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NautilusTrader: Open-source algorithmic trading platform

nautilustrader.io

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Re: NautilusTrader: Open-source algorithmic trading platform

#91

Post by blitzar »

mtlynch wrote: post #65
jjangkke wrote: post #43

I used to trade options and had about 99.5% success on all my trades The problem is the 0.5% of the time, it erases all the gains made on the successful ones. I'm convinced without information edge or some capital sunk cost edge (for HFT) you are literally just flipping coins when it comes to trading. What's dangerous is fixation on strategies that form after a period of success. All in all, I think just buying stock…

> I used to trade options and had about 99.5% success on all my trades Do you mean this literally or is that an exaggeration for effect? I'm not sure how you'd do that unless all your trades are like selling a put with a $50 strike price expiring in a month when the stock is trading at $100.

> 99.5% success on all my trades

Winning trades made $0.01, losing trades lost $10k.

Re: NautilusTrader: Open-source algorithmic trading platform

#92

Post by OutOfHere »

adamiscool8 wrote: post #89
mapontosevenths wrote: post #88

Earlier quoted context omitted.

OutOfHere gets it. Think about it in terms of probability. The closer to the current price your stop loss is the higher the odds of it being triggered by random market fluctuations. The same applies to your profit target. This means that if your profit mark is $10, and your stop loss is $5 you will lose roughly twice as often as you win, all other things being equal. What you actually CAN do is use smart money manage…

All of these points are irrelevant. If you have the data that shows 99.5% win rate, you would have the data on your expected win size, and could compute a fixed loss stop that would keep you on-side. In the example, which I'm assuming must be hyperbolic, your average win would only need to stay >1/199th of your average loss. I would agree that if a person cannot manage their positions to this, that person should stic…

The market is adaptive, particularly with options, and will adapt to bust your approach in a heartbeat. It will in general adapt to bust a lot more sophisticated approaches. This is not physics. The underlying assumptions change.

Re: NautilusTrader: Open-source algorithmic trading platform

#93

Post by flessner »

cosmicgadget wrote: post #72
Projectiboga wrote: post #58

Earlier quoted context omitted.

The best is just buying the whole market via a index fund. Much lower management and overhead costs. Trying to trade without being online all the time is a battle against time delays and costs. To buy stocks, and especially options you are always against the bid/ask spread. The basic math problem for a statistics major is the Gambler's ruin problem. And basically your chances are your money over the whole table's mon…

This is what passive traders tell themselves to feel better about letting institutionals have free reign with their money. If there was a best strategy basic economics would tell you that it immediately becomes not the best strategy.

When you look at the market with a zero-sum perspective it becomes apparent that both active and passive investors earn average market returns - collectively they by definition are the market.

However, active investors have higher trading fees/management costs, so they are bound to perform at least slightly worse on average. It's just mathematics.

Re: NautilusTrader: Open-source algorithmic trading platform

#94

Post by OldfieldFund »

jjangkke wrote: post #43

I used to trade options and had about 99.5% success on all my trades The problem is the 0.5% of the time, it erases all the gains made on the successful ones. I'm convinced without information edge or some capital sunk cost edge (for HFT) you are literally just flipping coins when it comes to trading. What's dangerous is fixation on strategies that form after a period of success. All in all, I think just buying stock…

This is 100% accurate.

The only way to make money for 99.999% of traders is to trade with a firm. You should not trade on your own. You will lose in the long term.

Re: NautilusTrader: Open-source algorithmic trading platform

#95

Post by Kranar »

pawelduda wrote: post #76
cosmicgadget wrote: post #72

Earlier quoted context omitted.

This is what passive traders tell themselves to feel better about letting institutionals have free reign with their money. If there was a best strategy basic economics would tell you that it immediately becomes not the best strategy.

Can you elaborate?

I won't elaborate too much, but consider a situation where the vast majority of of participants just bought a basket of diversified index funds and what the effect would be on the stock market... it would effectively entrench existing companies at their current levels. Regardless of whether Apple or Microsoft or whoever is profitable or not profitable, their relative market cap would basically remain static since people are not buying stocks on the basis of performance but simply buying stocks on the basis of their relative market cap as it existed at some moment in time.

Index funds work because not everyone buys them, they work because the majority of capital is allocated and constantly being rebalanced in a way that tries to reflect the performance of a corporation. It's only in this circumstance that an index fund, or any kind of passive investment, can be of any utility by leveraging the work of those who are actively trying to assess the genuine value of a corporation.

Re: NautilusTrader: Open-source algorithmic trading platform

#96

Post by pawelduda »

Kranar wrote: post #95
pawelduda wrote: post #76

Earlier quoted context omitted.

Can you elaborate?

I won't elaborate too much, but consider a situation where the vast majority of of participants just bought a basket of diversified index funds and what the effect would be on the stock market... it would effectively entrench existing companies at their current levels. Regardless of whether Apple or Microsoft or whoever is profitable or not profitable, their relative market cap would basically remain static since peo…

Thank you! I think it makes sense

Re: NautilusTrader: Open-source algorithmic trading platform

#97

Post by adamiscool8 »

OutOfHere wrote: post #92
adamiscool8 wrote: post #89

Earlier quoted context omitted.

All of these points are irrelevant. If you have the data that shows 99.5% win rate, you would have the data on your expected win size, and could compute a fixed loss stop that would keep you on-side. In the example, which I'm assuming must be hyperbolic, your average win would only need to stay >1/199th of your average loss. I would agree that if a person cannot manage their positions to this, that person should stic…

The market is adaptive, particularly with options, and will adapt to bust your approach in a heartbeat. It will in general adapt to bust a lot more sophisticated approaches. This is not physics. The underlying assumptions change.

In general, yes - no edge is forever. But that doesn't mean trading is a coin flip where no edge can exist. The market is adaptive because humans are adaptive - but, for example, their machine offspring are often slightly less adaptive and create opportunities for persistent returns. Even more so for most retail where your position size isn't creating slippage.

Re: NautilusTrader: Open-source algorithmic trading platform

#98

Post by OldfieldFund »

SilverElfin wrote: post #59
iav wrote: post #36

This is pretty comprehensive. I work at a quant firm, and we don't even have some of this implemented in code. The tricky part is always going to be the integration. Nautilus has its own OMS system, but so does IBKR, and there is no guarantee that they are going to match. For very small funds, running entirely on IBKR platform (or Alpaca if you can live with their constraints) makes sense. For very large funds, you i…

Since you work in a quant firm, I am curious if there are any good public resources to learn about the techniques used by such firms. Aimed at a novice I mean. I’ve always had a curiosity about it, but I feel like whatever I can find is more basic than what is truly being done in production.

I work at a fund, and you need millions in capital and infra. It really doesn't make sense to trade as a retail investor. Look up Dimitri Bianco on YouTube; he's quite reputable and explains why it's not really feasible to trade with your own money.

In my opinion: If you trade, trade with a firm.

Re: NautilusTrader: Open-source algorithmic trading platform

#99

Post by antognini »

browningstreet wrote: post #18

I've been wading into algo-trading for a little while now. I've read a few books, set up a few strategies on paper trading platforms. Right now I'm trying to figure out how to consistently make $1/day as a POC exercise. That's it. I did ask the various advanced LLMs the path to earning/clearing $200K/year as an algo-trader. Fun & sobering responses. I'll give the LLMs this -- no uplift in these conversations.

> Right now I'm trying to figure out how to consistently make $1/day as a POC exercise.

You can do this with the following strategy:

1. Buy $10,000 of Treasury bonds.

It might be more interesting to target a particular Sharpe ratio rather than an absolute dollar amount since that will be proportional to the amount you invest.

Re: NautilusTrader: Open-source algorithmic trading platform

#100

Post by mac-attack »

er4hn wrote: post #67
augment_me wrote: post #51

Earlier quoted context omitted.

Have exactly the same experience as you. Had a period in my college days where I had a neural network running that could successfully trade on patterns of periodicity of non-chaotic windows of the asset. But as soon as the system would go back to being chaotic, and there was no way to identify WHEN the system was chaotic and when it wasn't, the trades would go to shit and I would lose all gains. I was up about 400-45…

Is this the financial version of the 3-body problem?

A deep cut
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