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Algorithmic Trading: A Practitioner’s Guide

henrikwarne.com

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Re: Algorithmic Trading: A Practitioner’s Guide

#141

Post by Shocka1 »

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.

I've been attempting my own strategies for around four years now, after being inspired by a data mining Master's course I was taking. It has been a long and hard road for me, and I have mostly been trying to find correlations up into this year. As a one man show with a wife and kids, my project time starts at 10pm and sometimes goes until 3 to 4am. Then I wake up at 7 and take the kids to school and work my day job. I can usually do this two or three times a week, but lately I've been going to bed early as it's been wearing me out. I've had so many 4am nights that it's probably been a bit detrimental to my health at this point.

I'm not doing any order book or HFT stuff. It's mostly mean reversion My stack is a Linux VM with MySQL, running a suite of python scripts that collect data in real time and make the automated trades through TD Ameritrade's API.

By the way, I wouldn't consider myself smart or gifted - my strength relies solely on my determination. If you were to ask me if it's worth it, I would say "mostly." At the very least I've come away with a much higher understanding of the equity/option markets, and I know much more about MySQL, Python and data mining. At this point though I'd take a job with an algorithmic firm in a heartbeat.

Re: Algorithmic Trading: A Practitioner’s Guide

#142

Post by eggy »

rawoke083600 wrote: post #110
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

Ha, yes, Lisp is the strange attractor or gravity well I always flow back into after trying other PLs. Don't get me wrong, I like Zig (to replace my old C ways), SPARK2014 (which has achieved what Rust is evolving towards), and my other loves - J and APL. That is why April was a binary black hole - the joy of Lisp with a REPL, a lot of libraries and legacy, symbolic processing, and the ability to embed diamonds of APL in the parentheses for the mathy parts. I just have plain, old fun when I open up Lisp. Immediate evaluation and hotloading code with a great IDE/editor in emacs/sly. I am learning Xah's Fly keys[1] to bring it all together to satisfy my modal thirst from vim in emacs.

Clojure is a lot of fun too, and opens up a lot of libraries to use. Dragan Rocks[2] has some great libs for ML/DL

Mark Watson is the main culprit for writing his book and having the nerve to publish it: Common LISP Modules: Artificial Intelligence in the Era of Neural Networks and Chaos Theory[3] I had been superficially studying AI then - GAs, ANNS, chaos and complexity - back in the late 80s, and this book introduced me to Lisp. Mark is sometimes on here, so Mark, thank you!

[1] https://github.com/xahlee/xah-fly-keys

[2] https://dragan.rocks/

[3] https://www.amazon.com/Common-LISP-Modules-Artificial-Intell...

Re: Algorithmic Trading: A Practitioner’s Guide

#143

Post by jwmoz »

topicseed wrote: post #140
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…

How complicated were your algo trading strategies? And have you thought of translating these to non-crypto?

They were fairly simple, using simple maths or technical indicators, or simple pandas calculations depending on the system. They all generally were based on the momentum behaviour of markets.

The hard part is the backtesting and design of strategies talking into account the science and art of it. And the absolute truth that past performance does not dictate future results.

I haven't tried non-crypto, I think I will just leave that to simple investments in tracker funds or etfs.

Re: Algorithmic Trading: A Practitioner’s Guide

#144

Post by jwmoz »

EricLeer wrote: post #114
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…

Do you have some recommendations on good books on trading systems? I work in the energy trading world, and in general the systems there are behind the financial world by ~10 years. I hope to learn more about this topic!

Try Trading Systems by Tomasini and Stocks on the move by Clenow, Python for finance. For the code side there's not much ultimately you have to build it yourself and learn.

Re: Algorithmic Trading: A Practitioner’s Guide

#145

Post by kwere »

kilgnad wrote: post #3

How would I implement algorithmic trading at home? And would this be a viable idea if I knew what I was doing? Has anyone done this successfully?

Tradestation is a broker that has tools/languages/backtesting that are oriented for systematic traders, the retail version of algorithmic trading

Re: Algorithmic Trading: A Practitioner’s Guide

#146

Post by Panzer04 »

Kranar wrote: post #138
Panzer04 wrote: post #137

Earlier quoted context omitted.

At least in Australia, IBKR used to have a fairly limited margin product that actually precluded you from being exposed to a possibly negative balance - I've probably overgeneralised that case (or thought it was more common than it is). I can't find a reference to those particular terms anymore. Obviously being IBKR, they have very aggressive auto-liquidation if you get margin called (ie. you don't get one). I did en…

Nothing you claim is stated in that document you linked and as someone who has done a great deal of business with IBKR for the better part of 15 years now as well as one of the largest market makers on the Australian markets making up approximately 5% of all ASX and CHIX volume, I assure you there absolutely no protection provided to a client whose balance enters into a negative position. Clause 3.A.e specifically st…

Fair enough - I looked at terms 7F (retail clients) - There was more context when I read about it a couple of years ago, or perhaps I'm simply misremembering (and I'm hardly a lawyer..)

Re: Algorithmic Trading: A Practitioner’s Guide

#147

Post by TimJRobinson »

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…

Did you measure your returns in USD or ETH/BTC?

I've come across many profitable traders in Crypto who only measure in USD and when you compare their results to just buying and holding ETH/BTC at the start of the cycle they come out behind. Everyone feels like a great trader in a bull market.

Re: Algorithmic Trading: A Practitioner’s Guide

#148

Post by tdullien »

Kranar wrote: post #126
tdullien wrote: post #99

Earlier quoted context omitted.

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.

I had the same impression g. Any suggestion on where to look?

Re: Algorithmic Trading: A Practitioner’s Guide

#149

Post by jeffreyrogers »

TimJRobinson wrote: post #147
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…

Did you measure your returns in USD or ETH/BTC? I've come across many profitable traders in Crypto who only measure in USD and when you compare their results to just buying and holding ETH/BTC at the start of the cycle they come out behind. Everyone feels like a great trader in a bull market.

Their risk adjusted returns could be a lot better though.
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