Anybody have a glossary?
The Day I Lost a Shit-ton of Money, Part I
31–40 of 169 posts
Re: The Day I Lost a Shit-ton of Money, Part I
#32Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them will make money. Also, is 130k really a huge loss? I run HFT strategies, and while it would definitely be a big loss even for one of my strategies, it wouldn't be a phenomenal outlie…
It sounds so amateur hour.
Amateur hour? The traders could be monkeys, since it's only the salesman who matter.
When you bet other people's money, the strategy is fairly simple: Go long (or short). Somebody at another company goes short (or long). One wins, one loses (it's guaranteed) and the winner gets a percentage of the "win". This is why they love volatility so much, as it determines the size of the profits, even in a zero-sum game.
Sure, mathematicians can beat the house. Doesn't matter to these guys. Other people's money? Flip a coin.
Re: The Day I Lost a Shit-ton of Money, Part I
#33Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them will make money. Also, is 130k really a huge loss? I run HFT strategies, and while it would definitely be a big loss even for one of my strategies, it wouldn't be a phenomenal outlie…
It sounds so amateur hour. Amateur hour? The traders could be monkeys, since it's only the salesman who matter. When you bet other people's money, the strategy is fairly simple: Go long (or short). Somebody at another company goes short (or long). One wins, one loses (it's guaranteed) and the winner gets a percentage of the "win". This is why they love volatility so much, as it determines the size of the profits, eve…
Prop shops don't have salesmen (at least, none that I've ever seen).
Re: The Day I Lost a Shit-ton of Money, Part I
#34Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them will make money. Also, is 130k really a huge loss? I run HFT strategies, and while it would definitely be a big loss even for one of my strategies, it wouldn't be a phenomenal outlie…
Hey Consz,
I'm glad you laughed, as I tried my best to make it humorous. You're absolutely right, it is total amateur hour. Sometimes I can't believe this is how I make money! Price-action based trading can be so intellectually vapid. And that is why I feel so blessed to have this job and to be able to make it work. I don't try to pretend to be anything more than what I am. I don't make 7-figures but I make consistent, steady, low drawdown thousands that add up to a 1%-er income. I'm only 25 so I like to think there's room for improvement too. If you're doing better than that, congratulations.
130k is just a number in the middle of the drawdown that I arbitrarily referenced to give some context. You'll have to read the rest to see what the final number was when the full loss was realized.
Well, I'm getting "stop submitting too quickly" msgs and I'm sure there will be no shortage of people telling me this will never work, it's all random, no edge when backtesting, etc. So I'm done debating for the night, best of luck to you guys, hope you read part II!
Re: The Day I Lost a Shit-ton of Money, Part I
#35Earlier 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.
Sub-microsecond transactions seem impossible unless you're physically jacked in to the trading datacenter's network. If you try to transfer a message (like a string buffer) as quickly as possible from program A running on core 0 to program B running on core 5 on your server-grade computer, the best benchmarks I could achieve were "99% of measurements executed in fewer than 150 nanoseconds." And I worked hard on this…
Yes, you are correct. On an average Linux box to have a single cache line data transfer between the cores under 150ns 99% of the time is about the best that you can get. Especially if you are running stock kernel that eats this 1% and creates huge outliers ;). There is some talk though, about crazily-expensive switches with integrated FPGAs...
Re: The Day I Lost a Shit-ton of Money, Part I
#36Earlier quoted context omitted.
I'm wrong all the time and lose money all the time. The big difference here is I let one get away from me instead of keeping it small/manageable like I always do. It was a situation where I could have controlled it and I didn't. I'm still up more than 4x what the final realized loss was in my trading career. I used to think TA was a joke. I was very skeptical before using it. I have never bothered to explain why it w…
Yeah, no. That's called anecdotes, because when you do understand probability and backtest these strategies, they are known not to work in the large. Stat arb is what happens when you actually do statistics, and these days it's got only a slim to nil advantage.
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 (there is some evidence it did before about 1990 when personal computers became ubiquitous) it almost certainly does not today.
The only way market timing approaches can work is if they embody significant information that is not generally available. A successful market timer has to be smarter than everyone else in the market at the time of each trade.
Anyone claiming technical analysis works is claiming that there is an inefficiency in the market that has been well-documented in public for decades, to the extent that an open-source BSD-licensed tool for identifying the inefficiency exists, and yet the inefficiency still exists.
This is simply contradictory.
Re: The Day I Lost a Shit-ton of Money, Part I
#37Reading this sort of stuff from manual prop traders makes me laugh. It sounds so amateur hour. How in the world can manual traders ever compete against a short-term stat arb or HFT strategy? It just sounds like pure luck that any of them will make money. Also, is 130k really a huge loss? I run HFT strategies, and while it would definitely be a big loss even for one of my strategies, it wouldn't be a phenomenal outlie…
Hey Consz, I'm glad you laughed, as I tried my best to make it humorous. You're absolutely right, it is total amateur hour. Sometimes I can't believe this is how I make money! Price-action based trading can be so intellectually vapid. And that is why I feel so blessed to have this job and to be able to make it work. I don't try to pretend to be anything more than what I am. I don't make 7-figures but I make consisten…
I'm in the "technical analysis is nonsense" camp but enjoyed your story. You write an entertaining line and I look forward to reading the rest of it.
Re: The Day I Lost a Shit-ton of Money, Part I
#38Technical analysis doesn't work. Big surprise you lost money. Those guys that you thought were good at it? They lost their shorts at some point too.
My first job out of college was building a TA package at a then-small Bloomberg competitor. I knew basically nothing about any of this and just approached it as a technical challenge, and I had a generally ok time just getting paid to write software that was vaguely mathy. This was software that was actually used by people trading, who were paying on the order of tens of thousands of dollars a year per seat.
The first signs that something was amiss arose pretty early. I kept some printouts of what the various metrics were in my desk. Occasionally a support employee would come over and say so-and-so at some bank wants to know how (say) Bollinger Bands are defined. I'd hand them a copy of my definitions sheet covered in capital pi's and sigmas. They'd look at it, their eyes would glaze over, they'd wander away, and I never got a single followup question.
About four years later a client discovered that there'd been a bug in a few of the calculations that made them wildly "incorrect." Many people used the product for years as happy customers without realizing this.
At that point I must have googled "technical analysis wtf" or something, and realized that basically what I had been spending my time on was the financial equivalent of biblical numerology. So it goes.
Re: The Day I Lost a Shit-ton of Money, Part I
#39Earlier quoted context omitted.
Sub-microsecond transactions seem impossible unless you're physically jacked in to the trading datacenter's network. If you try to transfer a message (like a string buffer) as quickly as possible from program A running on core 0 to program B running on core 5 on your server-grade computer, the best benchmarks I could achieve were "99% of measurements executed in fewer than 150 nanoseconds." And I worked hard on this…
Yes, you are correct. On an average Linux box to have a single cache line data transfer between the cores under 150ns 99% of the time is about the best that you can get. Especially if you are running stock kernel that eats this 1% and creates huge outliers ;). There is some talk though, about crazily-expensive switches with integrated FPGAs...
Light moves at 1 ft per nanosecond... I sure hope you're close to the NASDAQ data center :)
Re: The Day I Lost a Shit-ton of Money, Part I
#40Earlier quoted context omitted.
I'm wrong all the time and lose money all the time. The big difference here is I let one get away from me instead of keeping it small/manageable like I always do. It was a situation where I could have controlled it and I didn't. I'm still up more than 4x what the final realized loss was in my trading career. I used to think TA was a joke. I was very skeptical before using it. I have never bothered to explain why it w…
Yeah, I alo made a fortune in the market except for the money I lost.
I recall seeing a graph of a stock index in which all but the 10 (e.g.) best days within a very long time span (~years) were removed - to mock up a trader who removed his money at a few unlucky times. You ended up losing huge.
The lesson was exactly what you're saying -- you also have to count that one huge loss. You can't fence it off as an exception and remove it from the accounting.