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Day Trading for a Living?

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Re: Day Trading for a Living?

#321

Post by Guph »

inerte wrote: post #173
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…

Someone will always beat the market, because that's what we're looking for. I think it was on "Thinking Fast and Slow" that I read it's pointless to analyze the stock market winners, since it's a random process. Imagine there are 30 million entities that own stocks in the US - individual, companies, funds, etc... If on a given year half of them did better than average (with some rounding liberty): 1st year: 15M bette…

It's not really random, the value of stock has more to do with popularity of stock than the data people like to analyze.

As long as people keep buying a stock, it's price will continue to go up. Same thing the other way.

Now also keep in mind I can sell stock and you buy it, and we can both make money as I bought my stock lower than you.

Re: Day Trading for a Living?

#323

Post by ackbar03 »

Drdrdrq wrote: post #280
spir wrote: post #241

Earlier quoted context omitted.

To improve this, the broker can throw out the best performing clients, since they might genuinely know what they’re doing. This practice is pervasive in sports betting. It's a common practice to ban winners, especially in the US and UK. https://augur.net is an Ethereum-based betting market that will help traders/bettors avoid these kinds of malicious practices. Augur v2 is being developed now, you can expect it to be…

Betting could very well be the killer feature for Ethereum.

So far betting seems to be the ONLY feature for all things blockchain. In China quite a few of my friends went to make games on the blockchain during the wave of cryptocurrency mania. That didn't work out so they then went on to make (illegal) gambling games on the blockchain, although that didn't really workout quite as well either (apparently something to do with generating random numbers on the blockchain)

Re: Day Trading for a Living?

#324

Post by mattbreeden »

agumonkey wrote: post #305
waylandsmithers wrote: post #265

Earlier quoted context omitted.

Right, but the point was, day trading isn't a "job" -- a day on the tough job you described would never end with you needing to write a check to your employer.

Isn't it just a matter of discipline to avoid too large losses ?

Even if you can avoid too large losses, you can't avoid the possibility of lots of little losses.

Re: Day Trading for a Living?

#325

Post by kasey_junk »

mruts wrote: post #214
ryandrake wrote: post #200

Earlier quoted context omitted.

I’ve got a roulette “system” too. Trust me, it even has algorithms and machine learning . I’ll sell you the book. The discussion reminds me of a fun exercise we did in one of my B-school classes: everyone stands up and flips a coin. If you flip heads you sit down and stop the game. Everyone who flipped heads flips again, with the new tails flippers sitting down. At the end when there’s one person left, the prof inter…

Well Claude Shannon and Ed Thorpe did figure out how to beat roullette. And BlackJack. And then Thorpe figured out Black Scholes and made a killing in the markets trading warrents. See my above comment about how statistics does not bear out your fooled by randomness theory.

I don’t have a dog in this fight but Ed Thorpe has one of his funds liquidated via RICO. He’s usually used as an example in the positive case for “only bad behavior gets outsized market returns” argument.

Scholes & Merton got famously wrecked in the markets.

Re: Day Trading for a Living?

#327

Post by glitchc »

docker_up wrote: post #288
glitchc wrote: post #22

Earlier quoted context omitted.

Your friends are probably lying to you or themselves (or both) about the making money part. It's typical for gamblers to overstate their winnings and understate their losses in the long-haul to somehow convince themselves they're ahead when they're actually behind.

They are lying because you've never made money daytrading? As per my other comment, this is absurd. Being a profitable daytrader is very hard, and it's not probable, but definitely possible.

It's not a question of possibility, but a question of probability. Lots of things are possible with very tiny probabilities. That's why we do research, to estimate the probability of a phenomenon being true, in this case making money daytrading.

The research in the paper suggests that the probability that your friends are making more than a teller is 0.4%, therefore the probability that they are making less than a teller is 99.6%. So, if you have a hundred friends in daytrading, only one of them made more than minimum wage, two of them made money but at or below minimum wage, and ninety-seven of them lost money. Therefore, if they all told you they were making money, most (97%) of them were lying.

Re: Day Trading for a Living?

#328

Post by Dowwie »

tim333 wrote: post #207
blunte wrote: post #154

Earlier quoted context omitted.

From what has been published, secrecy within Renaissance is so extreme that perhaps only 2-3 people actually know what is going on. So for an outsider, I say it's pure speculation. And I speculate that their outsized gains are due to market manipulation, front running, or other insider activities (as in, illegal/unfair). No one is smart enough; no algorithm or model is future-proof; nobody gets returns like this unle…

There was a video interview with the founder where he explained pretty much how they do it. The employ a lot of bright PhD maths/physics types, get them to come up with all the algorithmic strategies they can think of, run tests with historic data and live trading to see which ones work and then scale up those. There isn't one smart guy or one great strategy - there are dozens of smart guys and loads of strategies an…

No mention of leverage?

Re: Day Trading for a Living?

#329

Post by ad »

blunte wrote: post #154
nickles wrote: post #124

Earlier quoted context omitted.

> 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%.

From what has been published, secrecy within Renaissance is so extreme that perhaps only 2-3 people actually know what is going on. So for an outsider, I say it's pure speculation. And I speculate that their outsized gains are due to market manipulation, front running, or other insider activities (as in, illegal/unfair). No one is smart enough; no algorithm or model is future-proof; nobody gets returns like this unle…

> their outsized gains are due to market manipulation, front running, or other insider activities (as in, illegal/unfair).

as a former insider at a different, less successful-than-rentec-but-still-successful firm, I doubt it. They have better data, technology, and employees than most other market participants. So then the question is how did they get there:

> No one is smart enough; no algorithm or model is future-proof

I agree with the sentiment, but the way it worked was in the early days, it was much easier for one person or a small team to get those advantages. Then, as the market matured and simple algorithms became less profitable, they made new, more complex ones. It became harder for new entrants to jump-start the whole process from scratch. Simons started rentech in 1982. Teleport that Simons to today and his fund probably wouldn't even get off the ground. He would still be a genius, but a billionaire? I don't think so. As you say, no one is smart enough. It was right place/right time, and they built on their advantages.

Re: Day Trading for a Living?

#330

Post by chrisweekly »

amluto wrote: post #144
dav1app wrote: post #117

They have a reason to make that article: there is a lot of companies fooling the Brazilian people over this. I'm a Brazilian software developer for the financial market. I also made some financial courses on the same university that the authors. Brazilian stock exchange market has exploded in the last years and most of my friends decided to 'work' as traders. None of them with prior knowledge or experience in the mar…

> One interesting thing: they normally sell the course with a private platform to trade the stocks included. I believe that they use that platform to collect data and operate against the traders that use that platform. They know the strategy that they are going to use (because they teach them), so it is easy to operate against. You’re assuming a complex strategy is needed when a simple one can easily suffice: simply…

I urge people who care at all about how stock exchanges actually work -- it's substantially worse than what you describe -- to read 'Flash Boys: A Wall Street Revolt' by Michael Lewis.
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