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Algorithmic Trading: The Play-at-Home Version

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Re: Algorithmic Trading: The Play-at-Home Version

#51
post #49
post #25

Earlier quoted context omitted.

Yeah, most people don't realize that finance is a zero-sum game. That leads to arms races which over time remove the lion's share of the profit (companies will spend money on a better solution to a problem until such time as a better solution costs more than the value of the opportunity). I expect this to replicate itself on the low-end as well.

I don't really see how finance is a zero-sum game. I mean, trading in paper without any insight into the capital allocation the paper is abstracting, and observed over a very short time horizon, it's more or less zero-sum. Many synthetic products just distribute risk differently. Etc. But finance more generally is helpful for efficiently allocating capital towards wealth generating industry - and by industry I mean i…

Sorry, it was not my intention to suggest that trading is not productive, or that it's truly a zero-sum game.

You probably know this already, but I'll provide some more context for the interested:

In reality, two parties can walk away from a trade believing (in the moment) that they got the better deal. Otherwise, they wouldn't be trading in the first place. This results because people have different utility functions. A farmer might be willing to buy insurance that gives him negative expected value, because his utility function incorporates a larger risk term than the insurer. A fur trapper sells furs to a buyer because 1 pelt is not scarce to him. With derivative contracts this analogy gets a bit abstract, but the justifications hold.

Liquidity providers add liquidity to the market precisely because they think that the rebates are "worth more" than the liquidity they are providing. A liquidity taker might still fill their trade because they have a different utility function. The net gain for society would be the net gain in total utility, if we were somehow able to convert them into normalized units.

However, if the liquidity taker is a nearly identical firm with a nearly identical utility function, then that implies that the liquidity provider and taker disagree over who is on the losing side of the trade. One party has better information or luck than the other and the future eventually reveals which was the better choice.

To put it another way, I believe it is a zero sum game if players with identical utility functions (i.e. two small prop shops with $200K book) trade with each other. Both probably have identical utility functions, and future events will reveal whether buying or selling was the correct choice in terms of utility. There are quite a number of such players swimming in the market, so there is a zero-sum game of "who knows more" that goes on underneath the actual net utility provided by liquid markets.

Re: Algorithmic Trading: The Play-at-Home Version

#52
post #49

Earlier quoted context omitted.

I don't really see how finance is a zero-sum game. I mean, trading in paper without any insight into the capital allocation the paper is abstracting, and observed over a very short time horizon, it's more or less zero-sum. Many synthetic products just distribute risk differently. Etc. But finance more generally is helpful for efficiently allocating capital towards wealth generating industry - and by industry I mean i…

Sorry, it was not my intention to suggest that trading is not productive, or that it's truly a zero-sum game. You probably know this already, but I'll provide some more context for the interested: In reality, two parties can walk away from a trade believing (in the moment) that they got the better deal. Otherwise, they wouldn't be trading in the first place. This results because people have different utility function…

Are there prop shops with books that small?

Re: Algorithmic Trading: The Play-at-Home Version

#53
post #27
post #13

Earlier quoted context omitted.

I do know at least one person that day traded for a few years. He didn't get rich, but it was in the very nice salary range. Ultimately quit because it was stressful every morning starting all over. This is also the same reason I only buy undervalued stocks that I hold for years. When I get to the age where I could retire I don't want to have to play the market every morning, I want to do other thing.

Why would playing the market result in higher returns? Why would you think day trading would outperform buying-and-holding? The research all shows the opposite.

I wasn't implying that playing the market would result in higher or lower returns simply that one person that I know that did day trade successfully did it as a full time gig.

Re: Algorithmic Trading: The Play-at-Home Version

#54

Here's the problem with trying to create your own trading system. How do you back test it to know that it works. If you back test over the past 5 years then you are only testing your model against a huge bull market. If you back test over the past 20 years then I'm not sure it helps much as the market of 20 years ago didn't really have any of the major market drives of today's markets, HFT's, huge numbers of hedge fu…

One clarification - these mom & pop prop shops aren't necessarily competing against big baskets of MIT PhDs. If your book size is only $200K, the big players (i.e. scores of MIT PhDs) won't even bother competing with you on the same strategies. Alpha from these strategies may very well be orthogonal to hedge fund alpha. That said, you're still playing a zero sum game with other mom & pop shops and the general large-s…

Yes and no. If it can be automated, no amount is too small to collect. A hobbyist best shot is to do... things that don't scale. Source: I do too.

Re: Algorithmic Trading: The Play-at-Home Version

#57

Interesting article but for a different take on a statistical approach to the market, curious if any peeps on HN are into volatility trading? From what I understand a lot of the "DIY vendors" cater to the equity crowd, meaning people who build their models on technical indicators (MACD, RSI, advancers/decliners ratio, Fibonacci golden ratio retracement, MA); you build your model of some combined signals, back-test it…

If all those TastyTrade strategies work, why isn't it being automated and backed by significant funding? Serious question.

Re: Algorithmic Trading: The Play-at-Home Version

#58

It absolutely can be done. I know a handful of people who are doing well, or have spun a small hedge fund out of their DIY trading system. Having said that, it's hard. Most people simply don't have the bandwidth to do it properly. Parsing daily Yahoo prices and having a R script or two somewhere will absolutely not put you in the "I do successful algo trading" camp. Or running TradeStation with a handful of pair stra…

> Or running TradeStation with a handful of pair strategies or whatever. You can now buy trading strategies from their TradingApp Store. Supposedly, they've been written by professional algorithmic traders. https://www.tradestation.com/trading-technology/tradestation... https://tradestation.tradingappstore.com/search/all/Rating

>Supposedly, they've been written by professional algorithmic traders

And discarded by them as not profitable enough for their own use.

Re: Algorithmic Trading: The Play-at-Home Version

#59
post #25

Earlier quoted context omitted.

One clarification - these mom & pop prop shops aren't necessarily competing against big baskets of MIT PhDs. If your book size is only $200K, the big players (i.e. scores of MIT PhDs) won't even bother competing with you on the same strategies. Alpha from these strategies may very well be orthogonal to hedge fund alpha. That said, you're still playing a zero sum game with other mom & pop shops and the general large-s…

Yeah, most people don't realize that finance is a zero-sum game. That leads to arms races which over time remove the lion's share of the profit (companies will spend money on a better solution to a problem until such time as a better solution costs more than the value of the opportunity). I expect this to replicate itself on the low-end as well.

> finance is a zero-sum game

It's not, because new money is always entering the system from the real economy.

For example, there is not a fixed amount of money invested in the stock market that the players just trade among themselves in a zero-sum game. Under normal economic conditions, people make money in some other non-finance industry and invest it in stocks, increasing the total pool.

Re: Algorithmic Trading: The Play-at-Home Version

#60
post #8

Probably have better luck writing your own poker-bot.

I remember someone making a go at this circa 2006. Didn't work for whatever reason. Isn't gambling online illegal now?

>Didn't work for whatever reason.

The online platforms check for it so its a cat & mouse game.

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