I'am thinking btw to make a portal / forum / subreddit about this topic. Anyone interested ? What format will you prefer ? Subreddit / special forum ?
Ask HN: Automate Stock Trading?
71–77 of 77 posts
Re: Ask HN: Automate Stock Trading?
#72Would you like to team up and build something? I have some ideas that can help build better algorithms. curran736 at gmail.com
Re: Ask HN: Automate Stock Trading?
#73[deleted]
Re: Ask HN: Automate Stock Trading?
#74Someone can please give me some trustworthy, scientific reading material to give people asking me to proof the point 'systematically beating index performance on the stock market, using only public available data, is not possible'? Intuitively i understand this is true, so no need for holywar. Same also applies to commodities trading.
You don't need scientific proof or reading material - the theory you are trying to prove is wrong. Just look at the number of billionaires who have decades long 20,30,50% average returns - not possible by chance. The efficient market hypothesis believers say that these people were lucky. People who say that don't understand probability. The probability of winning big one year is probably not that rare - lotto win sor…
Richard Dennis is a weird example to use, given that he ended his career losing tons of other peoples money.
If anything he is a perfect example of luck...
Re: Ask HN: Automate Stock Trading?
#75Earlier quoted context omitted.
You don't need scientific proof or reading material - the theory you are trying to prove is wrong. Just look at the number of billionaires who have decades long 20,30,50% average returns - not possible by chance. The efficient market hypothesis believers say that these people were lucky. People who say that don't understand probability. The probability of winning big one year is probably not that rare - lotto win sor…
Richard Dennis is a weird example to use, given that he ended his career losing tons of other peoples money . If anything he is a perfect example of luck...
Well, no.
The fact that Richard Dennis chose to stop taking customer money after a bad loss in the 87 crash proves nothing.
The EMT/EMH states that because all the information is in the he public domain, returns above market over time are not possible. Anyone with the slightest interest in human nature understands that two different people with the same information can come to two entirely separate conclusions. Any glance at election results will tell you that.
Richard Dennis developed a system that produced outsized returns over a long period of time using public information. He then taught this system to others, who then used it to also make outsized returns using public information. Thus disproving the hypothesis.
The fact that he gave back a small portion of his total returns in a particular market event doesn't change the basic facts. Even if his strategy no longer works, the fact that it did work for a long period of time disproves the theory. He was able to use public information to decide to abandon the strategy when it no longer worked.
Re: Ask HN: Automate Stock Trading?
#76Earlier quoted context omitted.
Richard Dennis is a weird example to use, given that he ended his career losing tons of other peoples money . If anything he is a perfect example of luck...
Well, no. The fact that Richard Dennis chose to stop taking customer money after a bad loss in the 87 crash proves nothing. The EMT/EMH states that because all the information is in the he public domain, returns above market over time are not possible. Anyone with the slightest interest in human nature understands that two different people with the same information can come to two entirely separate conclusions. Any g…
I certainly am not the person to backup the EMH (my complaints about it are more about the lack of provability/usefulness) but you are completely misstating some very central points about the EMH and more specifically about Richard Dennis.
1 - no version, even the most strict, of the EMH claims that returns above market over time are not possible. The claims are about the prices of assets and their relation to information. So even a very strict interpretation of the EMH wouldn't say you can't make above market returns over time, only that you can't do it because you know something no one else does. Random movements or other non-knowable events are not part of the EMH.
2 - all EMH versions talk about risk adjusted returns. So if you place an incredibly risky bet, that pays off, that does not violate any form of the EMH. The Dennis system was particularly risky, especially in comparison to other market participants like him.
3 - Dennis' system did not perform well over a long period. The system does not perform well past 1986 and was only first codified in either 1983 or 84. Dennis performed better over that time, but his system did not. This is evidence that he was lucky, not beating an efficient market. Even if we take the most charitable view of Dennis' system, not that it was luck, rather it was some new found previously unknown information, that backs up less strict forms of the efficient market hypothesis. The market responded to the actors in it finding an inefficiency by making that efficient to the point of the opportunity disappearing.
Re: Ask HN: Automate Stock Trading?
#77Earlier quoted context omitted.
Yummyfajitas, that's exactly why I do not want human input. Also, I'm not trying to make money on every bet, but to make more money in my winning bets (less fees) than I lose in my losing bets.
What I'm trying to convey is that you do have human input even for a pure algo strategy. If you acknowledge it exists, attempt to minimize it and manage what remains, you are far less likely to have it cause you problems.
That's fair enough. Total autonomy can be pursued, not necessarily achieved, so better to accommodate and minimize the imperfections