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Which is not me looking to trash it. I'd just encourage people to be aware of the context. This is an academic project which has apparently only been tested on hindcast data. Real life trading may present challenges that were well outside their scope of research.
This is self defeating if you open source an approach like this and it is effective, then the laws of arbitrage says that the market will remove any additional benefits of using it.
This assumes perfect information. The effects of law of arbitrage are not instantaneous.
This is self defeating if you open source an approach like this and it is effective, then the laws of arbitrage says that the market will remove any additional benefits of using it.
That being said, I have more fundamental doubts that as a private individual, with only off-the-shelf hardware, one could produce any meaningful signals with DL that actually beat the market.
Earlier quoted context omitted.
What does unresidualized mean? What do the need to do to the software to “residualize” it? If that’s even the right expression.
It means to remove a set of factors from the signal - or the returns of the signal, which would impact its performance or exposure, and are not meant to be captured by the signal. Imagine a "I have no preference" signal which gives a weight of 1/n to each asset of the portfolio - you have 100 stocks in your basket, you give 1% to each. If you would compute its performance, you would see that this portfolio would roug…
```Technical indicators: 'macd', 'boll_ub', 'boll_lb', 'rsi_30', 'dx_30', 'close_30_sma', 'close_60_sma'.``` lulz
Quick hot take: when the project has a Venmo QR code for soliciting donations, you can safely assume they have not actually figured out how to make lots of money on the securities markets. Which is not me looking to trash it. I'd just encourage people to be aware of the context. This is an academic project which has apparently only been tested on hindcast data. Real life trading may present challenges that were well…
Also even if they aren't using real money that does not mean they are limited to historical data. You can run algos on live data even without actively trading. What you don't get is how your actions affect the market itself.
Quick hot take: when the project has a Venmo QR code for soliciting donations, you can safely assume they have not actually figured out how to make lots of money on the securities markets. Which is not me looking to trash it. I'd just encourage people to be aware of the context. This is an academic project which has apparently only been tested on hindcast data. Real life trading may present challenges that were well…
I'd agree with the skepticism. That said, it takes a minimum of 25k to get started using something like this in the real world due to the PDT rule (honestly more than that so you don't dip below 25k). It's possible they just aren't ready to throw that kind of capital at it yet. Also even if they aren't using real money that does not mean they are limited to historical data. You can run algos on live data even without…
That equals to useless toy software in my book. But it's just my opinion.
Edit: Look, I don't want to trash the devs for no reason, but the amount of "finance" academic stuff that claims to produce successful strategies is just ridiculous. At some point people just get tired.
Earlier quoted context omitted.
I'd agree with the skepticism. That said, it takes a minimum of 25k to get started using something like this in the real world due to the PDT rule (honestly more than that so you don't dip below 25k). It's possible they just aren't ready to throw that kind of capital at it yet. Also even if they aren't using real money that does not mean they are limited to historical data. You can run algos on live data even without…
> Also even if they aren't using real money that does not mean they are limited to historical data. You can run algos on live data even without actively trading. What you don't get is how your actions affect the market itself. That equals to useless toy software in my book. But it's just my opinion. Edit: Look, I don't want to trash the devs for no reason, but the amount of "finance" academic stuff that claims to pro…