Introduction to Zipline: A Trading Library for Python
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Introduction to Zipline: A Trading Library for Python
1–10 of 155 posts
Re: Introduction to Zipline: A Trading Library for Python
#2I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous....
I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't.
I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer scientist. I'll just fire up R or python and apply some machine learning to the markets and watch the money roll in" is staggering.
I mean each day 100's of Phd's start with clean market data, more data sources than you could possibly think of and statistical back testing systems that have 1000's of man hours put into them, trying to find a way to make money.
After all of that if you really want to I wrote this in response to an Ask Hacker News a little while ago
https://news.ycombinator.com/item?id=11352562
TL/DR - focus on time periods greater than a day
- expect to lose money
- expect to take a year to figure out some edge in the market
- most decent trading strategies that a normal person can use come from economic/market insights first and technology second.
The site: https://www.quantstart.com/ is also decent at bringing you up to speed on the math you'll need to know though I believe that the material there oversells how easy it is to find a decent trading strategy.
Re: Introduction to Zipline: A Trading Library for Python
#3I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…
I never understood this. If its possible to be a profitable independent day trader, and we know it is because many are, then it should be possible to code the rules you follow and become a profitable algo trader.
Re: Introduction to Zipline: A Trading Library for Python
#4I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…
I don't know anything about algorithmic trading, but I'm just wondering, are the people who do make money lots of money out of it, those who have servers close to the data source, who do high frequency trades.
Re: Introduction to Zipline: A Trading Library for Python
#5I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…
I don't know anything about algorithmic trading, but I'm just wondering, are the people who do make money lots of money out of it, those who have servers close to the data source, who do high frequency trades.
No. Compare any big banks revenues from trading against the revenues of a public HFT firm like virtu. No contest.
Re: Introduction to Zipline: A Trading Library for Python
#6I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…
I never understood this. If its possible to be a profitable independent day trader, and we know it is because many are, then it should be possible to code the rules you follow and become a profitable algo trader.
It's a slightly different thing though, being an independent trader isn't the same as becoming an independent trader.
A trader that is independent may still have advantages that prevent some random programmer from bootstrapping his/her way to also being an independent trader.
Just thinking out loud though, I'm not a trader of any sort.
Re: Introduction to Zipline: A Trading Library for Python
#7I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…
I never understood this. If its possible to be a profitable independent day trader, and we know it is because many are, then it should be possible to code the rules you follow and become a profitable algo trader.
Its not as simple as converting rules followed by independent day trader into algorithms - most of them just do not rely on just technical analysis but also on fundamentals which is hard problem to decipher with all the hype around any stocks in the news and analyst of institutional investors influencing with the media news through various sources.
The best for you to start learning - would be to get a start on how the market works - my suggestion would be - https://www.amazon.com/dp/B000THOD1G/
Re: Introduction to Zipline: A Trading Library for Python
#8I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…
I never understood this. If its possible to be a profitable independent day trader, and we know it is because many are, then it should be possible to code the rules you follow and become a profitable algo trader.
A lot of day trading is done based on intuition, which is difficult to translate to code. Also, keep in mind your survivorship bias... Most "day traders" lose money and quit the game.
Re: Introduction to Zipline: A Trading Library for Python
#9I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…
I don't know anything about algorithmic trading, but I'm just wondering, are the people who do make money lots of money out of it, those who have servers close to the data source, who do high frequency trades.
algorithmic trading doesn't equal high frequency trading. people conflate these a lot even though they know better. high frequency trading requires algorithmic trading. but algorithmic trading can implement warren buffet or suzi orman's style if thats what you wanted.
Re: Introduction to Zipline: A Trading Library for Python
#10I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…
I never understood this. If its possible to be a profitable independent day trader, and we know it is because many are, then it should be possible to code the rules you follow and become a profitable algo trader.
There are many strategies that are difficult to encode into an algorithm. When I briefly did day trading independently, my most profitable strategies played on public perception and (over)reactions to news. Those things are very, very difficult to properly automate (though many companies try, with varying degrees of success).