 0.16% to find usable pairs. when selling and 0.26% when buying. Sources 2. Network Fees 1. van Zwanenburg, Jorn. This is the fee charged by the “Cryptocurrency Transaction Fees: A Beginner's Guide.” Invest In currency’s miners to to perform Blockchain, 6 Nov. 2017, the transaction. www.investinblockchain.com/cryptocur rency-transaction-fees-for-beginners/ 3. Wallet Fees This strategy is useful in the and for commodity 2. Deutsche Bank. “Mean Reversion II: trading, where cointegration is found between prices. However, Pairs Trading Strategies.” RavenPack, Wallets are used to safely www.ravenpack.com/research/mean- store cryptocurrency on a user’s cryptocurrency prices all follow a similar trend. Most reversion-pairs-trading-strategy/ computer. Wallet fees vary by cryptocurrencies follow Bitcoin’s price: their prices are rising when 3. Murphy, Casey. “Moving Averages: wallet. Since some charge no Bitcoin’s price is rising and their prices are falling when Bitcoin’s Strategies.” Investopedia, 2 Apr. 2018, www.investopedia.com/university/movi fees, they are ignored in this price is falling. Since most of them follow a similar trend, this pairs ngaverage/movingaverages4.asp project. trading strategy did not prove useful for cryptocurrency.