Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

Day Trading for a Living?

papers.ssrn.com

Post reply on HN
Print view View original

121–130 of 377 posts

Re: Day Trading for a Living?

#121

Post by mumblemumble »

jacquesc wrote: post #87

I have a couple friends that do day trading on "technical analysis". As in, they only trade on the chart movements. Both claim to make money consistently. I generally believe them, but it seems like black magic to me. Especially when they explain what they're doing in detail. Not sure I understand this study tho, and whether or not it relates.

One thing to keep in mind is that even a random number generator can trivially turn a profit when the market is trending up. It's when the market is volatile or going down that you get a real test of how well a strategy works.

Which isn't to say that technical analysis is unfounded. And I do believe that there are opportunities that exist for individuals that haven't been arbitrated out of the market by the professional quants simply because they don't represent enough money to be interesting on an institutional scale. But it takes something like a bear market to really know for sure if you've found those opportunities, or if you're just riding a rising tide that lifts all boats.

Re: Day Trading for a Living?

#122

Post by hn_throwaway_99 »

gnopgnip wrote: post #114
flatline wrote: post #47

Earlier quoted context omitted.

I know people who made millions day trading commodities, for no one in that cohort to have made any real money over two years is surprising to the point of disbelief. This may be something particular to the Brazilian exchange.

Many who make millions are risky and lose it all, or more. How many of them are net positive over more than a year?

While I don't necessarily agree with Kranar's conclusions, I think his point is that the same can be said for many highly risky endeavors, like building a startup.

IMO the main difference is that, while in both cases you'll see a small number of successes and a huge number of failures, in startup land the net expected value is positive while in day trader land it is negative.

Re: Day Trading for a Living?

#123

Post by marketgod »

nradov wrote: post #111
elephant_7 wrote: post #91

Earlier quoted context omitted.

Swing trading with baskets as opposed to daytrading seems to be a better way to go according to historical performance, for example https://www.elastic.co/blog/generating-and-visualizing-alpha...

Anything that worked consistently yesterday will no longer work tomorrow as the HFT's arbitrage that market inefficiency away. That's one of the reasons why even extensive back testing isn't a reliable indicator that a trading strategy will be successful.

That's not so simple because swing trading is not looking for Arbitrage. 90% of traders lose but a good portion of us make money. It is about building a system which works in bull and bear markets.

Re: Day Trading for a Living?

#124

Post by nickles »

Kranar wrote: post #102
melling wrote: post #81

For anyone interested in a great story about a world class mathematician who built a company that has used algorithms to beat the market for the last few decades, James Simons has an impressive record: https://www.ted.com/talks/jim_simons_a_rare_interview_with_t... https://m.youtube.com/watch?v=QNznD9hMEh0 https://en.m.wikipedia.org/wiki/Jim_Simons_(mathematician) One other thing, the Simons Foundation funds Quanta M…

Renaissance Technologies did not use algorithms to beat the market... they used tax schemes to do so: https://www.bloomberg.com/news/articles/2019-04-10/renaissan... When you factor in the money they saved from dodging taxes and how they managed to compound the growth on that money, their returns end up being no more impressive than any other hedge fund. Even if it turns out that what they did wasn't illegal, the bul…

> Renaissance Technologies did not use algorithms to beat the market...

This is false. RenTec generated outsized returns for a decade prior to entering into the derivatives with Barclays and DB beginning in 2000.

> the bulk of their profits beyond what would have been made just investing in an index fund

This is also false. For example, RenTec generated 99% return in 2000 net of fees, while the S&P 500 lost ~8%.

Re: Day Trading for a Living?

#125

Post by kritiko »

adrianmonk wrote: post #34
Kranar wrote: post #15

I mean you may as well say: Study shows it is impossible for an individual to build a tech start up as a living. Just because something is hard doesn't mean it's impossible. Day trading, like many other risky ventures, is something that is very hard and unlikely but for the few who succeed ends up being very profitable.

Or you could say: it's impossible to win the world championship at anything. It would be easy to find data to show that 99.99% of people aren't the best tennis player or fastest runner or best Scrabble player in the world; therefore, nobody can be the best at it. According to this reasoning, at least.

The point of the article is to dissuade people from pursuing careers in day trading based on marketing that it's an easy way to earn money (from people whose business is selling instructional materials... not day trading). If there were lots of people selling courses on "Become a WTA Tour Player, make millions winning tennis tournaments!" the same type of paper might be warranted for tennis playing.

Re: Day Trading for a Living?

#128

Post by elephant_7 »

nradov wrote: post #111
elephant_7 wrote: post #91

Earlier quoted context omitted.

Swing trading with baskets as opposed to daytrading seems to be a better way to go according to historical performance, for example https://www.elastic.co/blog/generating-and-visualizing-alpha...

Anything that worked consistently yesterday will no longer work tomorrow as the HFT's arbitrage that market inefficiency away. That's one of the reasons why even extensive back testing isn't a reliable indicator that a trading strategy will be successful.

That document shows that as algorithms might decay, you can swap out the datasets to out-perform. They also conducted a year long study on the results.

Re: Day Trading for a Living?

#129

Post by marketgod »

wastedhours wrote: post #75
quaquaqua1 wrote: post #49

Earlier quoted context omitted.

110k pre tax in the USA is 80k post tax per year-- it is often helpful for us to think in terms of both numbers when comparing money making methods. That's my guess at least.

Probably more that they didn't account for weekends, $310 x 365 is $113k

They are also trading on a small account most likely. If you have $500k to trade with making $300 a day is much easier.

Re: Day Trading for a Living?

#130

Post by SilasX »

DSingularity wrote: post #51
soneca wrote: post #39

Earlier quoted context omitted.

Why weird?

Because that is not a representative sampling of the day trader population. Assuming the techniques of the study were sound, at best we can conclude whether or not day trading Brazilian futures is a sustainably profitable undertaking.

Obligatory joke about the three scientists visiting Scotland in the first time:

Biologist: "Whoa, you see that in the distance? That's amazing! All cows in Scotland are brown!"

Physicist: "Hold on -- all we know at this point is that there's a population of cows in Scotland that's brown."

Mathematician: "No, all we know is, there exists at least one cow in Scotland such that this side is brown."

---

With that said, I agree that it's an excessively narrow sample for the kind of conclusion they're trying to draw.

Post reply on HN