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Building AI Trading Systems

dennybritz.com

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101–109 of 109 posts

Re: Building AI Trading Systems

#101

Post by dbs »

henning wrote: post #9

I tried doing some forecasting with various neural network models after assembling what I thought was a good amount of forex data. The neural net (I tried various architectures) couldn't do any better than chance. After playing around with it and trying to double-check everything, that was as far as I could get. This puts me ahead of most traders, since most of them lose money, then quit. This makes me wonder what ki…

You dont learn. There are two rules, you dont talk about what works and you dont talk about what doesnt work. I worked professionally in the quant space up to 2008, and i still get calls for interviews, with people wanting to dig out what i am doing nowadays. What is popular or known loses alpha pretty quickly due to overcrowding.

Re: Building AI Trading Systems

#102

Post by Jimmc414 »

smabie wrote: post #29
akg_67 wrote: post #19

Earlier quoted context omitted.

+1 Any trading strategy based only on price is fool’s errand. The information that impacts price need to be included in the trading strategy. A lot of short term price movement is news driven, thus unstructured text processing of news, social media, relevant documents will be a key component of such trading strategies. I am not that familiar with forex market compared to equity market. But I expect forex to be impact…

No successful strategy ever has been based on price. Price isn't stationary so you can't do anything with it. You need to be looking at the log returns. Price is completely irrelevant, at least for equities.

Sorry, but that is wrong. All I use is price and time. See Elliot Wave Theory. Most indicators are perfectly correlated with price meaning unless you are a HFT you can't trade fast enough to act on them.

Re: Building AI Trading Systems

#103

Post by AlexCoventry »

smabie wrote: post #79
AlexCoventry wrote: post #60

Earlier quoted context omitted.

That's the ideal described in quantopian tutorials, but I doubt it often works out that way.

From personal experience, it really does actually work that way. Not all quant firms are running traditional market neutral factor portfolios though.

How much money have you personally made with this approach?

Re: Building AI Trading Systems

#104

Post by smabie »

Jimmc414 wrote: post #102
smabie wrote: post #29

Earlier quoted context omitted.

No successful strategy ever has been based on price. Price isn't stationary so you can't do anything with it. You need to be looking at the log returns. Price is completely irrelevant, at least for equities.

Sorry, but that is wrong. All I use is price and time. See Elliot Wave Theory. Most indicators are perfectly correlated with price meaning unless you are a HFT you can't trade fast enough to act on them.

Elliot wave theory is quackery. Price is not suitable for any statistical analysis.

Re: Building AI Trading Systems

#105

Post by smabie »

steephills wrote: post #84
DSingularity wrote: post #81

Earlier quoted context omitted.

He was using that as a simple example.

Yes, I just wanted to make a point: things that have names, that have a paper written about them, that have Wikipedia pages or even Nobel prices attached to them are in the same category. The market has priced them in decades ago. Thinking you can read Fama papers to take on quant funds, like smabie is claiming at several places in this thread, is like reading Commodore manuals to take on AlphaGo.

From my analysis, there's around a 3.9% abnormal return associated with a L/S beta neutral low beta strategy (long low beta, short high beta). It's Sharpe ratio is ~1, though. 3.9% is pretty significant, especially since the beta correlation is less than 2%.

There's a reason why these factors are called "persistent." For systemic reasons, it is hard to arbitrage them away, mostly due to laws, and sometimes tax implications.

Re: Building AI Trading Systems

#106

Post by smabie »

AlexCoventry wrote: post #103
smabie wrote: post #79

Earlier quoted context omitted.

From personal experience, it really does actually work that way. Not all quant firms are running traditional market neutral factor portfolios though.

How much money have you personally made with this approach?

Market neutral strategies really only work with significant access to leverage and favorable financing. Retail investors such as myself are unable to get the kind of juice necessary to run a L/S market neutral strat.

Of course, I suppose it would be possible if you discovered some amazing alpha factor. But if you did, you probably would be better just trying to get investors.

So in short, the answer is $0. For my personal portfolio, I run (only started recently) a variable leveraged beta strategy that can be described in my three part series:

https://cryptm.org/posts/2019/10/04/vol.html

https://cryptm.org/posts/2020/05/28/vol2.html

https://cryptm.org/posts/2020/06/09/vol3.html

Re: Building AI Trading Systems

#107

Post by AlexCoventry »

smabie wrote: post #106
AlexCoventry wrote: post #103

Earlier quoted context omitted.

How much money have you personally made with this approach?

Market neutral strategies really only work with significant access to leverage and favorable financing. Retail investors such as myself are unable to get the kind of juice necessary to run a L/S market neutral strat. Of course, I suppose it would be possible if you discovered some amazing alpha factor. But if you did, you probably would be better just trying to get investors. So in short, the answer is $0. For my per…

Thanks, looks interesting.

Re: Building AI Trading Systems

#108

Post by 1799 »

tsss wrote: post #94
1799 wrote: post #33

Earlier quoted context omitted.

I'm really glad these sort of comments were made around 2013 on this community and I started trading cryptocurrency. His comments make sense to me, and I can guarantee you with near 100% certainty there is another millionaire trader reading this thread.

You are as dumb as you are lucky and this comment is just the definition of survivorship bias. There are always some people who make money off of pyramid schemes (not necessarily saying that bitcoin is one) but that doesn't mean it was at any time at all a good idea to invest in one. Real estate is another area that is very typical for bubbles and when the bubble bursts the large majority of people who are overlevera…

Survivorship bias applies when the survivors are visible and the losers are not, but this thread is full of losers, projecting their loss on everyone that survived and deeming these dumb luck anomalies.

Since it was very hard to lose money with cryptocurrency even if you tried, you had years where it was a good idea to invest. Who should you listen to? The one that got rich with a better scheme than buy and hold? or the one who sat on the side lines for years, made zero profit, and now holds a grudge at missing such a good investment?

Poor people should not go into real estate. There is enough for everyone. If you'd put some of your wealth into Euro, in the past months alone, you'd have made enough to buy a small apartment when the bubble bursts.

Re: Building AI Trading Systems

#109

Post by Jimmc414 »

smabie wrote: post #104
Jimmc414 wrote: post #102

Earlier quoted context omitted.

Sorry, but that is wrong. All I use is price and time. See Elliot Wave Theory. Most indicators are perfectly correlated with price meaning unless you are a HFT you can't trade fast enough to act on them.

Elliot wave theory is quackery. Price is not suitable for any statistical analysis.

It has changed and it is just observations of competing waves of pessimism and optimism and the patterns they demonstrate. I'll put a model trained on TQQQ and SQQQ price and time data only. I will bet you 5k mine will beat yours using whatever inputs you choose over any reasonable time you specify.
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