41–50 of 320 posts
If anyone has questions for me happy to answer as best I can.
This is just glorified gambling. I am not sure what special insight or advantage he had, other than his own model. Every trader has a model. It could have easily been called "how i lost 500k with machine learning". Like gambling, it's easy to manipulate statistics to show that you did well in some period of time. I worked for a large investment bank about 10 years ago, writing trading programs for quant traders who w…
I tried to address this concern at the start of my post. If you have some idea of how I manipulated the statistics I'd be happy to respond. Having said that I can agree that my case is pretty unusual and that everyone should beware of attempting to do something like this. Even for myself I couldn't do it now. (There is a reason I turned my program off.)
This is just glorified gambling. I am not sure what special insight or advantage he had, other than his own model. Every trader has a model. It could have easily been called "how i lost 500k with machine learning". Like gambling, it's easy to manipulate statistics to show that you did well in some period of time. I worked for a large investment bank about 10 years ago, writing trading programs for quant traders who w…
I cannot emphasize how important it is to understand that people who trade using price action (http://en.wikipedia.org/wiki/Price_action_trading ) are just speculating based on where they expect the price to move. It's no different than people who play Texas Hold'em online and speculate what cards others have based on betting patterns. If you get good at spotting the patterns (like this guy did) you can go on a winning streak, but when the game changes (as it did for this individual after 2009) then you either go home or go broke.
This guy found one edge in 2009. It won him 500k. Fantastic. More than any edge ever won me. But, the market has changed so much since then, with HFT becoming so prevalent (http://www.theverge.com/2012/8/7/3226187/high-frequency-trad... ) that please be careful before you follow this course. His code is unlikely to be worth much today unmodified, and when you modify it you'll realize, as I have, that when the other players have access to the order books and can jump the line you have no chance in the game in 2012.
One last nit: Please, please post recent data when you talk about projects like this. 2009-2010 is 3 years ago. Since then there was significant turmoil in the US, Asia, and the EU. How are these returns relevant for today?
The charts show he was trading between Jun 2009 and Oct 2010. How much of his gains could be attributed to the market recovery in general? The Dow went from about 7000 to 11000, the Russell from about 600 to 800.
Would you be able to open source any of the code behind your trading system? Maybe not the "secret sauce", but it would be interesting to see how you processed the data feeds, modeled the data, entered orders, etc.
I certainly could open source it. I may just wait a bit on the off chance that somebody wants to purchase it.
This is just glorified gambling. I am not sure what special insight or advantage he had, other than his own model. Every trader has a model. It could have easily been called "how i lost 500k with machine learning". Like gambling, it's easy to manipulate statistics to show that you did well in some period of time. I worked for a large investment bank about 10 years ago, writing trading programs for quant traders who w…
If your net exposure is small, but that's only because you're offsetting various positions then you're probably picking up nickels in front of the volatility steamroller & if you stay in the market long enough you'll get squashed at some point.
Looking 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?
To be honest I don't know exactly what happened. My theory is that over time more and more market participants started integrating the types of analysis I was doing which rendered my program ineffectual. It's a pretty normal pattern that there is some inefficiency in the market and over time it disappears.
This is just glorified gambling. I am not sure what special insight or advantage he had, other than his own model. Every trader has a model. It could have easily been called "how i lost 500k with machine learning". Like gambling, it's easy to manipulate statistics to show that you did well in some period of time. I worked for a large investment bank about 10 years ago, writing trading programs for quant traders who w…
(And indeed, living is gambling. It's all just a matter of the risk/reward portfolie).
But jspauld has apparently made $2/trade after fees on 250,000 trading, with a very small standard deviation (I would guess less than $2/trade) - which makes it one of the best businesses one could ever have.
You can't live without gambling - by e.g. going to be a salaried employee for Yahoo rather than Google or that weird newfangled "TheFacebook" thingy back in 2004, was a gamble.
jspauld, statistically speaking, has made less of a gamble there than almost anyone else posting on HN.
> So, everyone else, beware of making this a case study in how to make lots of money really fast. You are more likely to lose money.
True. But that's true for every single success story posted on HN, reddit, or USAToday.
Looking 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?
To be honest I don't know exactly what happened. My theory is that over time more and more market participants started integrating the types of analysis I was doing which rendered my program ineffectual. It's a pretty normal pattern that there is some inefficiency in the market and over time it disappears.
Were you compounding the data always, or telling it to forget what was going on several months ago? Or somewhere in between?
(I'm pretty unfamiliar with machine learning, apologies if this is obvious or something)
This is just glorified gambling. I am not sure what special insight or advantage he had, other than his own model. Every trader has a model. It could have easily been called "how i lost 500k with machine learning". Like gambling, it's easy to manipulate statistics to show that you did well in some period of time. I worked for a large investment bank about 10 years ago, writing trading programs for quant traders who w…
This. I love crazy projects and Show HN's until the cows come home, but this one is dangerous that I must repeat the warning to others. I cannot emphasize how important it is to understand that people who trade using price action ( http://en.wikipedia.org/wiki/Price_action_trading ) are just speculating based on where they expect the price to move. It's no different than people who play Texas Hold'em online and specu…
You are not wrong, but what you wrote here is applicable to any success story posted on HN.
Caveat lector. Always.