271–280 of 311 posts
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> Nonsense - what could be more beneficial to society than providing imaginary "liquidity" by interposing yourself between legitimate buyers and sellers? Now when I say the same thing about index funds people get all huffy
forget index funds, you could say the same thing about supermarkets. Pointless middlemen!
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Nonsense - what could be more beneficial to society than providing imaginary "liquidity" by interposing yourself between legitimate buyers and sellers? It's a bit like stock brokers - and why wouldn't we want stock brokers to operate at drastically faster-than-human timescales, because we all know the value of a company changes every nanosecond! And "flash crashes" create opportunities for investors to make huge amou…
> Nonsense - what could be more beneficial to society than providing imaginary "liquidity" by interposing yourself between legitimate buyers and sellers? Now when I say the same thing about index funds people get all huffy
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It's quite a statement. You're almost saying capitalism and efficient markets are pointless. Maybe they are, but I think it's nothing like crypto. In the old days before HFT, you weren't sure you'd get the best price. You'd have to rely on a broker to make sure that happens, but as a retail trader you generally got a worse price/out of date price. Nowadays with HFT you can get pretty much the best price anywhere. Tho…
> efficient markets are pointless You are profiting off workers as a middle man in the economy by doing HFT, and trying the justify it by some vague concept of the "correct price". You are producing nothing of value, merely taking away value before someone else notices it is there.
Our entire economy runs on "middlemen". Convenience has huge value to most people.
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Essentially yes. When I worked in algo trading, it never bothered me that we were extracting profits from the markets, nor that we served little social good. It felt like a step up from where I’d been before (being told that we were making the world a better place, when every engineer knew otherwise.) At least we weren’t making things obviously worse. What did bother me, and was acknowledged by my coworkers, was how…
>We as a society have managed to allocate so many of the “best and brightest” to either fintech wankery or placing ads in front of eyeballs It's nothing to do with "we as a society". I'm a quant trader and know many others, and the vast majority are in the industry because we care about making money not some leftist save the world crap. Even if socialists managed to completely destroy the financial market, we'd just…
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That makes sense to me and lines up with what buffet says about there are alot of people on wall street who can average 50% returns with 100k but once it gets into the millions it is much harder to find alpha.
I don't follow Berkshire Hathaway much, so I'm not aware of what Warren Buffet has said on this topic, but it sounds super interesting. After a bit of digging, I found this Q&A from the 2019 shareholder meeting: https://www.youtube.com/watch?v=geRIJQJXRVo&t=17980s And the meeting minutes in PDF form (see page 120, question #32): https://s3.amazonaws.com/static.contentres.com/media/documen... The text from that docume…
This is really interesting. Have your strategies out performed buy and holding index funds, or are you mainly just doing this with a small amount of capital to learn how the markets work? I have always wanted to try algorithmic trading to learn about it, but I have always read it is a fools errand to think you will beat just buy and hold.
This is going to sound crazy given all the scams out there. But I was interested in testing the idea of small compounding returns. Like, could you get a daily 0.5% compounding return. Sure, you could go all in on TSLA for example and get a 1% daily return. But, could you do that with automation, using lots of small bets, across the entire market. You can, but there is a scale issue here. In that you need to make expo…
[0]: Link to my (non-monetized and WIP) blog where I keep a collection of excerpts: https://sileret.com/projects/warren-buffet-shareholder-lette...
One of the most misunderstood concepts about algorithmic trading is that speed is not a critical factor for the majority of systems. My systems like https://grizzlybulls.com/models/vix-ta-macro-mp-extreme have been crushing the market with live trading for 3+ years and yet trade on a frequency of only once ever 18 trading days on average (some a little more often, some even less), and are set up to only generate sign…
Your chart including what looks like backtesting data starting 2009 looks a bit disingenuous. It’s a totally random starting point. It’s obviously not your actual performance, if you say you started 3 years ago. It’s made to look like your model actually outperformed the market significantly. Kudos to you if you really sit on an untapped gold mine, but imho, there are some red flags that makes me not buy in.
However, the April 2009 start date is not actually random--it's the first start date for which intraday futures data is available for more than just front month contract. Several derivative indicators of the VIX futures curve are the most foundational to all the VIX-based models, and they simply cannot be processed without it. The VIX futures were only created in 2004, and I've scoured the internet for intraday data for more than just front month (can't create the curve if you only have front month data), and the earliest it can be found is April 2009.
One of the most misunderstood concepts about algorithmic trading is that speed is not a critical factor for the majority of systems. My systems like https://grizzlybulls.com/models/vix-ta-macro-mp-extreme have been crushing the market with live trading for 3+ years and yet trade on a frequency of only once ever 18 trading days on average (some a little more often, some even less), and are set up to only generate sign…
How much external data is used for these models or human input/fine tuning on a regular basis?
It's also worth noting that every additional data source adds some risk of that data source being down or publishing inaccurate data during real-time signal calculation which can cause inaccurate signals, so in order to justify that risk, the external source must meaningfully contribute to alpha or better risk-adjusted returns.
None of them involve a human element in real-time. However, they are occasionally updated as new data comes in, but any updates only apply going forward so as to preserve the live trading history accurately (live trading start date varies by model from mid 2020 to jan 2022 with 2009 - 2020 being purely backtest for all models).