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Offline Algorithms in Low-Frequency Trading

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Re: Offline Algorithms in Low-Frequency Trading

#51

Post by victor106 »

smabie wrote: post #25
wbl wrote: post #18

Earlier quoted context omitted.

The only book you should read is John Bogel's. Do what he says like Goldman partners, Bank of America senior executives, almost every economist does with their money and stick it in low cost diversified mutual funds. Or you can learn stochastic calculus and end up in the same place once you realize half of all active traders do worse than the market, before fees.

None of the kinds of people you listed are good at trading (esp economists). From experience, professional traders do tend to use passive indices for part of their PA, but also actively trade a portion. But you're right in that if you don't have a passion for it, you'll never be able to truly outperform spy on a risk adjusted basis. However, if you do have the knowledge and the passion, I definitely think you can. In…

While I always preached just buying the S&P one risk i've been seeing with it is if, a majority of investors just buy the S&P index, since the index is market cap weighted, it would just make the largest stocks in the index more expensive.

This would make the stocks that have less weight in the index or stocks outside the index relatively cheap and obviously offer better returns.

Anyone disagree?

Re: Offline Algorithms in Low-Frequency Trading

#52

Post by varyherb »

lowfreqtrader wrote: post #2

If low frequency trading interests you, here's a project some people might want to check out: https://github.com/brndnmtthws/thetagang It's designed to sell option premium on major indices (like the S&P500 or NASDAQ-100) to generate mostly passive income, with a fairly reasonable risk-adjusted return. It uses a combination of strategies that involve selling naked puts and covered calls, which both have the same risk…

Genuine question, does this strike others as immensely off-topic? I'm curious if the parent commenter even opened the link. I'm sure there are applications of generalized knapsack problems (or dynamic programming generally) in options trading, but this isn't it.

Re: Offline Algorithms in Low-Frequency Trading

#53

Post by philosopher1234 »

WJW wrote: post #16
kwhitefoot wrote: post #13

Earlier quoted context omitted.

Will it make me better off?

Reading more about things you haven't read about before will increase your total knowledge and therefore make you better off in a holistic sense, yes. In a purely monetary sense, no it will probably not have any effect on your life.

Knowledge is not infinitely accretive

Re: Offline Algorithms in Low-Frequency Trading

#55

Post by IIAOPSW »

bobbydreamer wrote: post #26

Just asking anybody figured out, how to find high low for a period of time. Say in a period of 6months, starting from a initial point, next point could be a high or low, if high, program needs to find next lowest point and afterward, it needs to find highest amd continues to do so in zigzag. For low it's vice versa.

I think what you are asking is given a time series (x_0, x_1... x_n), what is the 6 month high (or low) on day i? In other words you want the max (or min) of the sub series (x_{i-180},x_{i-179}... x_i).

x_0 is obviously the 6 month high at day 0 (since there is no previous data). If x_1 > x_0 then x_1 is the new 6 month high so we can discard x_0 on day 1. If x_1 Find the sorted insertion point in the list for (x_i,i).

Remove everything prior to the insertion point.

Insert (x_i, i) at the start of the list.

If the element at the end of the list (x_n, n) is expired (n The 6 month high on day i is found in the element at the end of the list. Store this in a new series h_i.

Increment i by 1 and repeat.

This method trivially works for finding the 6 month low as well.

Re: Offline Algorithms in Low-Frequency Trading

#56

Post by pvitz »

lordnacho wrote: post #43
JimBlackwood wrote: post #41

Earlier quoted context omitted.

Do you maybe have some books you could recommend? I have a strong math background, so that’s not a problem. I have a hard time finding courses or books that cover how these instruments work in some depth.

The problem is the books don't really tell you. They're written in this mathematical way that kinda obscures how to actually think about them practically. If you're more into math maybe stochastic calc will be just fine for you. Here we go anyway: Hull: Futures, Options, and Other Derivatives Natenberg. Don't recall the name, but this is maybe the closest to practical. Paul Wilmott, Quantitative finance. Taleb, Dynam…

Someone with a strong math background should cut Wilmott and go directly to Shreve: Stochastic Calculus for Finance II (or Björk: Arbitrage Theory in Continuous Time).

Re: Offline Algorithms in Low-Frequency Trading

#57

Post by secondcoming »

The Vickery Auction was pretty much the de-facto auction type in adtech realtime bidding.

It's since been replaced with standard first-price auctions for reasons I don't fully understand, but I assume it was because websites misunderstood bid prices and though they were being ripped off.

Re: Offline Algorithms in Low-Frequency Trading

#60

Post by hackton »

lordnacho wrote: post #43
JimBlackwood wrote: post #41

Earlier quoted context omitted.

Do you maybe have some books you could recommend? I have a strong math background, so that’s not a problem. I have a hard time finding courses or books that cover how these instruments work in some depth.

The problem is the books don't really tell you. They're written in this mathematical way that kinda obscures how to actually think about them practically. If you're more into math maybe stochastic calc will be just fine for you. Here we go anyway: Hull: Futures, Options, and Other Derivatives Natenberg. Don't recall the name, but this is maybe the closest to practical. Paul Wilmott, Quantitative finance. Taleb, Dynam…

"Natenberg: Option volatility and Pricing" I guess. Very instructive, but I have a slight preference for the Hull. They are both rather old but well explained. They give a very good starting point.
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