Live data from Hacker News

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

ptotrading.blogspot.com

141–150 of 169 posts

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

#141
post #78
post #8

Earlier quoted context omitted.

Hey Jbuzbee, This is what I thought as well when I was initially introduced to the idea of technical analysis and day trading. I was very skeptical. I don't want to call myself a probability expert but after studying poker theory and reading mainstream works like Fooled by Randomness, I bought into the idea that it was just a bunch of a guys throwing darts and the "winners" whom were trying to sell all their BS were…

> Being net positive 80% of all days traded with all your winners and losers falling in a relatively tight distribution -- luck can't create highly specific, repeated outcomes like that. Yes, it can. E.g. you could sell deep out-of-the-money puts and collect a $1 premium day after day, say 99% of all days. Until one day a {terrorist attack in the US, humongous earthquake in Japan} happens and you lose more money than…

I just can't stay out of the debate no matter how much I try to.

I am as well-rehearsed in financial history as anyone. I have read about LTCM, Nick Leeson (I even watched the movie), etc. In these situations there was so much size being used that if any unexpected squeeze scenario occurred, those guys would move the markets and cause a horrible chain reaction.

I understand on the surface this totally looks like I'm trading in a "eat like a chicken, shit like an elephant" type of fashion. If I were in your shoes and I read "guy made x, x, x consistently and lost 20x one time!!!" I'd be thinking along the same lines. The difference is, I had more control of my outcome. It's hard to prove this and you won't totally believe me unless you are also a day trader who grinds it out and has a feel for intraday liquidity and slippage (particularly on the otc/pink sheets). I wasn't trading such a large size where I would move the market if I was squeezed out. The risk distribution of intraday scalps is not at all similar to writing naked options with unlimited loss.

It's like this: normal trade: entry signal occurs. get in. exit signal occurs. get out. the trade in particular: exit signal occurred and i chose to ignore it and keep scaling in. would there have been awful slippage? yeah but it would have manageable. in the heat of the moment on the largest loss ever, 10-15c slippage on a $4 stock massive size feels like the end of the world but it's better than riding it down 50c or a point.

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

#142
post #79
post #74

Earlier quoted context omitted.

An economics professor is walking down the street with a student. The student sees a $100 bill on the ground and tells the professor. The professor says, "Nonsense! If there were a bill on the ground, someone would have picked it up already!" I actually think that in this case you are probably right, though. But I wouldn't bet my life on it.

I love this joke, because on the surface it's making fun of economists whose theories blind them to an obvious reality. But how often does anyone actually find a $100 bill on the ground?

I found a 20 on the ground by a gas station pump. Its not improbable that someone taking their keys or wallet out would accidentally drop any loose bills they had.

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

#143

I work in a small prop-shop doing HFT. Most of the guys there are manual traders, and I've seen the same guys there for several years making steady money. I don't think this is bs or amateur hour, let me explain why. It is essentially the small (independent) traders that can make a win when the big guys (hedge funds, pension funds) are moving their positions around. Imagine a dude on a surfboard enjoying the wake of…

Any suggestions for HFT programming reading material and background knowledge for that kind of work?

The book Flash Boys provides a solid understanding of how HFT got started. http://www.amazon.com/Flash-Boys-Michael-Lewis/dp/0393244660

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

#144

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.

People are downvoting you, but as someone who only worked on a FIX application in a tiny finance shop, microsecond was barely acceptable. The comment rings false with me as well.

What do you mean that 'microsecond as barely acceptable'? That was too long for what?

I'm skeptical that there are really that many players out there who are in a position where a single microsecond would really make a difference. There are definitely companies out there in this situation, but not many.

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

#145
post #64
post #58

Earlier quoted context omitted.

Wealthfront posted a graph on that. I called them out on it on Twitter which they didn't appreciate.

Url please?

https://blog.wealthfront.com/much-liquidity-will-cost-long-r...

Not sure how to find the Twitter interaction as Twitter isn't big on history as far as I understand it.

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

#146
post #145
post #64

Earlier quoted context omitted.

Url please?

https://blog.wealthfront.com/much-liquidity-will-cost-long-r... Not sure how to find the Twitter interaction as Twitter isn't big on history as far as I understand it.

Thanks for finding the plot.

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

#147
post #68
post #66

Earlier quoted context omitted.

When I saw the post I was worried that HN would eat this crap up. But this is the appropriate level of revulsion. Whew.

I'm glad you're here to back up the other revolted skeptics.

I've just had a revelation.

MACD has three days as parameters, 12, 26 and 9 being commonly used for completely arbitrary reasons.

Biorhythms use 23, 28 and 33 for similarly arbitrary reasons.

Maybe if we found the right magic numbers we can establish a link between these two highly reputable sciences.

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

#149
post #74

Earlier quoted context omitted.

Trading is like the Israeli nuclear program: those who talk about it don't know about it, those who know about it don't talk about it. If technical analysis actually worked, you'd be able to find the "Technical Analysis Toolkit" for on GitHub, and... technical analysis would no longer work. A little bit of grepping around yields: http://ta-lib.org/ (Technical Analysis Lib). Ergo: if technical analysis ever worked (th…

An economics professor is walking down the street with a student. The student sees a $100 bill on the ground and tells the professor. The professor says, "Nonsense! If there were a bill on the ground, someone would have picked it up already!" I actually think that in this case you are probably right, though. But I wouldn't bet my life on it.

Of course not every idea ever has been tried. But there's a lot of incentive.

Statistically it would be ok to bet your life on it, though.

Did you hear the one about the economist who drowned crossing a river that was three feet deep on average?

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

#150
post #99

Earlier quoted context omitted.

To me there seems to be a certain sort of karma in this. HFT doesn't really add value to anything in my opinion (cue the arguments that HFT somehow adds real value to our society). Yet HFT creams a profit by shuffling money around very quickly. So if there are sometimes big losses like this from a bug, then it seems to even things out somewhat.

To me there seems to be a certain sort of karma in this. Momentum prop trading doesn't really add value to anything in my opinion (cue the arguments that momentum prop trading somehow adds real value to our society). Yet some momentum prop trading creams a profit by shuffling money around very quickly. So if there are sometimes big losses like this from a bug, then it seems to even things out somewhat.

Disagree. Momentum prop trading means that there's a ton of liquidity available to trade against when you actually do have new information.
Post reply on HN