Show HN: Quantblocks - Backtest your trading strategies • Hacker News Board

Re: Show HN: Quantblocks - Backtest your trading strategies

#51

Post by gns24 » Fri, Sep 21, 2012, 1:51 PM UTC

startuprob wrote: post #5

greendestiny wrote: post #4

Looks cool, can I ask where you sourced the historical data from?

We're using Xignite's API right now. It's super-simple to integrate with.

That's useful to know. Is that daily data? Have you found it to be reliable? When I started testing moving-average based strategies, my blog post about it ended up being largely about data issues, from both Google and Yahoo finance: http://grahamstratton.org/straightornamental/entries/movinga... An extreme example was an opening value off by a factor of 100 on one day.

Re: Show HN: Quantblocks - Backtest your trading strategies

#52

Post by phreeza » Fri, Sep 21, 2012, 1:55 PM UTC

theorique wrote: post #42

adg001 wrote: post #8

A cautionary note on backtesting (ie, assessing how trading strategies would have performed over a historical period in time). If an a posteriori probability distribution is a good fit for historical events, it doesn't mean in any way it is going to fit future data points. It may or may not. Hence, use backtesting with care while trading.

Past performance may not be a guarantee of future performance, but it's all we've got to work with.

There are more, statistically sounder methods that could be used to search the space of possible strategies, a la bootstrapping. These could be used to make more meaningful statements about the strategy, if the assumption is that previous statistics predict future statistics, which of course might also be false (black swans, etc.)

Given the vast amount of parameters that constitute a strategy, naive optimizing of the outcome of the strategy in the past is bound to produce overfitting in the majority of cases...

Re: Show HN: Quantblocks - Backtest your trading strategies

#53

Post by bensw » Fri, Sep 21, 2012, 2:13 PM UTC

arturadib wrote: post #49

It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society. It's bad for the market because collectively, the buying and selling of shares based on anything other than company fundamentals (earnings, cash flow, projected growth, etc) distorts the p…

The liquidity argument is not a "cop-out." Due to algotrading, spreads have been tightened and cost of entry/exit have been lowered. While there are some problems with algorithmic trading, the alternative (going back to the specialist model) is downright insane. If you think algotraders are "ruining" the market and society, then, the specialists and traders were actively scamming everyone.

I'm glad that you have at least done a little bit of research, unlike the majority of articles that came out after Knightmare, but algorithmic trading is a net positive for both the market and society.

Re: Show HN: Quantblocks - Backtest your trading strategies

#54

Post by adg001 » Fri, Sep 21, 2012, 2:15 PM UTC

theorique wrote: post #42

adg001 wrote: post #8

A cautionary note on backtesting (ie, assessing how trading strategies would have performed over a historical period in time). If an a posteriori probability distribution is a good fit for historical events, it doesn't mean in any way it is going to fit future data points. It may or may not. Hence, use backtesting with care while trading.

Past performance may not be a guarantee of future performance, but it's all we've got to work with.

Actually, this is not accurate. Before relying on our models, we get also the opportunity to validate them by checking at what extent they successfully predicts future data points.

Simply for the next t-time periods let the model give the user an estimate of the future prices/rates, together with an estimate of how accurate the model expects these predictions to be. This would allow the user to build confidence in the algorithm strategy she/he came up with, before employing it on the open market.

Re: Show HN: Quantblocks - Backtest your trading strategies

#55

Post by bensw » Fri, Sep 21, 2012, 2:18 PM UTC

arturadib wrote: post #49

It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society. It's bad for the market because collectively, the buying and selling of shares based on anything other than company fundamentals (earnings, cash flow, projected growth, etc) distorts the p…

There are many forms of algorithmic trading--some harmful (including playing games with the order book, canceling orders, etc). The types that this site seem to assist with are not those types.

Re: Show HN: Quantblocks - Backtest your trading strategies

#56

Post by arturadib » Fri, Sep 21, 2012, 2:19 PM UTC

bensw wrote: post #53

arturadib wrote: post #49

It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society. It's bad for the market because collectively, the buying and selling of shares based on anything other than company fundamentals (earnings, cash flow, projected growth, etc) distorts the p…

The liquidity argument is not a "cop-out." Due to algotrading, spreads have been tightened and cost of entry/exit have been lowered. While there are some problems with algorithmic trading, the alternative (going back to the specialist model) is downright insane. If you think algotraders are "ruining" the market and society, then, the specialists and traders were actively scamming everyone. I'm glad that you have at l…

Who gives a rats ass about shaving off spread points? Only "traders" - not long-term investors.

Also, I have done more than "a bit of research" on the topic (I'm ashamed I was once so innocent as to make money with stat arbitrage, now I know better).

> but algorithmic trading is a net positive for both the market and society

Oh yeah? How exactly?

Re: Show HN: Quantblocks - Backtest your trading strategies

#57

Post by bensw » Fri, Sep 21, 2012, 2:23 PM UTC

arturadib wrote: post #56

bensw wrote: post #53

Earlier quoted context omitted.

The liquidity argument is not a "cop-out." Due to algotrading, spreads have been tightened and cost of entry/exit have been lowered. While there are some problems with algorithmic trading, the alternative (going back to the specialist model) is downright insane. If you think algotraders are "ruining" the market and society, then, the specialists and traders were actively scamming everyone. I'm glad that you have at l…

Who gives a rats ass about shaving off spread points? Only "traders" - not long-term investors. Also, I have done more than "a bit of research" on the topic (I'm ashamed I was once so innocent as to make money with stat arbitrage, now I know better). > but algorithmic trading is a net positive for both the market and society Oh yeah? How exactly?

Not sure how citing that spreads have been tightened since the advent of algotrading is "prejudice" or "opinon."

Re: Show HN: Quantblocks - Backtest your trading strategies

#58

Post by cynicalkane » Fri, Sep 21, 2012, 2:30 PM UTC

arturadib wrote: post #49

It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society. It's bad for the market because collectively, the buying and selling of shares based on anything other than company fundamentals (earnings, cash flow, projected growth, etc) distorts the p…

Liquidity is the reason you can click a button on E-Trade and get your trades almost instantly, for between zero and a few more pennies than what traders would pay, plus a $9.99 commission. This was absolutely not the case before computer trading and electronic markets.

The "good old days" of human traders where when you'd pay fifty bucks plus one percent to a broker who would almost certainly front-run your trades, and the best spreads were at least 1/8. Nowdays the worst that could happen is an HFT might, perfectly legally, place an order a split second faster and extract fractions of a penny as they narrow the spread for everyone. Please forgive me if I don't consider this a disaster for investors, hedgers, mutual funds, and other consumers of markets that they can quickly execute orders close to the market price.

Re: Show HN: Quantblocks - Backtest your trading strategies

#59

Post by paddy_m » Fri, Sep 21, 2012, 2:34 PM UTC

Nice polished UI. Good to see some integration in the finance space. A couple of years ago I was working on something similar idea.

One of the things we did was backtest a couple of strategies for hold with entry points of "Jim Cramer" recommended this stock on this day.

What are your backgrounds.

Ping me if you want to talk more.

Re: Show HN: Quantblocks - Backtest your trading strategies

#60

Post by arturadib » Fri, Sep 21, 2012, 2:36 PM UTC

cynicalkane wrote: post #58

arturadib wrote: post #49

It is really too bad folks keep pushing technical trading platforms to the public. The promise of quick money to be made in a sea of billions of dollars might seem innocuous, but it's (a) bad for the market and (b) bad for society. It's bad for the market because collectively, the buying and selling of shares based on anything other than company fundamentals (earnings, cash flow, projected growth, etc) distorts the p…

Liquidity is the reason you can click a button on E-Trade and get your trades almost instantly, for between zero and a few more pennies than what traders would pay, plus a $9.99 commission. This was absolutely not the case before computer trading and electronic markets. The "good old days" of human traders where when you'd pay fifty bucks plus one percent to a broker who would almost certainly front-run your trades,…

> Liquidity is the reason you can click a button on E-Trade and get your trades almost instantly

I personally don't care that my trade happens in a second or a minute because I'm a long-term investor - someone who wants to become a company owner, as I explained above, and not yet another hacker who couldn't care less about the long-term health of the company I'm buying.

My point is that if folks care about liquidity on the order of seconds/sub-seconds, they are themselves falling into the short-term trading BS (and consequently continuously distorting company prices).

Please stop perpetuating this insanity. Here's a timely article by Mark Cuban fresh out of the oven to help clarify my point:

http://blogmaverick.com/2012/09/21/what-business-is-wall-str...