Unzipped the code and put it here for easy viewing: https://github.com/breck7/drillBits
(Note: if author wants to create a GitHub I'll edit this link and point to theirs!)
Offline Algorithms in Low-Frequency Trading
21–30 of 106 posts
Re: Offline Algorithms in Low-Frequency Trading
#22Earlier quoted context omitted.
The only book you should read is John Bogel's. Do what he says like Goldman partners, Bank of America senior executives, almost every economist does with their money and stick it in low cost diversified mutual funds. Or you can learn stochastic calculus and end up in the same place once you realize half of all active traders do worse than the market, before fees.
Buffet sells 5b in options premium a year
I think a big distinction that retail traders need to come to terms with is that, while yes, technically you can make reasonably good sums of money with various trading strategies of various risk profiles, as one person, so many of them are just not worth the trouble.
If your passion is this sort of thing, by all means, go ahead.
But it's like running a homelab. Yes, you can get pretty decent "savings" (vs running in AWS/DO) but I can guarantee you, you will end up in the basement replugging ethernet cables trying to figure out which one is the bad one while your family and relatives are waiting upstairs, fairly bemused, for you to fix "the internet".
It's possible, but as a person with a life, unless it's your passion, I'd recommend just not. Do the financial equivalent of paying DigitalOcean 5 dollars a month: buy sp500 etfs and sit on them.
Re: Offline Algorithms in Low-Frequency Trading
#23If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
I’ve observed the opposite in cryptocurrency option markets; covered calls tend to net a higher yield than the equivalent puts.
Where are you writing your options? Only the stablecoin pairs seem to be liquid
Re: Offline Algorithms in Low-Frequency Trading
#24If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
Ex pro options trader here. Looks interesting, and I've starred it, but it does sound like it's just collecting premium? If you're selling options, you probably need to risk adjust your returns a bit more than what's common: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=377260 That's by Andrew Lo, big name in the area. I'm sure you've also come across Taleb, who knows a thing or two about selling options.
SSRN only let me view the abstract. Here's a link to the pdf that worked for me.
https://alo.mit.edu/wp-content/uploads/2017/06/The-Statistic...
Re: Offline Algorithms in Low-Frequency Trading
#25Earlier quoted context omitted.
I undestand words but I have absolutely no clue what you're talking about. Can you recommend some books on the topic?
The only book you should read is John Bogel's. Do what he says like Goldman partners, Bank of America senior executives, almost every economist does with their money and stick it in low cost diversified mutual funds. Or you can learn stochastic calculus and end up in the same place once you realize half of all active traders do worse than the market, before fees.
None of the kinds of people you listed are good at trading (esp economists). From experience, professional traders do tend to use passive indices for part of their PA, but also actively trade a portion.
But you're right in that if you don't have a passion for it, you'll never be able to truly outperform spy on a risk adjusted basis. However, if you do have the knowledge and the passion, I definitely think you can.
Investing is personal, and just holding spy doesn't fulfill everyone's objectives.
Here's an example of a strategy that outperforms spy in most cases: 1/3 of your portfolio goes to upro (3x leveraged spy) and 2/3s goes to a bond fund/etf. As long as the bond etf returns above the upro expense ratio (~1%), you will outperform. From my backtests, this strategy will earn you an extra 1-2% return a year, while also having a slightly higher risk adjusted returns.
I list the above as a great example because it's the kind of strategy that is great for a PA: easy to manage, doesn't require babysitting, and backed by solid academic research. When people think active vs passive, they think actively trading single stocks vs just holding an index. My point is that you can use some quant-lite strategies that tilt your portfolio to eek out a little return. You don't have to be trading everyday or even holding anything except ETFs.
Re: Offline Algorithms in Low-Frequency Trading
#26Just asking anybody figured out, how to find high low for a period of time. Say in a period of 6months, starting from a initial point, next point could be a high or low, if high, program needs to find next lowest point and afterward, it needs to find highest amd continues to do so in zigzag. For low it's vice versa.
Re: Offline Algorithms in Low-Frequency Trading
#27If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
I’ve observed the opposite in cryptocurrency option markets; covered calls tend to net a higher yield than the equivalent puts.
That is the normal behaviour for commodities. It's arguably reasonable that Bitcoin behaves more like a commodity than a stock, at least so far as anything is arguably reasonable in the realm of cryptocurrency.
But maybe strategies involving puts will become more successful if we can convince more of the HN Bitcoin naysayers to sign up for LedgerX and put their money where their mouth is. :)
Re: Offline Algorithms in Low-Frequency Trading
#28Unzipped the code and put it here for easy viewing: https://github.com/breck7/drillBits (Note: if author wants to create a GitHub I'll edit this link and point to theirs!)
Given the clear copyright statement,
> Copyright (C) 2020-2021 Terence Kelly. All rights reserved.
did you happen to get the author's permission to put that up? I don't even like IP law that much, but its funny to me how much no one gives a shit. This was a crime, albeit a silly and small one.
Re: Offline Algorithms in Low-Frequency Trading
#29If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…
Generally speaking, a seller of naked puts is looking to supplement income via a stock they are willing to own at a lower level. If you are not willing to take delivery, it is probably better to sell a vertical spread so that there is a built in stop out. Here I'm speaking of transactions of a reasonable premium amount, not 5 or 10 cents.
While it is true that the upside is unlimited against a naked call (and the downside is 0 on a naked put), naked puts suffer from systemic risk that calls for all intents do not. Both are subject to news/events specific to the company in question, but the risk of the short call running away from you because the market had a +20% day are well, fleeting. On the other hand, unexpected economic news, politcal/military events, liquidity issues, etc can tank the entire market 10, 20, 30% and have numerous times. A rise of similar magnitude, to my knowledge, has only happened after market crashes (so you would then be alert to the upside risk).
Re: Offline Algorithms in Low-Frequency Trading
#30Earlier quoted context omitted.
I undestand words but I have absolutely no clue what you're talking about. Can you recommend some books on the topic?
I would look up two terms: Covered calls Naked puts If you want to go heavy duty into it I recommend the Hull book (options, futures and other derivatives) but for your purposes the investopedia articles are enough. Basically naked puts means you’re selling downside insurance so if the stock crashes you eat the loss. Covered calls mean you sell upside risk but have the stock so if it goes up you make a little.
Hull is a great book and is not too heavy on the math. However, for someone just getting their feet wet, Options as a Strategic Investment by MacMillan is a classic.