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Introduction to Zipline: A Trading Library for Python

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Re: Introduction to Zipline: A Trading Library for Python

#71

Post by Sukotto »

chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

This has been on my mind recently as someone who was in the front office for a few years (but not making trades) but is now on the outside.

    I mean each day 100's of Phd's start with clean market
    data, more data sources than you could possibly think of
    and statistical back testing systems that have 1000's of
    man hours put into them, trying to find a way to make money.
It seems to me that the Tiger Rule applies here. You don't have to outrun the tiger, you just have to outrun your buddy.

Is the choice really that one can be in the cohort you mention, or you can buy an index fund (or whatever the equivalent is in the market you're interested in)... and that's it?[1] Is the market so efficient that there is no middle ground where a smart and methodical person can make more money than the index plodders without being obliterated by the big players?

That seems really unlikely to me.

[1] (I don't think that's what you are saying... but you've given me a chance to try and express something I've been thinking about. Thank you for that)

Re: Introduction to Zipline: A Trading Library for Python

#72

Post by hiou »

smnscu wrote: post #52
chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

Random idea, but what if you could combine market data with news articles, and (obviously only for the past few years) data from blogs/reddit/hn/twitter/etc.? Sometimes there is fascinating insight to be learned in obscure places on the Internet (hn itself being a great example); I imagine a system that would collect and analyze that kind of information would be quite interesting, despite the huge amount of noise. Su…

You would probably have as much luck correlating features like whether your neighbors kid was at the bus stop or had to run to catch it each day and the amount of times your neighbor complained about someone not cleaning up their dog's poop that week. Bullshit random edge case features don't get any better or worse if they come from the internet.

In regular trading(algorithmic or not) you really need some non-trivial insight that for some reason no one else will have.

Re: Introduction to Zipline: A Trading Library for Python

#73

Post by seagreen »

blobbers wrote: post #45
lpage wrote: post #26

Earlier quoted context omitted.

I mostly agree with this. Treating markets as an exercise purely in data science is a _bad idea_. Risking money without a solid understanding of market mechanics and trading conventions is a recipe for disaster. Taking a Bayesian view won't save you either - this is a land where some new "six sigma" event happens every six months. That said, the same logic that holds for identifying profitable strategies within an in…

I'm curious what folk's thoughts are on these two platforms: Interactive brokers offers low fee access to their platform ( https://www.interactivebrokers.com/en/index.php?f=13869 ) Quantopian (www.quantopian.com) gives you the ability to trade through robinhood with long trades at 0 commission. There has been some skepticism in the Q forums on how well robinhood's execution is (possibly the effect of a "you get what…

My thoughts are that if you use either platform for anything other than entertainment you're a fool.

Seriously, here's your competition: https://en.wikipedia.org/wiki/Renaissance_Technologies How deluded do you have to be to think you have an edge over that?

Re: Introduction to Zipline: A Trading Library for Python

#74

Post by cponeill »

lootsauce wrote: post #55

For the past year I have been trying to learn more about trading, risk management, etc. There are so many stories about how the markets work and how to make money in them. You could spend your lifetime throwing money down a hole trying each one and probably do worse than random. I can't say enough good things about the perspective I have gained from just listening to good interviews of people that trade and manage fu…

Have you read Market Wizards by Jack Schwager? Fantastic book and it really goes deep with how these traders think about approaching and exiting a trade/market.

Re: Introduction to Zipline: A Trading Library for Python

#75

Post by phyalow »

nether wrote: post #53
unknown_apostle wrote: post #19

Everybody's trading nowadays. How about just investing :-) I.e. focus on periods longer than a year, which so few people/professional market participants do. And on actual businesses instead of the crazy antics of a line. I wonder if you could use something like Zipline/Quantopian to screen huge amounts of consolidated balance sheets for markers of undervaluation. You could reject 1000s of companies and focus your “m…

How about no. You're entering a field where professionals working full time struggle to beat the market, what's saying that you, a folder of 10-k's, and a copy of Ben Graham are going to beat them? You could probably spend a lifetime studying investing and still come up short, because you don't have the resources or mentoring that the pros have.

Wrong that's all you need. In fact according to Peter Lynch you have a better chance of alpha as you dont have to deal with all the bs a PM at a big fund has too.

Re: Introduction to Zipline: A Trading Library for Python

#76

Post by joeyspn »

chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

> I mean each day 100's of Phd's...

Yes, but then... "Finance novice beats hedge fund pros, winning $100k in Quantopian trading contest"

https://pando.com/2015/03/05/finance-novice-beats-hedge-fund...

Thousands of brilliant people are out there undiscovered and I think quantopian does a great job leveling the playing field.

Re: Introduction to Zipline: A Trading Library for Python

#77

Post by sseveran »

cloudjacker wrote: post #69
sseveran wrote: post #63

Earlier quoted context omitted.

CDS and debt are not really inefficient markets. Some bonds are less liquid than others but there is currently a rapid conversion to electronic trading going on. CDS is also a very mature market. Not saying that those markets don't contain signal but they are not very inefficient.

You're right, I would primarily like to see them more liquid so that there were more data points to extrapolate moves across different asset classes

What you really want is more transparent data. There are plenty of data points but they are not easily accessible.

Re: Introduction to Zipline: A Trading Library for Python

#78

Post by unknown_apostle »

nether wrote: post #53
unknown_apostle wrote: post #19

Everybody's trading nowadays. How about just investing :-) I.e. focus on periods longer than a year, which so few people/professional market participants do. And on actual businesses instead of the crazy antics of a line. I wonder if you could use something like Zipline/Quantopian to screen huge amounts of consolidated balance sheets for markers of undervaluation. You could reject 1000s of companies and focus your “m…

How about no. You're entering a field where professionals working full time struggle to beat the market, what's saying that you, a folder of 10-k's, and a copy of Ben Graham are going to beat them? You could probably spend a lifetime studying investing and still come up short, because you don't have the resources or mentoring that the pros have.

Well definitely a valid response. But it still seems like a bigger problem to beat professional traders using Zipline, than to spend time looking out for a good company that is being sold for a price that I really like.

In the latter case, investing and looking for value, it seems to me like an amateur can even give himself a little edge over the pros.

First, it's a worse fate for most professional money managers to miss out on some bull market, than to go down together with all his colleagues.

Second, amateurs working with their own money are not evaluated every quarter or even every year. They can just wait and keep looking if unsure. There are no mandates or arbitrary limitations, so the amateurs are free to look for value wherever they can find it. They can look in places that would require more patience, or that have a bit less liquidity or some more volatility (because they will typically have less money to move in/out the stock).

Of course, the pro will definitely have benefits in terms of legislation, taxes and lowering the costs of research vis. the amount of money being invested.

But in the end: does the extra information and non-GAAP stuff that the pros use, help so much over common sense and a decent understanding of accounting? (That's a genuine question, not a statement.) In fact, does succesful investing even involve outsmarting everyone else in the same way that trading does?

Re: Introduction to Zipline: A Trading Library for Python

#79

Post by dragonwriter »

joeyspn wrote: post #76
chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

> I mean each day 100's of Phd's... Yes, but then... "Finance novice beats hedge fund pros, winning $100k in Quantopian trading contest" https://pando.com/2015/03/05/finance-novice-beats-hedge-fund... Thousands of brilliant people are out there undiscovered and I think quantopian does a great job leveling the playing field.

Novices sometimes beating pros is something you'd expect to be true the more performance was due to luck rather than strategy.

If it was strongly strategy-dependent, best-information would win predictably and consistently.

Re: Introduction to Zipline: A Trading Library for Python

#80

Post by unknown_apostle »

rmah wrote: post #24
unknown_apostle wrote: post #21

Earlier quoted context omitted.

Actually, does anyone know where an amateur could buy/download quarterly balance sheets/income statements for the broad stock market universe?

All US public company quarterly financial reports (and much more) are available in raw form at the SEC EDGAR site ( https://www.sec.gov/edgar/searchedgar/companysearch.html ). Those reports income statements, balance sheets, etc. But beware that companies will often file corrections later. In addition, nearly all finance sites provide summaries of these reports for at least the last few quarters and last few annual r…

Thanks, quandl looks interesting. API and what not. Getting a few fundamental datasets probably costs less than subscribing to a couple of investment newsletters.
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