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Algorithmic Trading: A Practitioner’s Guide

henrikwarne.com

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Re: Algorithmic Trading: A Practitioner’s Guide

#101

Post by hungryforcodes »

reisse wrote: post #98
hungryforcodes wrote: post #87

Earlier quoted context omitted.

I do similar stuff and confirm most of the above. It matches my experiences. The only other thing I'd say is that if you're in a bull market you may have easy wins. Then after -- when the market turns against you -- these will evaporate. So long term you have to ask yourself if you are REALLY beating the market. If you'd bought Amazon or Microsoft instead, over 20 years you'd probably be far ahead.

> The only other thing I'd say is that if you're in a bull market you may have easy wins. Then after -- when the market turns against you -- these will evaporate. If your algotrading profits depend on market being bull or bear, you're doing it wrong. Volatility matters, not the direction.

Please line up with all the other cranky people to tell r/algotrading -- I'm sure they are interested.

Mine work in either market. But I trade on the millisecond lines to avoid market bias. And yes volatility is key. As if confirmation of this approach I see Binance has just recently introduced a 1s chart (effectively 1000ms).

However most retail algo traders using indicators use larger time frames that are more susceptible to market trendiness.

Re: Algorithmic Trading: A Practitioner’s Guide

#102

Post by hungryforcodes »

beagle3 wrote: post #92
hungryforcodes wrote: post #87

Earlier quoted context omitted.

I do similar stuff and confirm most of the above. It matches my experiences. The only other thing I'd say is that if you're in a bull market you may have easy wins. Then after -- when the market turns against you -- these will evaporate. So long term you have to ask yourself if you are REALLY beating the market. If you'd bought Amazon or Microsoft instead, over 20 years you'd probably be far ahead.

> If you'd bought Amazon or Microsoft instead, over 20 years you'd probably be far ahead. And if you'd bought pets.com, or webvan, you'd be far behind. Survivor bias at work.

True, but that's the nature of investing. If you don't like risk, use an RRSP I guess.

Re: Algorithmic Trading: A Practitioner’s Guide

#103

Post by nuclearnice1 »

Galanwe wrote: post #70
siftrics wrote: post #49

Earlier quoted context omitted.

You can argue about this philosophically, but if you talk to literally anyone in the industry, they will understand that - "taking liquidity" is taking existing orders off the orderbook and - "making [liquidity]" is opening new orders that rest on the orderbook It's the terminology of the industry.

To add on your comment: I don't even think the philosophical discussion makes sense. At the end of the day, what counts as the truth is how much fees you pay when sending a limit order that immediately crosses. And the answer, for every single market on the planet, is "you pay taker fees". Period.

Most futures markets you pay both sides.

Some equity venues are pay both sides. Others are “reverse” provider pays.

Re: Algorithmic Trading: A Practitioner’s Guide

#104

Post by Panzer04 »

Kranar wrote: post #67
Panzer04 wrote: post #60

Earlier quoted context omitted.

That largely depends on the type of leverage used (not all individual margin loans have the same conditions). It's possible to get pretty good terms as an individual in some circumstances (mostly if the loans are smaller and personally guaranteed), mostly by getting loans without margin calls attached. If you own a home, you can trivially borrow against it to invest without the risk of a margin call. It's all tradeof…

Nothing you've said has any relevance to this discussion. Regardless of what kind of leverage you use, if you're the one using it then you can end up with a negative balance putting you in debt. Case closed. As for your other comment trying to be pedantic about funds owning three stocks, there are numerous publicly traded leveraged funds that trade just a single stock, one single stock [1]. They are known as single-s…

There's definitely margin products that will guarantee you aren't liable for the debt (but correspondingly will margin call you and limit the debt/equity ratio), and there are margin products that are the opposite (no margin calls, but full recourse and liability for negative balances).

The point is it's not cut and dry that the market geared equity solution is superior (though, IMO, the individual advantage lays on the side of things without margin calls, but full recourse - you can ride through a downturn without being forced to sell, assuming you keep your job and other risks etc etc).

Those single stock ETFs are significantly more limited than full-market geared funds (1.5x rather than more typical 2-3x). Equity geared ETFs are definitely just straight up more convenient (and safer) for the vast majority of people and situations though, I agree with you on that.

Re: Algorithmic Trading: A Practitioner’s Guide

#105

Post by dachryn »

smdz wrote: post #81
andrewstuart wrote: post #75

Anyone here making real money from algo trading? I'm talking about people who write their own software rather than working for a company that does it professionally. I'd be interested to hear any tips or pointers on what strategies you've found that work.

It works, but do not expect huge returns. I have worked on multiple strategies. - Strategies using technical indicators do work, but you have to reasonable. If you find these giving higher than expected returns, or too many consecutive wins - take the money. Stop live trading and continue dummy trading - eventually there is a point where you can start live trading again. The thresholds will be determined from backtes…

I dabbled in this myself, and never managed to beat a classic index tracker.

So yes, I made a 3-5% profit over roughly 18 months, but it took a lot of time, stress, and in the end I ended up with less money.

Is your experience the same?

Re: Algorithmic Trading: A Practitioner’s Guide

#106

Post by Aromasin »

jwmoz wrote: post #97

Not sure why a simple book review has so many upvotes. A couple years ago I read all I could on this and started systematic trading on crypto. Ended up with the best results on a public platform and ran a small trading operation with a few clients, one a crypto market maker. It's really hard due to all the market unknowns, stress and psychology/emotion. After the FTX debacle I lost ~35% of capital. Currently put it o…

It probably has so many upvotes because it's quite a novel topic for HN. You might not appreciate it as much, being in the industry, but algorithmic trading is a field most of us haven't explored. Most of the content on HN is focused on web design to be honest, so things outside of that can get quite a lot of traction.

Re: Algorithmic Trading: A Practitioner’s Guide

#107

Post by areyousure »

hungryforcodes wrote: post #102
beagle3 wrote: post #92

Earlier quoted context omitted.

> If you'd bought Amazon or Microsoft instead, over 20 years you'd probably be far ahead. And if you'd bought pets.com, or webvan, you'd be far behind. Survivor bias at work.

True, but that's the nature of investing. If you don't like risk, use an RRSP I guess.

In case anyone is curious, it seems "RRSP" stands for "registered retirement savings plan", a type of financial account specific to Canada.

https://en.wikipedia.org/wiki/Registered_retirement_savings_...

Re: Algorithmic Trading: A Practitioner’s Guide

#109

Post by fartsucker69 »

Kranar wrote: post #71
rustamm wrote: post #69

Earlier quoted context omitted.

Just because a managed fund outperformed a market doesn't mean it didn't happen by pure luck. There are lots of managed funds and most of them are not profitable. If each chooses portfolio randomly, some of them will outperform the market.

Can you please quote what you think you're disagreeing with me about or how your reply has any relevance to my post? Did you perhaps intend to reply to someone else?

your post implies that - even though it's difficult to do - one could perhaps pick a good fund and be better off than investing into e.g. ETFs.

the poster you're replying to implies that this might not be possible at all if the successful funds only are so because of random chance.

Re: Algorithmic Trading: A Practitioner’s Guide

#110

Post by rawoke083600 »

eggy wrote: post #51

I have been working my way through a 2013 book, "Professional Automated Trading: Theory and Practice" that uses Lisp as the language to implement a trading system of different frequencies using concepts from artificial life and control theory (I recall studying all of the stuff coming out of the Santa Fe Institute in the late 80's - Artificial Life I, swarm intelligence, etc.). Some of the AI/AL stuff is dated, but t…

You had my upvote at Lisp :P
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