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How I made $500k with machine learning and high frequency trading

jspauld.com

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Re: How I made $500k with machine learning and high frequency trading

#11

Post by amalag »

jcromartie wrote: post #6
jspaulding wrote: post #2

If anyone has questions for me happy to answer as best I can.

I have one question: Why doesn't every hacker do this to make extra money? Is it within the grasp of anybody who can program to automate trading like this? EDIT: Sounds like it's not really for everybody. You have to own or rent a server with access to direct lines to the exchanges, or else your lag will be such that profiting from HFT is impossible. How much do these cost?

I tried at one point to do it with Ninjatrader. The programming skills for the trading software is not complicated. What is complicated is tweaking it so it will make money, there are tons of indicators out there and many people have tried this with neural networks and the like. A lot of effort is put into it. I personally thought there were smarter people than me who barely had an edge. I honestly didn't think it was within the grasp of a single programmer nowadays, but this author has proved me wrong. He of course has much more sophisticated algorithms than what I was attempting.

Re: How I made $500k with machine learning and high frequency trading

#12

Post by jspaulding »

stickydink wrote: post #4

Looking at your first chart there, is there a reason (other than market conditions) you were making significantly more at the end of '09 than mid '10?

To be honest I don't know exactly what happened. My theory is that over time more and more market participants started integrating the types of analysis I was doing which rendered my program ineffectual. It's a pretty normal pattern that there is some inefficiency in the market and over time it disappears.

Re: How I made $500k with machine learning and high frequency trading

#17

Post by mej10 »

jspaulding wrote: post #7
fr0sty wrote: post #3

Earlier quoted context omitted.

Wouldn't the term "Statistical Arbitrage" be a more apt description of what you were doing? If you are relying on a broker-supplied pricefeed over the internet you are far outside the real of what is traditionally understood as "High Frequency Trading".

It wasn't anything over the internet. I had a server rented at my broker who were situated close to the exchanges in Chicago and had direct lines. For sure I was not the fastest but only behind by a couple milliseconds perhaps.

How much does that cost?
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