how is it "machine learning"? A few if-else doesn't make it "machine learning", or does it? - @curationary
How I made $500k with machine learning and high frequency trading
291–300 of 320 posts
Re: How I made $500k with machine learning and high frequency trading
#292Basically this is a story about a guy who was smart enough to script up his trading tool (he discovered that there is an API and wrote some code to use it). He trade other people's money, using other people's (probably employer's) account and resources, I suppose. His employer have paid all the fees, and, took all the risks - if there is profit - it is mine, if there is a lose - it is theirs.) The essence of trading…
Basically this is a guy who does what many other have done, look no further than elitetrader.com, but smart enough to add "machine learning" to his story headline, which is the hottest buzz term on the street this year, everyone and his mom talks about machine learning last I checked.
Re: How I made $500k with machine learning and high frequency trading
#293Earlier quoted context omitted.
"You can lose everything overnight with automated trading." Didn't your father teach you about "Stop orders" You can't have your algorithm cranking away without supervision. And to be extra sure, lots of testing and LIMITS. Limit the amount and value of orders. With stocks, worst case: you lose the face value of stocks in your portfolio Derivatives: you can lose more, even 'infinite liability' (still, it's constraine…
Stop orders don't guarantee execution or any specific limit to the loss; During a flash crash, you'll realize that a "10% stop loss" order CAN become a 50% loss.
This. I'm very familiar with stop orders. They're useless once the market goes to hell (the exact conditions you need them in).
Re: How I made $500k with machine learning and high frequency trading
#294Earlier quoted context omitted.
No, he said he backtested them against data he collected from the feeds. He paid for the feeds just like everyone else does with his own money.
For me it all looks like a bad-written fiction, and the source is just a blog post.
And that's the beauty of it - take it or leave it.
Re: How I made $500k with machine learning and high frequency trading
#295Thanks for the post, it's very inspirational.
Could you explain this part, specifically what do you mean by "bucket".
"To accomplish this I tracked predicted price moves in 50 buckets that depended on the range that the indicator value fell in. This produced unique predictions for each bucket that I was then able to graph in Excel. As you can see the expected price change increases as the indicator value increases."
Re: How I made $500k with machine learning and high frequency trading
#296Thanks for the post, it's very inspirational.
Could you explain this part, specifically what do you mean by "bucket"?
"To accomplish this I tracked predicted price moves in 50 buckets that depended on the range that the indicator value fell in. This produced unique predictions for each bucket that I was then able to graph in Excel. As you can see the expected price change increases as the indicator value increases."
Re: How I made $500k with machine learning and high frequency trading
#297Earlier quoted context omitted.
You're still missing it. Every single additional limit order in the market creates real value. If I want to buy 500 shares of company A, and one market participant is offering 250 at $10. Another is offering 250 at $11. It is going to cost me 250 x 10 + 250 x 11 = $5250. Now, the "short term speculator" you are complaining about shows up and puts his tiny little order in, he is offering 1 share at $10. Now the equati…
(Edit: "limit order" looks like technical jargon. If so, I don't know what it means. Maybe you didn't say what I thought you said) In your example, it looked like you wanted your 500 share for something else than selling them. So you're talking about "real transactions (with non-speculators) at the boundaries". So yes, those transactions are a useful service provided to you by the speculators. I'm not denying that. O…
Addendum: rereading your posts, I see that you defined "limit order". So now I understand what you said.
> Every single additional limit order in the market creates real value.
Bullshit. You don't cover the main case, where 2 speculators make a deal. Show me how value is created (not just transferred) in this case.
Re: How I made $500k with machine learning and high frequency trading
#298One comment...everything is stated in this book "Why You Could Be Destined To Fail in Trading and How You Can Avoid it!"
http://outskirtspress.com/estetrader/
Re: How I made $500k with machine learning and high frequency trading
#299Earlier quoted context omitted.
Could you please elaborate what that contribution is?
How about efficiency? People call the liquidity providing aspects of HFT 'bullshit', but computers have vastly reduced the manpower necessary to manage a market. Each futures pit used to have hundreds of traders, who required several assistants/support and commanded a huge salary. Many firms needed multiple traders in a pit, just to be able to make sure they could provide liquidity to all possible market participants…
An argument can also be made that this is a net negative contribution, as instead of a market employing hundreds of people, it's only employing dozens. Ergo, more unemployed people. While this is good for the market's owners and those currently employed to trade there, it is bad for the economy as a whole.
Re: How I made $500k with machine learning and high frequency trading
#300Earlier quoted context omitted.
It's easy to fall into that mindset. And in fact, that mindset is right back where I am now. The only reason I had the gall to attempt this in the first place was the the simple fact that I was making money at the time (in 2008) 'manually' day trading the Russell 2000. I thought this 'should not be possible' so I figured there's no reason not to try an automated program.
People will tell you that you were just a lucky monkey. But you could have run your algorithm on past data, for hundreds or thousands of fake portfolios, to tell, statistically, what the odds of your algorithm being simply lucky are. In early 2000s I wrote a machine learning algorithm that beat the S&P 100 with over 1 trillion to 1 odds against it being luck. It predicted a full trading day in advance. But that was a…
What did you end up doing with your code? Would you be able to run it today with the low-cost broker APIs?