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The Day I Lost a Shit-ton of Money, Part I

ptotrading.blogspot.com

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Re: The Day I Lost a Shit-ton of Money, Part I

#21

Post by joshu »

peterkto wrote: post #18
joshu wrote: post #14

Technical analysis doesn't work. Big surprise you lost money. Those guys that you thought were good at it? They lost their shorts at some point too.

I'm wrong all the time and lose money all the time. The big difference here is I let one get away from me instead of keeping it small/manageable like I always do. It was a situation where I could have controlled it and I didn't. I'm still up more than 4x what the final realized loss was in my trading career. I used to think TA was a joke. I was very skeptical before using it. I have never bothered to explain why it w…

Yeah, no. That's called anecdotes, because when you do understand probability and backtest these strategies, they are known not to work in the large.

Stat arb is what happens when you actually do statistics, and these days it's got only a slim to nil advantage.

Re: The Day I Lost a Shit-ton of Money, Part I

#22

Post by gohrt »

peterkto wrote: post #18
joshu wrote: post #14

Technical analysis doesn't work. Big surprise you lost money. Those guys that you thought were good at it? They lost their shorts at some point too.

I'm wrong all the time and lose money all the time. The big difference here is I let one get away from me instead of keeping it small/manageable like I always do. It was a situation where I could have controlled it and I didn't. I'm still up more than 4x what the final realized loss was in my trading career. I used to think TA was a joke. I was very skeptical before using it. I have never bothered to explain why it w…

Yeah, I alo made a fortune in the market except for the money I lost.

Re: The Day I Lost a Shit-ton of Money, Part I

#23

Post by Tyrant505 »

consz wrote: post #16

Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them will make money. Also, is 130k really a huge loss? I run HFT strategies, and while it would definitely be a big loss even for one of my strategies, it wouldn't be a phenomenal outlie…

I also think it's an important lesson to learn... I'd rather gain that young then older.

Re: The Day I Lost a Shit-ton of Money, Part I

#25

Post by throwaway7808 »

consz wrote: post #16

Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them will make money. Also, is 130k really a huge loss? I run HFT strategies, and while it would definitely be a big loss even for one of my strategies, it wouldn't be a phenomenal outlie…

Now you are just bullshitting. A 130k is a huge loss and a phenomental outlier. You've never had even a 100k loss on your strategies. And by current standards your strategies are not even HFT. I've seen you talking milliseconds. Nowadays people are talking sub-microseconds.

Re: The Day I Lost a Shit-ton of Money, Part I

#26

Post by consz »

throwaway7808 wrote: post #25
consz wrote: post #16

Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them will make money. Also, is 130k really a huge loss? I run HFT strategies, and while it would definitely be a big loss even for one of my strategies, it wouldn't be a phenomenal outlie…

Now you are just bullshitting. A 130k is a huge loss and a phenomental outlier. You've never had even a 100k loss on your strategies. And by current standards your strategies are not even HFT. I've seen you talking milliseconds. Nowadays people are talking sub-microseconds.

okay

Re: The Day I Lost a Shit-ton of Money, Part I

#27

Post by TylerE »

peterkto wrote: post #18
joshu wrote: post #14

Technical analysis doesn't work. Big surprise you lost money. Those guys that you thought were good at it? They lost their shorts at some point too.

I'm wrong all the time and lose money all the time. The big difference here is I let one get away from me instead of keeping it small/manageable like I always do. It was a situation where I could have controlled it and I didn't. I'm still up more than 4x what the final realized loss was in my trading career. I used to think TA was a joke. I was very skeptical before using it. I have never bothered to explain why it w…

You sound like the people I've seen on gambling forums postings about their unbeatable roulette system that they've "really won with in the long term".

Re: The Day I Lost a Shit-ton of Money, Part I

#28

Post by throwaway7808 »

consz wrote: post #26
throwaway7808 wrote: post #25

Earlier quoted context omitted.

Now you are just bullshitting. A 130k is a huge loss and a phenomental outlier. You've never had even a 100k loss on your strategies. And by current standards your strategies are not even HFT. I've seen you talking milliseconds. Nowadays people are talking sub-microseconds.

okay

Duh. Common. Describe me just one automated strategy for which $130k would not be a phenomenal outlier. And you were talking multiple strategies...

Re: The Day I Lost a Shit-ton of Money, Part I

#29

Post by consz »

throwaway7808 wrote: post #28
consz wrote: post #26

Earlier quoted context omitted.

okay

Duh. Common. Describe me just one automated strategy for which $130k would not be a phenomenal outlier. And you were talking multiple strategies...

I was talking about 130k in any one strategy. I'm sorry you misunderstood me.

A single strategy is easily capable of losing that much. Any bond futures or cash bond strategy post-FOMC. Any equity index futures strategy during Twitter "flash crash". Any strategy taking large size in a big future during early-mid October this year. Any strategy taking large size in a big future during August 2011. Any Nikkei futures strategy right after the recent QE announcement from Japan.

All of those are easily capable of dropping 130k in a day.

Re: The Day I Lost a Shit-ton of Money, Part I

#30

Post by sillysaurus3 »

throwaway7808 wrote: post #25
consz wrote: post #16

Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them will make money. Also, is 130k really a huge loss? I run HFT strategies, and while it would definitely be a big loss even for one of my strategies, it wouldn't be a phenomenal outlie…

Now you are just bullshitting. A 130k is a huge loss and a phenomental outlier. You've never had even a 100k loss on your strategies. And by current standards your strategies are not even HFT. I've seen you talking milliseconds. Nowadays people are talking sub-microseconds.

Sub-microsecond transactions seem impossible unless you're physically jacked in to the trading datacenter's network. If you try to transfer a message (like a string buffer) as quickly as possible from program A running on core 0 to program B running on core 5 on your server-grade computer, the best benchmarks I could achieve were "99% of measurements executed in fewer than 150 nanoseconds." And I worked hard on this problem. It seems like maybe you could execute a trade in ~400 nanoseconds at best, if you have a server that's connected with 10GigE directly to a NASDAQ (or whoever) box and you're bypassing how Linux normally does packet handling, but I wouldn't be surprised if the overhead of the other party's server pushes that to at least 1 microsecond in all cases.

But... now that I've examined the facts, I admit what you say may be true. Are HFTs really operating in sub-microsecond time for trades nowadays?

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