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Show HN: Bateman, a stock trading system I'm working on

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Re: Show HN: Bateman, a stock trading system I'm working on

#41

Post by henning »

minimax wrote: post #39

"And, in fact, every single one of our simulated trades was profitable, even while the stock overall was going up and down." This is a huge red flag with respect to the simulation results. You show some trades like this one > 2013-03-05 6:41,2013-03-05 7:15,14.47,14.48,LONG,5192,75145.75,52.85,100237.47 where you enter the trade and exit a penny higher. It sounds like you're just looking at the trade print and assumi…

Thanks for this. I hadn't looked at that carefully enough and need to think more about it.

Re: Show HN: Bateman, a stock trading system I'm working on

#42

Post by radikalus »

Interesting practice project; I think the distinction between algorithmic trading and HFT is largely one of semantics.

I think we just generally label the higher latency, lower frequency strategies old fashioned 'stat-arb' -- this better connotes that the 'edge' from these trades is derived out of superior mathematical modeling and not better execution.

I highly recommend decoupling the simulation/back-testing framework from your strategy work.

Building a reasonable simulator is no small task -- market data is often NOT an accurate depiction of what is executable and there's a fair number of corrections/assumptions that must be made to reflect this.

Either way, I've always liked PSO -- I highly recommend playing with DE (differential evolution) as well. I've used DE to tune parameters for many strategies with great success where SGD would have been, well, painful.

Re: Show HN: Bateman, a stock trading system I'm working on

#43

Post by nandemo »

plg wrote: post #8

I've toyed with this kind of thing before and things can look good in simulation, until I incorporated realistic effects of: - trading commissions & fees - capital gains taxes - currency exchange (for those of us "unamericans") then all of a sudden blammo, I decided I'm better off putting "investment" cash into my mortgage

You're quite right about trading fees and taxes, but what's that about being non-American? Practically all developed countries have a functioning stock exchange.

Re: Show HN: Bateman, a stock trading system I'm working on

#44

Post by lightyrs »

_this wrote: post #9

Writing a framework for running trading strategies is certainly an interesting idea. I too am dissatisfied with most commercial platforms due to lack of features and flexibility. Unfortunately, there seems to be a lack of open source code in this sector. Eclipse Trader looked kind of interesting but the project appears to be dormant now. So expanding on this project could fill that gap. However, from experience devel…

_this is the first time I've ever felt like I understood something about algorithmic trading systems. Thank you.

Re: Show HN: Bateman, a stock trading system I'm working on

#46

Post by minimax »

chollida1 wrote: post #40
minimax wrote: post #37

Earlier quoted context omitted.

"slipage is the price the trade gets executed vs. where you thought it would be." Anyone not using limit orders in an automated trading system deserves whatever they get.

That's common wisdom for the Jim Cramer crowd and the reason it's so well known is that it's good advice for the common person who doesn't understand the market. Sometimes a trading system just needs to get an order done. Having too many busted pairs can really cause your system to become ineffective fast. or put another way, limit orders are your best bet, unless they aren't:)

I'm not from the Jim Cramer crowd and it doesn't sound like you are either. If you are sending orders at the best bid/offer and you can't get filled it's probably because you're too slow. I suppose you could send a marketable limit order in at a price deeper in the book and let the exchange match it at the best price available, but that's still different from outright market (i.e. no limit) orders.

Re: Show HN: Bateman, a stock trading system I'm working on

#47

Post by DrJokepu »

jxf wrote: post #32
DrJokepu wrote: post #24

Expect a letter from a lawyer representing DC Comics demanding you to rename your product. An acquaintance of mine also launched a product (entirely unrelated to comics and toys) with the same name recently and was asked by DC Comics to change the name.

I think you misread the repo name as "Batman", but it's "Bateman", as in, Patrick Bateman, the character in American Psycho.

I didn't misread the repo name.

Re: Show HN: Bateman, a stock trading system I'm working on

#48

Post by DrJokepu »

random42 wrote: post #27
DrJokepu wrote: post #24

Expect a letter from a lawyer representing DC Comics demanding you to rename your product. An acquaintance of mine also launched a product (entirely unrelated to comics and toys) with the same name recently and was asked by DC Comics to change the name.

I am curious, on what basis he was asked to change the name? As per my understand, It is certainly not a trademark infringement, if not belonging to the same business domain.

Obviously their point was that Bateman was too close to Batman. Not being a trademarks expert, I can't comment on whether it was a trademark infringement or not, but that is besides the point. Do you want to spend time and money litigating with DC Comics?

Re: Show HN: Bateman, a stock trading system I'm working on

#49

Post by irahul »

DrJokepu wrote: post #48
random42 wrote: post #27

Earlier quoted context omitted.

I am curious, on what basis he was asked to change the name? As per my understand, It is certainly not a trademark infringement, if not belonging to the same business domain.

Obviously their point was that Bateman was too close to Batman. Not being a trademarks expert, I can't comment on whether it was a trademark infringement or not, but that is besides the point. Do you want to spend time and money litigating with DC Comics?

> Obviously their point was that Bateman was too close to Batman.

Their point is moot. DC comics will have to go after people who own 'Patrick Bateman'. This isn't infringement(nobody is going to confuse a trading software named Bateman with a book/movie character); even if it were, the owners of 'Patrick Bateman' and not DC comics can claim infringement. At most, he will have to remove the image of Christian Bale as Patrick Bateman, but I doubt it will come to it.

Also, batman.js is in business, and DC comics didn't go after them. At what grounds did they went after your friend? Naming your software batman or superman isn't infringing DC's trademarks.

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