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Python For Finance: Algorithmic Trading

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Re: Python For Finance: Algorithmic Trading

#71

Post by dsacco »

SirLJ wrote: post #66
dsacco wrote: post #40

Earlier quoted context omitted.

This commenter comes into every single thread about trading and talks about buying data from ebay, then consistently demonstrates that he doesn't know the first thing about due diligence on financial data. Each time I try to ask him about his data quality or methodology at even a high level, he responds by accusing me of wanting to steal his work or stop the democratization of data. I'm going to reiterate this right…

Unless you are day trading you don't need such a granular data format, so please stop saying you need to spend thousands and thousands of dollars to be able to back test a trading strategy

If your data doesn't need to operate on an intraday scale, you can get perfectly accurate real time or historical data for free just by using a reputable broker like Interactive Brokers. At that point there's no need to buy the data on ebay, so I still don't understand why you ever would.

Re: Python For Finance: Algorithmic Trading

#72

Post by SirLJ »

dsacco wrote: post #71
SirLJ wrote: post #66

Earlier quoted context omitted.

Unless you are day trading you don't need such a granular data format, so please stop saying you need to spend thousands and thousands of dollars to be able to back test a trading strategy

If your data doesn't need to operate on an intraday scale, you can get perfectly accurate real time or historical data for free just by using a reputable broker like Interactive Brokers. At that point there's no need to buy the data on ebay, so I still don't understand why you ever would.

Actually I have checked IB API and it is very restrictive, e.g. you cannot request let say all daily data for all symbols for 2007 for example or even for one day for that matter...

Re: Python For Finance: Algorithmic Trading

#73

Post by evanpw »

SirLJ wrote: post #69
dsacco wrote: post #65

Earlier quoted context omitted.

> everyone can see I am right by trying to request the data, nothing false about that... Oh, they can? Well that's funny, because I just went onto Quantopian and checked for myself. http://imgur.com/a/VwMUJ http://imgur.com/a/VV68C Gee, would you look at that...they are there. This took me all of five minutes. Do you have anything else I can easily disprove while I'm at it?

The problem is the data is missing for specific dates... I just can imagine what else is missing or it is wrong...

What dates do you see missing data for?

Re: Python For Finance: Algorithmic Trading

#74

Post by Veratyr »

jaredbroad wrote: post #30
rl3 wrote: post #28

Earlier quoted context omitted.

QuantConnect also offers tick-level data, though not full resolution if memory serves. Still way ahead of Quantopian in any case.

Futures have millisecond timestamps (trades/quotes), equity trade ticks are rounded to the nearest second, cfd/forex are millisecond quote bars. For options we have minute resolution data =)

Worth noting though that Options data is super hard to get running on QuantConnect due to the memory limits and lack of index options.

Re: Python For Finance: Algorithmic Trading

#75

Post by tryitnow »

yonkshi wrote: post #58
lowpro wrote: post #45

The main issue I found in algo and financial aspects of programming is that the market is a zero sum game, and my intro knowledge of finance and algorithms, even when I know python, are no match for MIT PHD Quants who does it full time. There's no real way to compete with that, and therefore I would lose money, even if the data showed it might be successful in the future, firms and full time workers on algo trading w…

Even if it's a zero sum game (which it's not), most participants are not quant/algo based. As long as you can beat 50% percentile, you can make a profit. Sure you may not be as profitable as top quant companies, but do you really mind that much?

Why on earth do you think the top quant companies will leave alpha on the table for you to snatch up?

That sounds too much like wishful thinking to me. Furthermore, if someone is really smart enough to beat the market consistently why on earth would they trade just on their own personal account? Work for a hedge fund and use other people's money to leverage your bets.

Re: Python For Finance: Algorithmic Trading

#76

Post by dsacco »

SirLJ wrote: post #69
dsacco wrote: post #65

Earlier quoted context omitted.

> everyone can see I am right by trying to request the data, nothing false about that... Oh, they can? Well that's funny, because I just went onto Quantopian and checked for myself. http://imgur.com/a/VwMUJ http://imgur.com/a/VV68C Gee, would you look at that...they are there. This took me all of five minutes. Do you have anything else I can easily disprove while I'm at it?

The problem is the data is missing for specific dates... I just can imagine what else is missing or it is wrong...

This is really trying my patience. You made a clearly incorrect claim without mentioning specific dates and challenged me to disprove it. When I did disprove the claim, you shifted the goalposts with this backpedaling remark about how only specific dates are missing. You continue to make these claims and put the burden of proof on everyone else because you can't be bothered to defend them when you're challenged.

I'm not searching for a needle in a haystack for you. Make a falsifiable claim, and make the entire claim, with the specific dates you're talking about, or stop this astroturfing against Quantopian and QuantConnect that you're doing.

Re: Python For Finance: Algorithmic Trading

#77

Post by hendzen »

If you want to build a real algorithmic trading strategy.. please pick up a real textbook such as Qian's Quantitative Equity Portfolio Management.

You should understand the following concepts at a minimum:

- Markowitz portfolio optimization (mean-variance analysis)

- Beta-neutral portfolios (i.e. using MSCI BARRA, sector ETFs or PCA factors, etc)

- Alpha decay

- Time series analysis (autocorrelation, GARCH, ARMA processes)

- Basic price-based signals (momentum, volatility, value, etc) - etc, etc.

Re: Python For Finance: Algorithmic Trading

#78

Post by jacobr1 »

etep wrote: post #64
vageli wrote: post #61

Earlier quoted context omitted.

> Obviously some teams must be winning consistently, which implies that some are losing consistently. That does not necessarily follow; markets are not static and players are free to enter and leave.

People like to say the market is a zero sum game, but I have always been suspicious of this truism. Its fair to say that participants can leave the market, but in practice that isn't what we see. In practice there are firms doing this trading, and they are staying in business, and obviously making money. Are they fleecing the little guy then? This explanation falls flat for me, i.e. for the amount of money they seem…

The missing puzzle piece here are dividends. Sure some people buy high and sell low and thus take a loss. But the market as whole can increase in value due to the external growth and profit.

Re: Python For Finance: Algorithmic Trading

#79

Post by wtvanhest »

dsacco wrote: post #50
wtvanhest wrote: post #41

Earlier quoted context omitted.

That is your opinion, but if you look at the resumes of scientific active equity fund managers and quants, they all have it. Just understanding the quantitative side leads to vast underperformance over the course of market cycles...

What resumes? Can you show me these vast numbers of resumes with CFAs? Are you talking about fund managers or quants? If your goal is develop quantitative trading strategies, you shouldn't be getting a CFA because it's superfluous. http://news.efinancialcareers.com/us-en/150266/why-the-cfa-w... On another note, even if what you were saying were true (and it isn't), it wouldn't demonstrate that it's useful to have the…

Linkedin. Go there, search for scientific active equity (that is what a professional quant manager is called).

Sort by who manages real money and who doesnt. Anyone managing $1bn or more all has it. That is not very much money to manage.

Re: Python For Finance: Algorithmic Trading

#80

Post by dsacco »

tryitnow wrote: post #75
yonkshi wrote: post #58

Earlier quoted context omitted.

Even if it's a zero sum game (which it's not), most participants are not quant/algo based. As long as you can beat 50% percentile, you can make a profit. Sure you may not be as profitable as top quant companies, but do you really mind that much?

Why on earth do you think the top quant companies will leave alpha on the table for you to snatch up? That sounds too much like wishful thinking to me. Furthermore, if someone is really smart enough to beat the market consistently why on earth would they trade just on their own personal account? Work for a hedge fund and use other people's money to leverage your bets.

> Furthermore, if someone is really smart enough to beat the market consistently why on earth would they trade just on their own personal account?

Alternatively, if you have a strategy that empirically works, and a strategy for identifying such strategies, why take on investors to share the risk? You can scale up your own investment and leverage yourself with less regulatory oversight.

Why on earth do you think the top quant companies will leave alpha on the table for you to snatch up?

It's not so much that they leave alpha on the table, rather that there is so much alpha available, and the capacity constraints and reward profiles are so different for many of them, that individuals can prosper outside of a firm. They just normally don't, because they lack the same training (and because it's very competitive).

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