Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

Show HN: Quantblocks - Backtest your trading strategies

quantblocks.com

Post reply on HN
Print view View original

71–80 of 87 posts

Re: Show HN: Quantblocks - Backtest your trading strategies

#71

Post by mikecsh »

gns24 wrote: post #51
startuprob wrote: post #5

Earlier quoted context omitted.

We're using Xignite's API right now. It's super-simple to integrate with.

That's useful to know. Is that daily data? Have you found it to be reliable? When I started testing moving-average based strategies, my blog post about it ended up being largely about data issues, from both Google and Yahoo finance: http://grahamstratton.org/straightornamental/entries/movinga... An extreme example was an opening value off by a factor of 100 on one day.

In my experience, even historical or realtime data from Reuters/Bloomberg/CQG can have serious errors such as that - every trading system should be sanity checking its market data!!

Re: Show HN: Quantblocks - Backtest your trading strategies

#72

Post by mikecsh »

mdupenois wrote: post #37
mikecsh wrote: post #34

Couple of observations: 1) The leading x days from the moving averages on the default strategy are charted at 0 when they should be null and not visible on the chart. 2) If I mouse over the 20 day moving average block and change it to a sell block, then click run, my charts disappear into loading bars and I get a warning message up. However, there is no indication to an uninformed user what they've done wrong, why it…

1) Just pushed an update to fix that, thanks for pointing it out. 2) Syntax checking has been a big discussion point for us, we would love to be able to limit people to only valid blocks but also didn't want to have a giant block of validation javascript to deal with the drag and drop on the blocks. As for error messages, you're totally right; they're massively lacking. Difficulty is that we keep changing the way we'…

My app is slightly different and uses a patch panel style of interface rather than linear blocks. Every time the system is changed, the layout is parsed into code and any invalid paths are coloured red to show

a) where the problem originates b) which blocks are affected by the problem

Additionally there is a crude type system that prevents the wrong type of signal being passed to a block - e.g. a buy/sell datatype cannot be passed into a block which expects numerical time series data. I would say that you should prevent users from entering rules which make no sense as far as is possible..

I guess it depends how technical your users are. I'm attempting to stay away from terms such as nil or boolean, so I would go for something like your first example, but with more information, perhaps like:

"I don't know how to follow the rule "if moving_avg > buy" because xyz" which sounds friendly and non-technical but hopefully xyz will help them understand why it doesn't work and learn from their mistake.

Re: Show HN: Quantblocks - Backtest your trading strategies

#73

Post by beagle3 »

arturadib wrote: post #49

It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society. It's bad for the market because collectively, the buying and selling of shares based on anything other than company fundamentals (earnings, cash flow, projected growth, etc) distorts the p…

> It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society.

Whoa. Get off the high horse. I don't disagree with you, but the problem is not with "the folks who keep pushing stuff to the public".

It's no different than a lottery, a casino, or selling cigarettes -- or for that matter, sugared drinks or unhealthy french fries.

Many activities are self-harming and potentially society harming. Usually, as a "free" society, we find the self harm acceptable, and the society harm acceptable to a point (based on magnitude of effect to entire society), mostly because experimentation IS required.

I read your post as equivalent to "I hope people who make and sell cigarettes would stop, because it's not good for anyone other than themselves". Which I agree with, but it's a useless rant.

The only way to fight this is regulatory. However, thanks to regulatory capture, a significant revision will happen, if at all, only after the next huge crisis.

Re: Show HN: Quantblocks - Backtest your trading strategies

#74

Post by etrain »

The signup/confirm/login metaphor is really tired and annoying. Don't give me two screens of meaningless text, show me what your product does and let me interact with it before making me sign up. For example, open the strategy builder window up to anyone, but make me sign up before I can save my strategies.

On the product itself - security specific rules are fine but you're missing the point of backtesting and automated trading. The ability to spot patterns across any security (or perhaps in an industry) is the key here. I wish there were some way to specify this. I realize it's v1, but your rules are too simple for most traders.

Finally - you should call out that your market data is EOD. You should also offer VWAP (I know Xignite offers it) as a reasonable alternative for prices you "could have gotten" as a retail investor.

Also, the IP thing scares me, and I wouldn't use the service until you change it.

Re: Show HN: Quantblocks - Backtest your trading strategies

#75

Post by dunster »

If you find Quantblocks interesting, you should also look at Quantopian. (www.quantopian.com)

We're geared a bit more towards programmers. Rather than use blocks, our members develop their algorithms in Python. We have an in-browser IDE with a lot of smart auto-completion.

A few of our nifty features: * free access to 10 years of by-minute historical data for all US stocks * the writer of the algorithm owns the algorithm * batteries included - all of your favorite Python math and science packages including Pandas and NumPy * a robust backtester that models slippage, commissions, risk metrics, and more

We also have a community of quants and programmers who like talking about this kind of stuff. People share code, give advice, ask questions, etc.

Full disclosure: I work for Quantopian!

Happy hacking,

Dan Dunn

Re: Show HN: Quantblocks - Backtest your trading strategies

#76

Post by theorique »

adg001 wrote: post #54
theorique wrote: post #42

Earlier quoted context omitted.

Past performance may not be a guarantee of future performance, but it's all we've got to work with.

Actually, this is not accurate. Before relying on our models, we get also the opportunity to validate them by checking at what extent they successfully predicts future data points. Simply for the next t-time periods let the model give the user an estimate of the future prices/rates, together with an estimate of how accurate the model expects these predictions to be. This would allow the user to build confidence in th…

I mean it in the naive sense - we can observe the past but not the future. It definitely makes sense to paper trade a strategy and see its predictiveness in real time.

Re: Show HN: Quantblocks - Backtest your trading strategies

#77

Post by prsutherland »

arturadib wrote: post #49

It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society. It's bad for the market because collectively, the buying and selling of shares based on anything other than company fundamentals (earnings, cash flow, projected growth, etc) distorts the p…

Pushing technical trading platforms to the public? I don't follow how there is an overgeneralized public here, or how they are pushing something. They are releasing a tool to those who want to use it.

What companies like this do makes the RESEARCH for quant trading available to those who otherwise wouldn't have access. The organizations and people with the means to buy or build their own tools to do this were already doing it. Whether or not they are doing something that benefits the greater good is neither here nor there.

Saying those tools shouldn't be available to the general public is analogous to the old gun ownership argument. If guns are outlawed, only the outlaws will have guns. If only a limited few have the means to do quant research, it puts those who don't have access to those tools at a dangerous disadvantage.

Yes, there are risks to any sort of paradigm shift, but limiting the accessibility will hurt those who don't have access. If you (being someone who doesn't have the means) are unable to adapt to the changes, then you perish.

Re: Show HN: Quantblocks - Backtest your trading strategies

#78

Post by jnewell »

dunster wrote: post #75

If you find Quantblocks interesting, you should also look at Quantopian. (www.quantopian.com) We're geared a bit more towards programmers. Rather than use blocks, our members develop their algorithms in Python. We have an in-browser IDE with a lot of smart auto-completion. A few of our nifty features: * free access to 10 years of by-minute historical data for all US stocks * the writer of the algorithm owns the algor…

Great work Dan, it is totally what I would be looking for when backtesting and strategy development. Do you mind sharing what js framework you used on the client side?

Re: Show HN: Quantblocks - Backtest your trading strategies

#80

Post by kevinpet »

arturadib wrote: post #49

It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society. It's bad for the market because collectively, the buying and selling of shares based on anything other than company fundamentals (earnings, cash flow, projected growth, etc) distorts the p…

I doubt you or I are actually qualified to comment on whether the net externalities of HFT are positive or negative. You are incorrect that there are no positive externalities. You might not care about your trades happening quickly, but that liquidity is what allows them to execute at a good price and also a part of what makes indexing possible.

I totally agree on the wisdom of unsophisticated investors who think they can back test some "strategy" based on trends and support levels and so on and then actually go and make money. It's unlikely to work, they probably have no understanding of what their actual risks are (I'm talking probabilities, not just value at risk at any given time), and they are losing money on trading fees unless they can actually point to some competitive advantage they have over other traders.

Post reply on HN