Math.random might do quite well?
Algorithmic Trading: The Play-at-Home Version
61–70 of 120 posts
Re: Algorithmic Trading: The Play-at-Home Version
#62I once used a Bitcoin trading bot with some luck- called 'Butter-Bot'. It had the ability to amplify gains vs. holding during the times of the upward market. Did quite well- it paid for itself in a month IIRC. Then the market started going sideways & its limitations began to show. It doesn't work at all anymore. I think the devs went out of business after pouring all their resources into a newer version which had bet…
Some googling came up with this reddit thread [1] and a quote:
> It's a simple EMA crossover bot, don't buy this stuff. There's a chrome plugin that does the same for free.
Rhetorical questions to the comments:
What chrome plugin? Have you used it? Is it better/worse than Butter-bot?
Even other people in the reddit thread question why people aren't mentioning the name of the open source project - what is this fight club rules?
[1] https://www.reddit.com/r/BitcoinMarkets/comments/1nc12p/has_...
Re: Algorithmic Trading: The Play-at-Home Version
#63Algorithmic trading from home isn't new at all, it has been around for a while. You can even buy backtesting and live trading software with a DSL that makes it easier to do, e.g. Tradestation or Ninjatrader or as was mentioned, InteractiveBroker provides solutions.
For the most part, people doing this are not on the scale of people doing HFT. The net latency from home to market is much higher and the software lower performance but I do know some people that have done it successfully. Their bots trade anywhere from maybe dozens of times per day to once or twice per week. It is a difficult business though.
Re: Algorithmic Trading: The Play-at-Home Version
#64Algorithmic trading from home isn't new at all, it has been around for a while. You can even buy backtesting and live trading software with a DSL that makes it easier to do, e.g. Tradestation or Ninjatrader or as was mentioned, InteractiveBroker provides solutions. For the most part, people doing this are not on the scale of people doing HFT. The net latency from home to market is much higher and the software lower p…
The primary activity of HFT and algorithmic traders is fundamentally different. Whereas algos are trying to "beat the market", that is find alpha, HFT is trying to "beat the market makers". They trade dozens of times every second to find the liquidity distribution and arb the flows, not take advantage of technically or fundamentally driven moves.
Needless to say HFT requires several orders of magnitude more resources than a hobbyist algo trader, though there are also giant algos in hedge funds.
Re: Algorithmic Trading: The Play-at-Home Version
#65Here'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…
> So if you are writing your own trading models you should start by answering the question of what's your alpha when compared to everyone else....
This has been true of markets since well before computers got involved. When thousands of atomic participants are involved, what's your edge? The truth though is that participants "cluster" and "herd", and algos do too. Witness the correlation between all the algo hedge funds. Markets are prone to group psychology. Savvy, often contrarian-minded (or at the least "independent" minded) individuals always did, and still do, have a chance, and that includes algorithmic originality.
Re: Algorithmic Trading: The Play-at-Home Version
#66If your starting stake is $10K (as in the story), you're wildly better off taking any job, even programming on elance/odesk than working on algorithmic trading...
Yeah, that seemed bizarre to me. You'd need to have a huge edge (extremely unlikely) to make money after fees with only $10k. Plus you're very limited in what you can actually trade with that little capital. For example, many options contracts trade for more than $10k.
Re: Algorithmic Trading: The Play-at-Home Version
#67How 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.
If you learn something while writing it, and it sits and earns a little bit of money without much work, then it's not really foolish. I bet you learned more doing that project, things that probably helped get you that Wall Street job, than you seem to estimate now.
Re: Algorithmic Trading: The Play-at-Home Version
#68Interesting 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…
I do something similar trading volatility, using mean reversion/contango to make directional options plays. After a spike like Grexit volatility tends to return to its historical mean.
Re: Algorithmic Trading: The Play-at-Home Version
#69Earlier 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.
That's why the winning move is not to bet your own money, but instead to convince some whales to pay you fees to invest their money. From that perspective good algos are really just a marketing cost.
Re: Algorithmic Trading: The Play-at-Home Version
#70I've always been confused why so much of algorithmic trading centers on technical indicators. What about fundamentals? Wouldn't it be easier to cobble together a system that checks for healthy companies that are low in their PEG ratio historical range, and then buy-and-hold? There are super-boring companies with reliable earnings history out there, with stock prices that go up and down throughout the year. So you'd be trading a few times a month, not many times a day (or minute).
Then there are the simple algorithms like 'Just buy index funds', although I haven't found a good resource on how to sector-balance various index funds. Simplest I guess would be 'Just buy VFINX' but that can be volatile and scary sometimes.