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

Show HN: I discovered a trading algorithm that returns ~24.85% annually

github.com

Post reply on HN
Print view View original

11–20 of 134 posts

Re: Show HN: I discovered a trading algorithm that returns ~24.85% annually

#11

Post by Exuma »

xwdv wrote: post #7

You did not discover a trading algorithm that returns ~24.85% annually. You massaged an algorithm until it produced a 24.85% annual return training on historical data. Come back when you are ready to claim you have made ~24.85% per year with an algorithm you created 5-10 years ago. Deny it, Downvote it: Destiny still arrives.

Serious question:

I fully understand the idea of historical algorithms being no true indicator of the future. With that said.......

If an algorithm consistently performs over 20+ years of data (through multiple black swan events, multiple major events), then why is it not safe to assume it likely will continue going forward? Wouldn't 20 years of "evidence" be a huge amount, such that future events likely wouldn't deviate much from that...?

Re: Show HN: I discovered a trading algorithm that returns ~24.85% annually

#12

Post by vmception »

xwdv wrote: post #7

You did not discover a trading algorithm that returns ~24.85% annually. You massaged an algorithm until it produced a 24.85% annual return training on historical data. Come back when you are ready to claim you have made ~24.85% per year with an algorithm you created 5-10 years ago. Deny it, Downvote it: Destiny still arrives.

This is the right answer.

If anyone is interested in trading algorithms there are entire communities that filter out random backtests that havent been run live.

Check out QuantConnect

Re: Show HN: I discovered a trading algorithm that returns ~24.85% annually

#14

Post by AS37 »

Exuma wrote: post #11
xwdv wrote: post #7

You did not discover a trading algorithm that returns ~24.85% annually. You massaged an algorithm until it produced a 24.85% annual return training on historical data. Come back when you are ready to claim you have made ~24.85% per year with an algorithm you created 5-10 years ago. Deny it, Downvote it: Destiny still arrives.

Serious question: I fully understand the idea of historical algorithms being no true indicator of the future. With that said....... If an algorithm consistently performs over 20+ years of data (through multiple black swan events, multiple major events), then why is it not safe to assume it likely will continue going forward? Wouldn't 20 years of "evidence" be a huge amount, such that future events likely wouldn't dev…

Overfitting, even on a 20 year dataset.

Re: Show HN: I discovered a trading algorithm that returns ~24.85% annually

#15

Post by elcomet »

Exuma wrote: post #11
xwdv wrote: post #7

You did not discover a trading algorithm that returns ~24.85% annually. You massaged an algorithm until it produced a 24.85% annual return training on historical data. Come back when you are ready to claim you have made ~24.85% per year with an algorithm you created 5-10 years ago. Deny it, Downvote it: Destiny still arrives.

Serious question: I fully understand the idea of historical algorithms being no true indicator of the future. With that said....... If an algorithm consistently performs over 20+ years of data (through multiple black swan events, multiple major events), then why is it not safe to assume it likely will continue going forward? Wouldn't 20 years of "evidence" be a huge amount, such that future events likely wouldn't dev…

Another issue is that once the algorithm becomes known, and used be many people, it will not work any more.

Re: Show HN: I discovered a trading algorithm that returns ~24.85% annually

#16

Post by praptak »

Exuma wrote: post #11
xwdv wrote: post #7

You did not discover a trading algorithm that returns ~24.85% annually. You massaged an algorithm until it produced a 24.85% annual return training on historical data. Come back when you are ready to claim you have made ~24.85% per year with an algorithm you created 5-10 years ago. Deny it, Downvote it: Destiny still arrives.

Serious question: I fully understand the idea of historical algorithms being no true indicator of the future. With that said....... If an algorithm consistently performs over 20+ years of data (through multiple black swan events, multiple major events), then why is it not safe to assume it likely will continue going forward? Wouldn't 20 years of "evidence" be a huge amount, such that future events likely wouldn't dev…

No, because of the survivorship bias.

People invent many algorithms all the time. You only hear about the ones which turned out exceptionally well.

Re: Show HN: I discovered a trading algorithm that returns ~24.85% annually

#17

Post by dmillar »

Exuma wrote: post #11
xwdv wrote: post #7

You did not discover a trading algorithm that returns ~24.85% annually. You massaged an algorithm until it produced a 24.85% annual return training on historical data. Come back when you are ready to claim you have made ~24.85% per year with an algorithm you created 5-10 years ago. Deny it, Downvote it: Destiny still arrives.

Serious question: I fully understand the idea of historical algorithms being no true indicator of the future. With that said....... If an algorithm consistently performs over 20+ years of data (through multiple black swan events, multiple major events), then why is it not safe to assume it likely will continue going forward? Wouldn't 20 years of "evidence" be a huge amount, such that future events likely wouldn't dev…

trading costs, liquidity, structural changes in the economy etc. del prado's machine learning in finance book gives some good insight into common backtesting pitfalls/thinking that are present here. the "safe" assumption if you find a systematic strategy that backtests well is that your actual, go-forward sharpe ratio will print 50% of what your backtests suggest.

Re: Show HN: I discovered a trading algorithm that returns ~24.85% annually

#20

Post by Jeff_Brown »

Exuma wrote: post #11
xwdv wrote: post #7

You did not discover a trading algorithm that returns ~24.85% annually. You massaged an algorithm until it produced a 24.85% annual return training on historical data. Come back when you are ready to claim you have made ~24.85% per year with an algorithm you created 5-10 years ago. Deny it, Downvote it: Destiny still arrives.

Serious question: I fully understand the idea of historical algorithms being no true indicator of the future. With that said....... If an algorithm consistently performs over 20+ years of data (through multiple black swan events, multiple major events), then why is it not safe to assume it likely will continue going forward? Wouldn't 20 years of "evidence" be a huge amount, such that future events likely wouldn't dev…

I don't know, but it surely depends in part on whether you've published the algorithm. Once a strategy becomes well-known, its gains are likely to be arbitraged away.
Post reply on HN