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NautilusTrader: Open-source algorithmic trading platform

nautilustrader.io

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Re: NautilusTrader: Open-source algorithmic trading platform

#101

Post by mac-attack »

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.

Pennies in front of a steamroller

Re: NautilusTrader: Open-source algorithmic trading platform

#102

Post by chollida1 »

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.

It depends on how they measure profitability, but a 99% win rate isn't uncommon if you just write options.

Covered calls are a good example, you own the stock and sell calls with a strike that is in the money.

You make money on your option as it either expires worthless and you win getting to keep the premium you got paid to write the option or it expires in the money and you sell the shares to the option holder at the strike.

In both cases you can claim you didn't lose money on the option. But you did lose out on potential profit from your share as you were forced to sell them for less than they are worth on the open market and its very easy to get into a case where you would have been better off if you hadn't wrote the option in the first place.

If you manage your own money you can say you didn't lose on the option but you probably did on the underlying stock.

If the stock closes lower you lost money on the stock but make a tiny bit from selling the option.

If the stock closes higher than the strike you wrote you "make" money on the option from the premium but lose out on profit as you have to sell your stock for lower than what you could have in the market.

So again you can say the option didn't lose money but you are worse off than if you hadn't wrote the option, assuming it went up more than the premium you got from writing the option.

So amateur traders can fool themselves into thinking they are geniuses as their option leg doesn't lose money but the overall trade still makes them worse off than if they hadn't of sold the option at all.

Re: NautilusTrader: Open-source algorithmic trading platform

#103

Post by [deleted] »

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…

[deleted]

Re: NautilusTrader: Open-source algorithmic trading platform

#104

Post by lerchmo »

cosmicgadget wrote: post #62
rytill wrote: post #60

Earlier quoted context omitted.

> Boglehead > 140% gain on your holdings this year Choose one.

Generally true but nvda and pltr are normie stocks and can account for these returns from this year.

Boggle head is basically pick 2-3 vanguard etfs and check back in 25 years.

Re: NautilusTrader: Open-source algorithmic trading platform

#105

Post by overfeed »

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.

Because it lacks specific criticism, your comment feels a lot like shallow dismissal template that can be deployed against any position one disagrees with, e.g. "This is what $(non-DIYers) tell themselves to feel better about letting $(electricians) have free reign with their money". Substitute with PaaS, banks, healthcare providers as needed.

Re: NautilusTrader: Open-source algorithmic trading platform

#106

Post by dist-epoch »

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.

> The problem is the 0.5% of the time, it erases all the gains made on the successful ones.

Nassim Taleb calls this "eating like chicken and shitting like elephants"

Re: NautilusTrader: Open-source algorithmic trading platform

#107

Post by TheAlchemist »

bproctor wrote: post #80

Having wasted 6 years of my life intensively working to create an algorithmic trading system (and failing to make it consistently profitable), what they have here is the easy part. You need a system for discovering strategies. That's were almost all your effort will go. The simulator for backtesting, integrating with a broker, etc. is such a small part of it, if you're serious about it, you're probably better off wri…

This is the right comment.

This is also why people in algo trading that are able to discover or already know working strategies, they are paid big bucks.

Re: NautilusTrader: Open-source algorithmic trading platform

#108

Post by dvfjsdhgfv »

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.

As a counter-argument, from [0]:

> The Medallion Fund, which has been available exclusively to current and past employees and their families, surged 80% in 2008 despite hefty fees; the Renaissance Institutional Equities Fund (RIEF), owned by outsiders, lost money in both 2008 and 2009; RIEF declined 16% in 2008

A cynic in me would say that Simons used a better strategy for the Medallion Fund than for the RIEF.

[0] https://en.wikipedia.org/wiki/Jim_Simons#Controversies

Re: NautilusTrader: Open-source algorithmic trading platform

#109

Post by simantel »

dvfjsdhgfv wrote: post #108
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.

As a counter-argument, from [0]: > The Medallion Fund, which has been available exclusively to current and past employees and their families, surged 80% in 2008 despite hefty fees; the Renaissance Institutional Equities Fund (RIEF), owned by outsiders, lost money in both 2008 and 2009; RIEF declined 16% in 2008 A cynic in me would say that Simons used a better strategy for the Medallion Fund than for the RIEF. [0] ht…

The Medallion Fund does use a better strategy than REIF. It only worked up to a certain scale where they started moving the market though, which is why they ended up kicking out outsiders.

REIF just lets them use Medallion as marketing while getting those sweet AUM fees on a massive fund.

Re: NautilusTrader: Open-source algorithmic trading platform

#110

Post by tmountain »

antognini wrote: post #99
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.

~$1.28/day if you just buy SGOV with that 10k.
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