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Show HN: How I Used Machine Learning to Optimize My Trading Algorithm

quantopian.com

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Re: Show HN: How I Used Machine Learning to Optimize My Trading Algorithm

#11

Post by dunster »

spitfire wrote: post #9
dunster wrote: post #3

Earlier quoted context omitted.

There aren't a ton of hurdles left before we start offering "live trading" on Quantopian. We have all the pieces, we just need to stitch them together. A couple more months, I think. In the beginning, at least, it will be leveraged through your existing brokerage account. You're going to integrate Quantopian with your brokerage, and Quantopian will place orders for you with your brokerage. If we're as successful as w…

How about risk and money management?

Cash management is built already. We track how much you have, dividend payments, all that stuff. We've built many risk measurements, too: alpha, beta, Sortino, Information Ratio, etc.

Risk management is far more complex. Risk management is more a part of the algorithm itself than a feature that we can build. That said, we can add more risk tools. We're very open to suggestions, if you have some in mind.

Re: Show HN: How I Used Machine Learning to Optimize My Trading Algorithm

#12

Post by xntrk »

nolite wrote: post #4

sticking around for 97% drawdown? Sorry.. doing this in real life would be more stupid than anything

yeah the algo looked like it was just highly leveraged version of the benchmark. The benchmark, which you can get a better look at if you remove the algos chart looks a lot like SPX or some other US index (at least when you eyeball it). I would like to see this run against 2008s market and see what would happen.

Re: Show HN: How I Used Machine Learning to Optimize My Trading Algorithm

#13

Post by minimax »

dunster wrote: post #3
eob wrote: post #2

From the business standpoint, what are the risks/hurdles that need to be overcome for Quantopian to offer a "Operationalize Algorithm" button that starts running on real money? Surely there could be some structure in which Quantopian gets institutional trader status (or whatever the "trade for (virtually) free" status is), and then passes off the low-cost trading to its users, for a fee.

There aren't a ton of hurdles left before we start offering "live trading" on Quantopian. We have all the pieces, we just need to stitch them together. A couple more months, I think. In the beginning, at least, it will be leveraged through your existing brokerage account. You're going to integrate Quantopian with your brokerage, and Quantopian will place orders for you with your brokerage. If we're as successful as w…

the exchanges start to pay you rather than the other way around

Most US equities exchanges only pay if you post resting orders (adding liquidity / market making). You pay a fee for removing liquidity (market orders). I think you are actually talking about internal matching at the broker here?

Re: Show HN: How I Used Machine Learning to Optimize My Trading Algorithm

#14

Post by dunster »

xntrk wrote: post #12
nolite wrote: post #4

sticking around for 97% drawdown? Sorry.. doing this in real life would be more stupid than anything

yeah the algo looked like it was just highly leveraged version of the benchmark. The benchmark, which you can get a better look at if you remove the algos chart looks a lot like SPX or some other US index (at least when you eyeball it). I would like to see this run against 2008s market and see what would happen.

The benchmark on Quantopian is indeed modeled after the S&P 500.

How would the algo do in 2008? It's trivial for you to check it yourself. Click the "clone algo" button, change the time range of the test, and click "Run Backtest." Question answered!

Re: Show HN: How I Used Machine Learning to Optimize My Trading Algorithm

#19

Post by dunster »

aneth4 wrote: post #17

Has anyone consistently beat the market with a home grown trading algorithm? I suspect it's possible but probably needs more signal than just stock price.

Aneth. . . . you're reading our mind. Come back to Quantopian on Thursday. I think you'll like what you see.

Yes, there are people who trade today and make money using algorithms. They are few and far between, mostly because the toolset is so hard to build. Data, backtester, trading platform, etc. all take a long time to build. We're trying to make it much easier by providing all the tools. You need an idea; we'll make the rest work for you.

Re: Show HN: How I Used Machine Learning to Optimize My Trading Algorithm

#20

Post by yummyfajitas »

aneth4 wrote: post #17

Has anyone consistently beat the market with a home grown trading algorithm? I suspect it's possible but probably needs more signal than just stock price.

Not that I know of. Typically after they start beating the market for a while and get a few $M in the bank, they hire other people and build infrastructure. Then the algorithm ceases to be "home grown".
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