Probably have better luck writing your own poker-bot.
which a few people have done incredible well with, i might add.
Algorithmic Trading: The Play-at-Home Version
21–30 of 120 posts
Re: Algorithmic Trading: The Play-at-Home Version
#22Earlier quoted context omitted.
This seems like nonsense to me. How many Phd's are awarded every year? Doesnt mean its a random occurrence... I know quite a few independent day traders who do quite well. I think its about who you know-- i.e if you are working in Finance you'll know more day traders.
Have you seen their trade logs?
Just a few of them.
Re: Algorithmic Trading: The Play-at-Home Version
#23How is this new? The first time I setup my own linux server was at my parent's house, so I could write a crawler to collect market data in the hopes of applying some AI technique for market predictions. This was 10 years ago. It's a lot of programmers dream to write a little program that can print money. Afterwards I went and worked on wallstreet, and realized how foolish this was.
Re: Algorithmic Trading: The Play-at-Home Version
#24Here's the problem with trying to create your own trading system. How do you back test it to know that it works. If you back test over the past 5 years then you are only testing your model against a huge bull market. If you back test over the past 20 years then I'm not sure it helps much as the market of 20 years ago didn't really have any of the major market drives of today's markets, HFT's, huge numbers of hedge fu…
One clarification - these mom & pop prop shops aren't necessarily competing against big baskets of MIT PhDs. If your book size is only $200K, the big players (i.e. scores of MIT PhDs) won't even bother competing with you on the same strategies. Alpha from these strategies may very well be orthogonal to hedge fund alpha. That said, you're still playing a zero sum game with other mom & pop shops and the general large-s…
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Re: Algorithmic Trading: The Play-at-Home Version
#25Here's the problem with trying to create your own trading system. How do you back test it to know that it works. If you back test over the past 5 years then you are only testing your model against a huge bull market. If you back test over the past 20 years then I'm not sure it helps much as the market of 20 years ago didn't really have any of the major market drives of today's markets, HFT's, huge numbers of hedge fu…
One clarification - these mom & pop prop shops aren't necessarily competing against big baskets of MIT PhDs. If your book size is only $200K, the big players (i.e. scores of MIT PhDs) won't even bother competing with you on the same strategies. Alpha from these strategies may very well be orthogonal to hedge fund alpha. That said, you're still playing a zero sum game with other mom & pop shops and the general large-s…
Yeah, most people don't realize that finance is a zero-sum game. That leads to arms races which over time remove the lion's share of the profit (companies will spend money on a better solution to a problem until such time as a better solution costs more than the value of the opportunity).
I expect this to replicate itself on the low-end as well.
Re: Algorithmic Trading: The Play-at-Home Version
#26Interesting article but for a different take on a statistical approach to the market, curious if any peeps on HN are into volatility trading?
From what I understand a lot of the "DIY vendors" cater to the equity crowd, meaning people who build their models on technical indicators (MACD, RSI, advancers/decliners ratio, Fibonacci golden ratio retracement, MA); you build your model of some combined signals, back-test it with historical data on some tickers to see if it's promising.
I trade options, specifically selling 1.8-2 sigma calls and puts (with 90%-95% probability of not being in the money) on the major market indices (SPX, RUT, NDX) 45 days out from expirations; so kinda of like an insurance company underwriting policy or a bookie taking bets from both sides.
When the market moves against me (e.g., Grexit), I try to hedge my exposure to that side of the market by buying a longer dated call and put neutralizing the delta of my overall book (kind of like going to the re-insurance market to hedge my book); and also adjust the spread or close it entirely for a loss if risk/reward no longer works out.
But I never trade directional or have any market outlook; and do this systematically and only thing I change is sizing my book depending on how high VIX is (insurance premium/market fear).
This is a well-documented and traded strategy for peeps who follow, say TastyTrade, volatility arbitrage funds or just options in general. Just curious if anyone here also trades this way?
Re: Algorithmic Trading: The Play-at-Home Version
#27Whenever people tell me they're going to go into day trading, I usually say, "How many people do you know who've become wealthy day trading?" They say, "Zero." I also know zero people who got rich doing at-home algorithmic trading. But hey, there are probably some! That's the nature of randomness.
I do know at least one person that day traded for a few years. He didn't get rich, but it was in the very nice salary range. Ultimately quit because it was stressful every morning starting all over. This is also the same reason I only buy undervalued stocks that I hold for years. When I get to the age where I could retire I don't want to have to play the market every morning, I want to do other thing.
Why would playing the market result in higher returns? Why would you think day trading would outperform buying-and-holding? The research all shows the opposite.
Re: Algorithmic Trading: The Play-at-Home Version
#28That's been going on since the late 1970s, when personal computers first became available. It worked back then, because few were doing algorithmic trading at the time. Now, everybody is.
There's new interest in systems which look at external data sources such as news items, rather than just at market data.[1] They have a chance of picking up something before the market reacts. But that's already widely deployed; about 15% of HFT operations were using it by 2013.[2]
[1] http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326414 [2] http://www.automatedtrader.net/online-exclusive/67056/fit-to...
Re: Algorithmic Trading: The Play-at-Home Version
#29Earlier quoted context omitted.
One clarification - these mom & pop prop shops aren't necessarily competing against big baskets of MIT PhDs. If your book size is only $200K, the big players (i.e. scores of MIT PhDs) won't even bother competing with you on the same strategies. Alpha from these strategies may very well be orthogonal to hedge fund alpha. That said, you're still playing a zero sum game with other mom & pop shops and the general large-s…
Yeah, most people don't realize that finance is a zero-sum game. That leads to arms races which over time remove the lion's share of the profit (companies will spend money on a better solution to a problem until such time as a better solution costs more than the value of the opportunity). I expect this to replicate itself on the low-end as well.
The 'zero-sum game' part is meaningless and adds no insight here. It doesn't matter whether you believe trading/gambling is zero-sum or not.
For instance, imagine you have a poker-playing bot at a poker table, where the house takes no cut of the stakes. Zero-sum? Yes. But your bot has to be better than the other players, and win more than its running costs in order to profit. Now imagine the same situation but the house does take a cut. Zero-sum? Not any more. But your bot still has to be better than the other players and its running costs in order to profit. The house 'rake' just increases your operating costs.
I think you are confusing the issue with large scale HFT (where companies pay more and more for slightly faster comms), which is a world away from the trading strategies the article is talking about.
Re: Algorithmic Trading: The Play-at-Home Version
#30Whenever people tell me they're going to go into day trading, I usually say, "How many people do you know who've become wealthy day trading?" They say, "Zero." I also know zero people who got rich doing at-home algorithmic trading. But hey, there are probably some! That's the nature of randomness.
This seems like nonsense to me. How many Phd's are awarded every year? Doesnt mean its a random occurrence... I know quite a few independent day traders who do quite well. I think its about who you know-- i.e if you are working in Finance you'll know more day traders.
Uh, I work in finance. I know zero. And by "do quite well" do you mean outperform an S&P 500 index fund? Or at least perform similarly with lower risk?