How I made $500k with machine learning and high frequency trading
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Re: How I made $500k with machine learning and high frequency trading
#2If anyone has questions for me happy to answer as best I can.
Re: How I made $500k with machine learning and high frequency trading
#3If anyone has questions for me happy to answer as best I can.
Wouldn't the term "Statistical Arbitrage" be a more apt description of what you were doing?
If you are relying on a broker-supplied pricefeed over the internet you are far outside the real of what is traditionally understood as "High Frequency Trading".
Re: How I made $500k with machine learning and high frequency trading
#4Looking at your first chart there, is there a reason (other than market conditions) you were making significantly more at the end of '09 than mid '10?
Re: How I made $500k with machine learning and high frequency trading
#5If anyone has questions for me happy to answer as best I can.
Do you know of any resources/books to learn trading/HFT in general?
Re: How I made $500k with machine learning and high frequency trading
#6If anyone has questions for me happy to answer as best I can.
I have one question:
Why doesn't every hacker do this to make extra money? Is it within the grasp of anybody who can program to automate trading like this?
EDIT: Sounds like it's not really for everybody. You have to own or rent a server with access to direct lines to the exchanges, or else your lag will be such that profiting from HFT is impossible. How much do these cost?
Re: How I made $500k with machine learning and high frequency trading
#7If anyone has questions for me happy to answer as best I can.
Wouldn't the term "Statistical Arbitrage" be a more apt description of what you were doing? If you are relying on a broker-supplied pricefeed over the internet you are far outside the real of what is traditionally understood as "High Frequency Trading".
It wasn't anything over the internet. I had a server rented at my broker who were situated close to the exchanges in Chicago and had direct lines. For sure I was not the fastest but only behind by a couple milliseconds perhaps.
Re: How I made $500k with machine learning and high frequency trading
#8If anyone has questions for me happy to answer as best I can.
Thanks for the post. Is this the software you used?
http://www.ctsfutures.com/t4.aspx
Would be even more awesome if you could share some code on github.
Re: How I made $500k with machine learning and high frequency trading
#9You said "Growth stopped" but your P&L shows negative growth approaching zero. Would it be more fair to say that your profitability turned to zero?
Re: How I made $500k with machine learning and high frequency trading
#10Could you comment on how your "curve fitting" algorithm worked? Did you end up with an equation for each curve? Im working on something that requires curve fitting and any kind of tip would be helpful.