Algorithmic Trading: A Practitioner’s Guide • Hacker News Board

Re: Algorithmic Trading: A Practitioner’s Guide

#121

Post by nradov » Mon, Feb 13, 2023, 4:57 PM UTC

mistrial9 wrote: post #116

nradov wrote: post #40

Earlier quoted context omitted.

Your story doesn't make any sense. Was this guy trading his own account, or was he employed as a proprietary trader, or was he running his own little investment fund using another company's platform? In any case, a legitimate trader won't be "locked out". Are you perhaps referring to a locked market? https://www.investopedia.com/terms/l/lockedmarket.asp

it was years ago.. the man decided on trades and executed them using a kind of terminal and base account that enabled that. Yet, "front running" is commonplace at all levels, in many forms. This man was a legitimate trader with credentials and ID, and when a SELL order was issued (get your money) the order did execute.. but how long did it take ? what prices changed while the order was being queued ?

That still doesn't make any sense. Do you mean he had passed the FINRA Series 7 Exam? Anyone with money can trade, with or without a Bloomberg terminal. Order execution speed will depend on the exact type of order the trader puts in and where he directs it; there are multiple types other than simple market sell orders and there are trade-offs between speed and price. And if he had evidence of his dealer engaging in illegal front running then he should have reported that to the regulators.

Anyway, it sounds like your colleague was just an idiot who didn't understand the basics of professional trading and got in over his head. He should have stuck with buying index funds on a Vanguard account.

Re: Algorithmic Trading: A Practitioner’s Guide

#122

Post by boshalfoshal » Mon, Feb 13, 2023, 4:57 PM UTC

dachryn wrote: post #105

smdz wrote: post #81

Earlier quoted context omitted.

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?

Not to mention more taxes if you are buying and selling a lot. As an individual, I would probably just do discretionary stock picks and buy & hold fundamental analysis. After working at an HFT firm, I've more or less realized that institutional level trading (or things that try to emulate it at the retail level) are pretty difficult for little return. It would be a fun side project, but as a way of getting money, not so sure...

Re: Algorithmic Trading: A Practitioner’s Guide

#123

Post by boshalfoshal » Mon, Feb 13, 2023, 5:05 PM UTC

Lapsa wrote: post #77

codeisawesome wrote: post #8

I always wonder if this space hasn’t been entirely cornered by HFTs. Isn’t it futile as an individual?

For an individual - HFT isn't all that accessible. Fees gonna kill ya. But yeah - you just zoom out a little bit and work from there.

fwiw, med/long term strategies are consideribly more difficult than HFT. Also, depending on the product (options, treasuries, etc.) most firms still have traders to manage strategies. For example, the top Options MM firms (CitSec, SIG, Jane Street, IMC, Optiver...) all have traders. Pure play algos is once again, consideribly harder (for certain products).

I still think theres alpha, but I don't think it would be from off the shelf methods that some random youtube trading guru talks about.

Re: Algorithmic Trading: A Practitioner’s Guide

#124

Post by mistrial9 » Mon, Feb 13, 2023, 5:56 PM UTC

nradov wrote: post #121

mistrial9 wrote: post #116

Earlier quoted context omitted.

it was years ago.. the man decided on trades and executed them using a kind of terminal and base account that enabled that. Yet, "front running" is commonplace at all levels, in many forms. This man was a legitimate trader with credentials and ID, and when a SELL order was issued (get your money) the order did execute.. but how long did it take ? what prices changed while the order was being queued ?

That still doesn't make any sense. Do you mean he had passed the FINRA Series 7 Exam? Anyone with money can trade, with or without a Bloomberg terminal. Order execution speed will depend on the exact type of order the trader puts in and where he directs it; there are multiple types other than simple market sell orders and there are trade-offs between speed and price. And if he had evidence of his dealer engaging in i…

> didn't understand the basics of professional trading

I don't know why you are so quick to assume that.. that guy did a year with some large firm before breaking out on his own.. a YEAR of full time I think

> it sounds like your colleague was just an idiot

oh I see, you want to call people that name.. got it

Re: Algorithmic Trading: A Practitioner’s Guide

#125

Post by Kranar » Mon, Feb 13, 2023, 6:11 PM UTC

Panzer04 wrote: post #104

Kranar wrote: post #67

Earlier quoted context omitted.

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…

Can you provide a reference for a single broker that guarantees no liability for holding negative balance in a margin account, because as-is what you've described is a violation of FINRA rules and I'm fairly certain that such a product doesn't exist but would be interested in seeing the precise details.

I don't want a fancy explanation of how it works, I would like to know the name of a single brokerage that offers this product because as I said, I don't think it exists as it is frankly a pretty basic violation.

Re: Algorithmic Trading: A Practitioner’s Guide

#126

Post by Kranar » Mon, Feb 13, 2023, 7:01 PM UTC

tdullien wrote: post #99

Kranar wrote: post #85

Earlier quoted context omitted.

I started off doing it on my own back in 2008 with nothing more than an Interactive Brokers account. Then I went all in and started a company to do it professionally around 2012. As far as strategies go, I've said it here before, but all my strategies are quite simple and straight forward. The difficulty is almost always the execution. Almost all of my strategies are arbitrage or market making, and some of them trade…

As someone dabbling with the topic, I would love to chat with someone that made the step to run your own firm. Are there any good groups to meet others? Would you be up for a Videochat coffee?

There are good groups but they tend to be people who are already deeply involved in the field. The vast majority of what you find, including discussions about this on HN, are complete trash to be quite blunt and it's very demoralizing.

Re: Algorithmic Trading: A Practitioner’s Guide

#127

Post by nradov » Mon, Feb 13, 2023, 7:08 PM UTC

mistrial9 wrote: post #124

nradov wrote: post #121

Earlier quoted context omitted.

That still doesn't make any sense. Do you mean he had passed the FINRA Series 7 Exam? Anyone with money can trade, with or without a Bloomberg terminal. Order execution speed will depend on the exact type of order the trader puts in and where he directs it; there are multiple types other than simple market sell orders and there are trade-offs between speed and price. And if he had evidence of his dealer engaging in i…

> didn't understand the basics of professional trading I don't know why you are so quick to assume that.. that guy did a year with some large firm before breaking out on his own.. a YEAR of full time I think > it sounds like your colleague was just an idiot oh I see, you want to call people that name.. got it

A YEAR of full time means nothing. The big financial services firms hire thousands of entry level brokers and traders. Spending a year in that type of job is not even remotely adequate preparation for setting out on your own. At that point you don't know what you don't know. But there are a lot of overconfident idiots out there, and the real professional traders love to take advantage of them for an easy profit. The Dunning–Kruger effect strikes again.

Re: Algorithmic Trading: A Practitioner’s Guide

#128

Post by mistrial9 » Mon, Feb 13, 2023, 7:19 PM UTC

nradov wrote: post #127

mistrial9 wrote: post #124

Earlier quoted context omitted.

> didn't understand the basics of professional trading I don't know why you are so quick to assume that.. that guy did a year with some large firm before breaking out on his own.. a YEAR of full time I think > it sounds like your colleague was just an idiot oh I see, you want to call people that name.. got it

A YEAR of full time means nothing. The big financial services firms hire thousands of entry level brokers and traders. Spending a year in that type of job is not even remotely adequate preparation for setting out on your own. At that point you don't know what you don't know. But there are a lot of overconfident idiots out there, and the real professional traders love to take advantage of them for an easy profit. The…

yes, that is what I thought about it.. that someone was taking advantage of him.. and yes, I agree that a year in a sophisticated environment is not necessarily enough.. You know and I know that people in that field don't need a sophisticated analogy in order to rationalize just .. cheating someone to get more money that day.

I can do a lot more math than the guy I knew in that story, but I would not call him an idiot lightly

Re: Algorithmic Trading: A Practitioner’s Guide

#129

Post by nradov » Mon, Feb 13, 2023, 8:36 PM UTC

mistrial9 wrote: post #128

nradov wrote: post #127

Earlier quoted context omitted.

A YEAR of full time means nothing. The big financial services firms hire thousands of entry level brokers and traders. Spending a year in that type of job is not even remotely adequate preparation for setting out on your own. At that point you don't know what you don't know. But there are a lot of overconfident idiots out there, and the real professional traders love to take advantage of them for an easy profit. The…

yes, that is what I thought about it.. that someone was taking advantage of him.. and yes, I agree that a year in a sophisticated environment is not necessarily enough.. You know and I know that people in that field don't need a sophisticated analogy in order to rationalize just .. cheating someone to get more money that day. I can do a lot more math than the guy I knew in that story, but I would not call him an idio…

You haven't provided evidence of front running or any other form of cheating. Idiots lose money on bad trades every day with no cheating involved, and then they try to excuse their failures by falsely claiming that someone took advantage of them. Math skills alone are only a minor factor in trading.

“Stupid is as stupid does.”

- Forrest Gump, 1994

Re: Algorithmic Trading: A Practitioner’s Guide

#130

Post by bidirectional » Mon, Feb 13, 2023, 9:15 PM UTC

paulpauper wrote: post #48

TuringNYC wrote: post #33

Earlier quoted context omitted.

>> Someone who merely bought and held tech stocks, like Apple & Nvidia, beat virtually all funds since 2009. This is both absolutely correct, and entirely in-actionable since it uses hindsight. The question would be...what are the two stocks to buy to beat the market for the next 13yrs.

It does not have to be as cherrypicked as individual stocks. Even something as broad as 'buying and holding an index fund' beats almost all funds and strategies. Doesn't quant funds also rely on hindsight? There are no guarantees that strategies will keep working.

> Even something as broad as 'buying and holding an index fund' beats almost all funds and strategies.

How do you come to believe something so blatantly false and naive? Is this due to the proliferation of the (good) advice that most Americans are best off saving for retirement in index funds?