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Ask HN: Anyone making money through algorithmic trading?

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Re: Ask HN: Anyone making money through algorithmic trading?

#31

Post by downandout »

Here’s an interesting article about using Google Trends to beat the market that may still work:

https://www.nature.com/articles/srep01684

The article is from 2013, but if anything it may be more predictive today given the ubiquity of Google search. At the very least, since it explains the method they used to find this signal, even if the specific keywords they used the trends for are no longer predictive, you may be able to find others that are. The strategy yielded a theoretical (backtested) return of 326% over a 7 year period.

Re: Ask HN: Anyone making money through algorithmic trading?

#33

Post by jey »

herve76 wrote: post #24

I built my own intelligent algo trading platform for node.js. It uses market data from Binance and Bitfinex. My best strategy uses unusual volume amounts on Bitfinex to trade on Binance (mostly BTCUSDT and other USDT pairs), an advanced dynamic arbitrage. It can make up to 500-1000 usd per day but not really much more. I started testing a LSTM neural network to optimize the gains and reduce the risks, still early but…

What's the maximum downside risk in a day? How do you guard against that happening?

Re: Ask HN: Anyone making money through algorithmic trading?

#34

Post by thisisit »

When trades are placed using a fixed setup of rules or algorithms it is called algorithmic trading. HFT is a type of algo trading where latency is one of the important rules.

So, while all HFT trades are algo trades, reverse isn't true.

AFAIK some(maybe a lot) of algorithm or quant firms hire people who can read the latest investment research, form a hypothesis and test out the hypothesis to see whether there is a winning system.

A side tip - If someone says their algorithm relies on some sort of TA, run for the hills.

Re: Ask HN: Anyone making money through algorithmic trading?

#35

Post by andr »

On the positive side, there is a number of algorithmic strategies which are unscalable - they are only profitable with a small amount of money (up to a few millions), and become unprofitable with more assets, because they move the market too much. This makes them uninteresting for funds and banks, and great for the home trader.

On the negative side, the spreads, fees, and latency funds and banks get are smaller than what you can get on online trading platforms. So focus on longer-term strategies (with a holding period of a few hours or more), because you'll lose out to the big guys with any medium to high frequency trading strategies.

Re: Ask HN: Anyone making money through algorithmic trading?

#36

Post by chad_strategic »

pfarnsworth wrote: post #13

I lost about $100k doing algorithmic trading. I spent the better part of 2 years after work immersing myself in algorithmic trading, understanding the architecture of the stock market, and getting very very deep into the topic. I found an algorithm that was wildly positive, and traded it on 3 separate markets every night. I learned a lot and I love everything I learned, but it was a very expensive lesson. The #1 thin…

Interactive Brokers has a paper trading account. so you can test your trades in real time but not make any money. I couldn't image going into production right away. My algo are good, but they also have some loops that kept buying stock, when it should have stopped. Thankfully it was just paper trading.

Re: Ask HN: Anyone making money through algorithmic trading?

#37

Post by inputcoffee »

There are a few things to watch out for:

1. Systematic trading doesn't necessarily require an algorithm. For instance this rule might work (over a 5 year horizon, don't try it monthly): "buy very large cap stocks if their P/E goes below 4 and sell if it goes over 10." But you don't need an algo.

2. The market has long bull runs. So you might have an algo that has some long bias. It will seem to perform above chance. You should compare it to just holding the market.

2b. If the market is going through a bull run and your algo has some leverage built in, it will outperform just holding the market.

3. If the market had a massive crash in the data set and your algo has a short bias, then you should check it against just shorting the market.

4. The issue of models, markets and biases mirror the same debate in science theories, data and statistics.

Re: Ask HN: Anyone making money through algorithmic trading?

#38

Post by jmhyer123 »

vinhboy wrote: post #29
jmhyer123 wrote: post #4

Yes. I've developed a simple strategy that algorithmically trades cryptocurrencies (mainly ETH and BTC because volume, but it would apply successfully to any of the others as well). The strategies are simple, they are based on simple technical indicators, and result in about 2 trades executed per day. The strategy can be applied to "normal" equities as well but it performs particularly well on cryptocurrencies due to…

I have a strategy I wanted to try. Look at historical percentage difference between currencies. See if there is any patterns like, every time BTC drop 10%, LTC drop 20%, or something like that... Find those patterns and trade on them. Do you know if people are doing this?

I've seen people try that and I've noticed the correlation myself. Around the end of last year (November/December 2017) it was possible to watch BTC jump 5-10% and jump over to ETH and catch the same wave 5-10 minutes later.

The problem is those patterns quickly disappear as automated trading picks them up. The window goes from 5-10 minutes to seconds or less. Much harder to act in such a small window.

Re: Ask HN: Anyone making money through algorithmic trading?

#39

Post by pfarnsworth »

chad_strategic wrote: post #36
pfarnsworth wrote: post #13

I lost about $100k doing algorithmic trading. I spent the better part of 2 years after work immersing myself in algorithmic trading, understanding the architecture of the stock market, and getting very very deep into the topic. I found an algorithm that was wildly positive, and traded it on 3 separate markets every night. I learned a lot and I love everything I learned, but it was a very expensive lesson. The #1 thin…

Interactive Brokers has a paper trading account. so you can test your trades in real time but not make any money. I couldn't image going into production right away. My algo are good, but they also have some loops that kept buying stock, when it should have stopped. Thankfully it was just paper trading.

I backtested thoroughly and paper traded before going live.

Paper trading is nothing like real money trading. That's also one of the first things you learn, it's like a different dimension.

Re: Ask HN: Anyone making money through algorithmic trading?

#40

Post by crispyporkbites »

joeyspn wrote: post #23

I know cases of algo traders coming from capital markets that have been so successful that they were banned in some crypto exchanges for using highly efficient strategies. One of the guys (he works in a top market maker during the day) told me he was making around 100btc/month back in Q1-Q2'17. Edit: Not saying it's easy to reach that level of profits, just that it's possible for professional/sophisticated traders.

I know a guy who makes so much money he got banned from the internet. He told me he makes 1000000 Btc a day. Fact.
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