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Python For Finance: Algorithmic Trading

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Re: Python For Finance: Algorithmic Trading

#81

Post by milcron »

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…

An economist and a normal person are walking down the street together. The normal person says “Hey, look, there’s a $20 bill on the sidewalk!” The economist replies by saying “That’s impossible- if it were really a $20 bill, it would have been picked up by now.”

Re: Python For Finance: Algorithmic Trading

#82

Post by SirLJ »

dsacco wrote: post #76
SirLJ wrote: post #69

Earlier quoted context omitted.

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…

My goal is to show people how start to think for themselves and hopefully create lifestyle business around trading or invest for themselves instead of using "buy and hope strategy" and how to do it without losing a single penny while learning and to show them the barrier for entry is pretty low... But you are right, why bother when every time I gave an idea, the day traders with the thousands of dollars data feeds are all over my posts... no good deed goes unpunished here at HN I guess :-(

Re: Python For Finance: Algorithmic Trading

#83

Post by dsacco »

wtvanhest wrote: post #79
dsacco wrote: post #50

Earlier quoted context omitted.

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.

I feel like we're talking past each other. I'm talking about a role where you develop strategies as either a researcher or a trader. Higher up the chain, sure, I can admit there's a utility to the CFA.

Re: Python For Finance: Algorithmic Trading

#84

Post by wtvanhest »

dsacco wrote: post #83
wtvanhest wrote: post #79

Earlier quoted context omitted.

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.

I feel like we're talking past each other. I'm talking about a role where you develop strategies as either a researcher or a trader. Higher up the chain, sure, I can admit there's a utility to the CFA.

I think the main issue is that you need a solid grasp of the qualitative side of finance to build working quant models. Pms are responsible for quant model construction and they all get cfas because that is base level finance understanding.

Re: Python For Finance: Algorithmic Trading

#86

Post by gnaritas »

SirLJ wrote: post #82
dsacco wrote: post #76

Earlier quoted context omitted.

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…

My goal is to show people how start to think for themselves and hopefully create lifestyle business around trading or invest for themselves instead of using "buy and hope strategy" and how to do it without losing a single penny while learning and to show them the barrier for entry is pretty low... But you are right, why bother when every time I gave an idea, the day traders with the thousands of dollars data feeds ar…

Shitting on other people products with vague and inaccurate criticisms isn't a good deed, it's just bad form. People don't need you to "show them how to think for themselves." The other guy is right, either make a sound and specific criticism or don't say anything. You did exactly what he said, you made a bad argument which he refuted, then you moved the goal post so as not to appear wrong, while still leaving out the necessary detail to disprove your new vague claim, rather than admitting your mistake and making a better argument that included specifics about what is missing.

Re: Python For Finance: Algorithmic Trading

#87

Post by gnaritas »

tejaswiy wrote: post #27

On a side note, the market continues to do well and I've been noticing this trend of active-trading, real-estate investing gurus crawl out of the wood work selling services. Please do not try to trade actively unless that's your full-time job. Passive investing using index funds is definitely not sexy, but it gets the job done.

> Passive investing using index funds is definitely not sexy, but it gets the job done.

Only if you have a significant amount of capital to play with. People looking into active trading are doing it because they don't have the necessary capital to make passive investing meaningful; they're looking for much much larger returns that you can get from an index fund, which necessarily comes with more risk. Traders are gamblers.

Re: Python For Finance: Algorithmic Trading

#88

Post by gnaritas »

dsacco wrote: post #42
nickthemagicman wrote: post #25

How is algorithmic trading not equivalent to astrology? Nothing can be predicted because there's way too many confounding factors.

I have a mean reversion strategy based on the comparing the results of several types of sentiment analysis in real time. It earns between 3 - 15% in options trading every few days with a win rate of around 70% and an average holding time of a few hours. Stop losses are at -70% or so. Algorithmic trading is very difficult, but it is empirical. Information asymmetry exists in the market, and if you can capture it you p…

> Stop losses are at -70% or so.

Am I reading that right, you lose one trade you lose 70% of your capital? Sounds like a very very dangerous strategy with a near 100% certainty of blowing up the account. The optimal trade size for equity growth (which is itself hugely risky) is vastly smaller than that.

Re: Python For Finance: Algorithmic Trading

#89

Post by jlg23 »

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…

You are oversimplifying and overcomplicating at the same time. If it was an easy/obvious zero-sum game, we'd not have people going into finance at all.

MIT does not teach "HFT", those "MIT PHD Quants" are just as untrained in finance as you are. The rest is math, something that requires time to study but not necessarily a certificate. And creativity. I've only seen a single HFT-algo that made me say "wow, that's creative"; all others were just straight implementations of finance "wisdom".

Re: Python For Finance: Algorithmic Trading

#90

Post by gnaritas »

PaulRobinson wrote: post #39
nickthemagicman wrote: post #25

How is algorithmic trading not equivalent to astrology? Nothing can be predicted because there's way too many confounding factors.

Algo trading typically utilises technical analysis which is basically patterns proven to repeat in markets for a variety of fundamental reasons, or fundamental analysis (e.g. algorithmically valuing and pricing options based on underlying fundamental data, sentiment analysis, etc.), and buying/shorting as appropriate. It is based on scientific methods: empirical evidence being used to validate hypothesis that produce…

> technical analysis which is basically patterns proven to repeat in markets for a variety of fundamental reasons

Technical analysis is merely another name for hindsight bias. Those patterns only look like they repeat in hindsight because you're ignoring all the failed patterns that setup right but failed to play out and thus don't look like the pattern in hindsight.

Technical analysis is exactly like astrology and is in no way grounded in science. Quantitative analysis is based in the scientific process, technical analysis is superstition created by visual traders who think they see patterns but fail to understand biases. You are confusing the two, technical analysis is a pattern library of nonsense like "head and shoulders" or "dead cat bounce" based purely on visual patterns in price data that only "appear" to repeat due to hindsight bias. It is in no way remotely scientific.

I've spend thousands of hours testing trading patterns in Forex, they're all nonsense that lose as much as they win over any decent sample size which equates to random.

Edit: to the guy below, You should ask for sources that back up the claims that it does work. You won't find any, it's trader superstition, not science. You don't have to prove things don't work; you have to prove they do. At least if you want to call it based in science. However, the field of quantitative analysis itself is proof technical analysis doesn't work; it's what happened with people who actually knew math got into trading and discovered the technical analysis superstition that visual traders who lack math skills made up.

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