Ask HN: How to get into quantitative trading? • Hacker News Board

Re: Ask HN: How to get into quantitative trading?

#31

Post by bluepizza » Fri, Jan 26, 2024, 10:05 PM UTC

paulpauper wrote: post #29

worik wrote: post #17

You should know this is a really bad idea, unless loosing money is your goal "Automated" trading, even if there is an edge (and unless you are a crook, there is not) will sink you with transaction costs You should know this.

then how does renaissance technologies make so much? it can be done...no one say it is easy, but it's doable

RenTech remains a touchy subject, as their only high performing fund is closed to external investors. Their available to the public stuff performs much less than their closed fund.

Re: Ask HN: How to get into quantitative trading?

#32

Post by aleksiy123 » Fri, Jan 26, 2024, 10:07 PM UTC

I played around with https://www.quantconnect.com/

Its a platform where you just focus on implementing strategy. Was fun but I realised it would be more work than just getting a better job.

I'm sure there are others as well.

Re: Ask HN: How to get into quantitative trading?

#33

Post by markus_zhang » Fri, Jan 26, 2024, 10:12 PM UTC

Just curious, is there still non-quantitative professional (not-retail) trading in the forex or future or fixed income market?

Re: Ask HN: How to get into quantitative trading?

#34

Post by lockdown22 » Fri, Jan 26, 2024, 10:32 PM UTC

Not sure if Options trading for Income / Theta harvesting counts as Quantitative trading, but I found success here.

Long story short: I created an option backtester (MesoSim) and started analyzing public domain trades.

I have a couple of listed in this blog: https://blog.deltaray.io/tags/strategies/

If you are interested I'd suggest taking a look at the Weekend Effect, it's relatively easy to understand.

Best luck to you getting back to trading!

Re: Ask HN: How to get into quantitative trading?

#35

Post by 1letterunixname » Fri, Jan 26, 2024, 10:36 PM UTC

worik wrote: post #17

You should know this is a really bad idea, unless loosing money is your goal "Automated" trading, even if there is an edge (and unless you are a crook, there is not) will sink you with transaction costs You should know this.

LTCM enters the chat

Re: Ask HN: How to get into quantitative trading?

#36

Post by chronic38202 » Fri, Jan 26, 2024, 10:39 PM UTC

metabro wrote: post #30

chronic74930 wrote: post #21

Earlier quoted context omitted.

> You should know this. Anyone who worked in quantitative trading knows you can consistently outperform the S&P500/VTI/SPY over 20+ year horizons. Buy and hold passive US equity index funds gives a Sharpe ratio of ~0.7 with annual return of 8-10%. Meanwhile, high frequency trading does upward of Sharpe 10+ with 40-60% annual return, with 10+ year track records, of course. Hell, even Citadel hedge fund, after their ri…

How many hedge funds are there? A few thousand? How many beat the s&p? Of those how much can be attributed statistically to skill rather than luck?

> How many hedge funds are there? A few thousand? How many beat the s&p?

The average index fund fails to outperform the S&P.

How many passive index funds are there worldwide? Thousands? How many beat VTI or S&P500? Answer: QQQ and small cap.

> Of those how much can be attributed statistically to skill rather than luck?

If you are picking S&P as your champion, then I am allowed to pick a hedge fund as my champion.

And Citadel outperforms S&P over 20+ year horizon. Citadel 19% vs S&P 10%.

Re: Ask HN: How to get into quantitative trading?

#37

Post by 1letterunixname » Fri, Jan 26, 2024, 10:41 PM UTC

chronic74930 wrote: post #21

worik wrote: post #17

You should know this is a really bad idea, unless loosing money is your goal "Automated" trading, even if there is an edge (and unless you are a crook, there is not) will sink you with transaction costs You should know this.

> You should know this. Anyone who worked in quantitative trading knows you can consistently outperform the S&P500/VTI/SPY over 20+ year horizons. Buy and hold passive US equity index funds gives a Sharpe ratio of ~0.7 with annual return of 8-10%. Meanwhile, high frequency trading does upward of Sharpe 10+ with 40-60% annual return, with 10+ year track records, of course. Hell, even Citadel hedge fund, after their ri…

Individuals tends to lack the data sources, low latency access, strats, controls, deep bench, and deep pockets to make serious money. It's less risky to pool money with other smart rich bastards at shops that perform. Division of labor, specialization of trade.

Re: Ask HN: How to get into quantitative trading?

#38

Post by bmitc » Fri, Jan 26, 2024, 10:43 PM UTC

bluepizza wrote: post #31

paulpauper wrote: post #29

Earlier quoted context omitted.

then how does renaissance technologies make so much? it can be done...no one say it is easy, but it's doable

RenTech remains a touchy subject, as their only high performing fund is closed to external investors. Their available to the public stuff performs much less than their closed fund.

Medallion was open to external investors. They closed it because Medallion has an approximate $10 billion cap before it moves the market too much and starts losing money and thus they just keep it to themselves. So they no longer need capital from outside investors. And why make others money when you can make yourself money?

Their other funds can't just do what Medallion does, otherwise you are just increasing the cap of Medallion and thus hurting it, which is why they aren't as successful.

Re: Ask HN: How to get into quantitative trading?

#39

Post by MuffinFlavored » Fri, Jan 26, 2024, 10:45 PM UTC

chronic74930 wrote: post #21

worik wrote: post #17

You should know this is a really bad idea, unless loosing money is your goal "Automated" trading, even if there is an edge (and unless you are a crook, there is not) will sink you with transaction costs You should know this.

> You should know this. Anyone who worked in quantitative trading knows you can consistently outperform the S&P500/VTI/SPY over 20+ year horizons. Buy and hold passive US equity index funds gives a Sharpe ratio of ~0.7 with annual return of 8-10%. Meanwhile, high frequency trading does upward of Sharpe 10+ with 40-60% annual return, with 10+ year track records, of course. Hell, even Citadel hedge fund, after their ri…

Slightly related: what are "big players" more likely to do to get exposure to the S&P directionally:

1. SPY shares long/short on margin/leverage

1. SPY options

1. SPX options

1. /ES e-mini futures

1. a blend of all

Does one trump another in popularity?

Re: Ask HN: How to get into quantitative trading?

#40

Post by eps » Fri, Jan 26, 2024, 10:45 PM UTC

panarky wrote: post #22

chronic74930 wrote: post #21

Earlier quoted context omitted.

> You should know this. Anyone who worked in quantitative trading knows you can consistently outperform the S&P500/VTI/SPY over 20+ year horizons. Buy and hold passive US equity index funds gives a Sharpe ratio of ~0.7 with annual return of 8-10%. Meanwhile, high frequency trading does upward of Sharpe 10+ with 40-60% annual return, with 10+ year track records, of course. Hell, even Citadel hedge fund, after their ri…

Nobody's saying that alpha doesn't exist. But before you unleash your automated proprietary model, you should be able to explain why you think you have any edge whatsoever over your far better funded, far more experienced counterparties. And, no, getting great results from backtesting your model is not evidence of edge in the future against adversaries with access to better data than you have.

> you should be able to explain

RenTech famously tried to understand exact mechanics of their successful models after they (models) proved to be successful. Sometimes they succeeded.