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FinRL: The first open-source project for financial reinforcement learning

github.com

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Re: FinRL: The first open-source project for financial reinforcement learning

#21

Post by igorkraw »

Galanwe wrote: post #2

As someone with 10+ years of exp in the industry, I had no clue what this was actually doing after reading the github page. Had to dive through the examples and videos. The alphas showcased seem weak: 1.5 max gross SR in sample, unresidualized, unconstrained and standalone. That would need to be blended with a hundred un correlated others to have a decent portfolio.

What's the best way for someone doing and ML and optimisation PhD to get into quant research/Trading? I've been playing with paper trading, trying to use creative data sources to find alpha and algotrading micro amounts of Cryptos for a while now and am seriously considering doing this for my post PhD life if I can't find a nice tenure track (a complication is that I do not want to leave Switzerland until I have citizenship here, so any advice or introductions would be very appreciated!)

Re: FinRL: The first open-source project for financial reinforcement learning

#23

Post by ploika »

yeahwhatever10 wrote: post #17
Lapsa wrote: post #14

```Technical indicators: 'macd', 'boll_ub', 'boll_lb', 'rsi_30', 'dx_30', 'close_30_sma', 'close_60_sma'.``` lulz

Why lulz? Bad indicators, too few?

Technical analysis (Bollinger bands and the like) would be treated similarly to horoscopes by many people who know how to work a Bloomberg terminal.

Re: FinRL: The first open-source project for financial reinforcement learning

#25

Post by [deleted] »

nightski wrote: post #18
mumblemumble wrote: post #11

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…

[deleted]

Re: FinRL: The first open-source project for financial reinforcement learning

#26

Post by saeranv »

ploika wrote: post #23
yeahwhatever10 wrote: post #17

Earlier quoted context omitted.

Why lulz? Bad indicators, too few?

Technical analysis (Bollinger bands and the like) would be treated similarly to horoscopes by many people who know how to work a Bloomberg terminal.

I've never understood how someone had the nerve to trademark "Bollinger bands", when all they are is just a measure of 2 standard deviations from a rolling mean of share price. It's like renaming 1+1=2 after yourself and and trademarking it's use.

Re: FinRL: The first open-source project for financial reinforcement learning

#27

Post by mellavora »

ploika wrote: post #23
yeahwhatever10 wrote: post #17

Earlier quoted context omitted.

Why lulz? Bad indicators, too few?

Technical analysis (Bollinger bands and the like) would be treated similarly to horoscopes by many people who know how to work a Bloomberg terminal.

So then why does Bloomberg build in so many technical indicators into its product?

Look, I share your skepticism of technical analysis, but there are many traders who do not. And when managing traders, you might want to let them trade on TA because it can give them a reason to take action. Otherwise they can suffer from analysis paralysis.

Re: FinRL: The first open-source project for financial reinforcement learning

#28

Post by melony »

igorkraw wrote: post #21
Galanwe wrote: post #2

As someone with 10+ years of exp in the industry, I had no clue what this was actually doing after reading the github page. Had to dive through the examples and videos. The alphas showcased seem weak: 1.5 max gross SR in sample, unresidualized, unconstrained and standalone. That would need to be blended with a hundred un correlated others to have a decent portfolio.

What's the best way for someone doing and ML and optimisation PhD to get into quant research/Trading? I've been playing with paper trading, trying to use creative data sources to find alpha and algotrading micro amounts of Cryptos for a while now and am seriously considering doing this for my post PhD life if I can't find a nice tenure track (a complication is that I do not want to leave Switzerland until I have citi…

Get an internship at a reputable prop shop or hedge fund (that specialize in quant finance). There are plenty in Switzerland.

Re: FinRL: The first open-source project for financial reinforcement learning

#30

Post by bravura »

melony wrote: post #28
igorkraw wrote: post #21

Earlier quoted context omitted.

What's the best way for someone doing and ML and optimisation PhD to get into quant research/Trading? I've been playing with paper trading, trying to use creative data sources to find alpha and algotrading micro amounts of Cryptos for a while now and am seriously considering doing this for my post PhD life if I can't find a nice tenure track (a complication is that I do not want to leave Switzerland until I have citi…

Get an internship at a reputable prop shop or hedge fund (that specialize in quant finance). There are plenty in Switzerland.

Aren't they going to impose a strong non-compete agreement on you, so that once you've actually learned something you are handcuffed to them?
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