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The anatomy of an ML-powered stock picking engine

principiamundi.com

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Re: The anatomy of an ML-powered stock picking engine

#61

Post by gleenn »

Joel_Mckay wrote: post #60
darepublic wrote: post #54

Earlier quoted context omitted.

You can think outside the box to beat the unfair game but then you end up in jail.

Some simply build a portfolio by copying those who can't be charged for violating market rules. Not sure why some folks find this strategy so controversial. =) Congress member holdings report: http://clerk.house.gov/public_disc/financial-search.aspx Senate member holdings report: https://efdsearch.senate.gov/search/

That's a very interesting idea. One obvious downside is a congressman might change their position faster than you can because they have advanced knowledge, so it would be riskier to hold the same position. Especially if that linked page updates even a little slowly. Secondly, they might have that position knowing exactly that - that they will have advanced knowledge and there it's worth having it at all. They know they have advanced knowledge so they are capable of riskier things. They also know that people can see their positions so they could game everyone by luring them into positions which they could exit quickly so as to pump and dump.

Re: The anatomy of an ML-powered stock picking engine

#62

Post by thallium205 »

gleenn wrote: post #61
Joel_Mckay wrote: post #60

Earlier quoted context omitted.

Some simply build a portfolio by copying those who can't be charged for violating market rules. Not sure why some folks find this strategy so controversial. =) Congress member holdings report: http://clerk.house.gov/public_disc/financial-search.aspx Senate member holdings report: https://efdsearch.senate.gov/search/

That's a very interesting idea. One obvious downside is a congressman might change their position faster than you can because they have advanced knowledge, so it would be riskier to hold the same position. Especially if that linked page updates even a little slowly. Secondly, they might have that position knowing exactly that - that they will have advanced knowledge and there it's worth having it at all. They know th…

Do they actually do that though? Pump and dump their followers?

Re: The anatomy of an ML-powered stock picking engine

#63

Post by jaspertheghost »

muggermuch wrote: post #57
timeserious wrote: post #56

Earlier quoted context omitted.

Let's get a write up of your backtesting framework too please! Terrific post @muggermuch - thank you!

:) Will do! Thanks for the encouragement!

did you use vectorbt or event driven backtesting?

Re: The anatomy of an ML-powered stock picking engine

#64

Post by Jorge1o1 »

muggermuch wrote: post #49
pneumatic1 wrote: post #48

Earlier quoted context omitted.

Have you looked into Kelly criterion?

Yes! I use fractional Kelly extensively in my (separate) higher-frequency strategies (on MES/ES/NQ/VX futures). I'm thinking of writing some follow-up posts on how to reason about ML-driven strategies in an intraday setting. Thanks to low-cost brokerages, there's a lot of alpha that can be captured by small league speculators such as myself.

This is true. I ran a 3+ Sharpe and over 40% annualized strategy on PredictIt back when they had the tweet markets a few years ago. It was literally just fitting a Poisson model to Trump, Pence, White House, POTUS, and VP twitter accounts and then Kelly betting based on the difference between the market price and the Poisson model.

I strongly believe the only reason I got such a solid performance is not because I’m some kind of trading savant, but simply that the $850 per contract limit prevents smart money/institutional traders from moving the market towards efficiency.

Similar opportunities exist in the equity world — one huge advantage is that little guys don’t really incur market impact.

For a lot of systematic RV plays, you might only have 10bps alpha and then a 7bp trading cost each way.

Re: The anatomy of an ML-powered stock picking engine

#65

Post by Joel_Mckay »

thallium205 wrote: post #62
gleenn wrote: post #61

Earlier quoted context omitted.

That's a very interesting idea. One obvious downside is a congressman might change their position faster than you can because they have advanced knowledge, so it would be riskier to hold the same position. Especially if that linked page updates even a little slowly. Secondly, they might have that position knowing exactly that - that they will have advanced knowledge and there it's worth having it at all. They know th…

Do they actually do that though? Pump and dump their followers?

I'd wager it is heavily correlated with political lobbyist campaign donations. Theoretically they couldn't really trade quickly due to the speed of bureaucracy, but could change future legal policy that affects an industry commodity. =)

Re: The anatomy of an ML-powered stock picking engine

#66

Post by mrhands556 »

alpineidyll3 wrote: post #55

My heart goes out to this author, but you can tell even by his first table that he doesn't quite understand the mathematics of financial markets, the purpose of a hedge fund, how they grow etc. 1) It's plain by quickly looking at the allocation of capital in investment firms, that AUM is not made by performance; it's marketing. At best people invest when they believe a person is connected to inside information. Sayin…

> That markets are entropy machines rougher than a normal distribution, and any gains come directly from information.

Isn’t this partially what this model is accomplishing with sentiment analysis?

Also has there been a lot of investment into sentiment analysis for algo trading? I’m sure there have but references including books would be interesting.

Re: The anatomy of an ML-powered stock picking engine

#68

Post by pid-1 »

chollida1 wrote: post #35

Someone asked about how difficult it is to get outside investment.... It's usually very difficult and it takes a lot of money to run a proper fund. Let's say you raise $50M. You can maybe charge 1 and 20,meaning you get 1% of assets each year for running the fund and 20% of profits. 1% of $50M( and keep in mind this is a large raise for someone without a track record on the sell side or inside another fund) give you…

> a Bloomberg terminal $30,000 including data feeds

> market data feeds you need $25,000/year for basic market data and fundamental data that you are allowed to warehouse(you can't store data you get from the Bloomberg terminal).

Total nitpick: you can get those using soft dollars.

But your numbers are spot on. In my job we estimate running a hedge fund with AUM < 250MM is just not worth it.

Re: The anatomy of an ML-powered stock picking engine

#69

Post by jjoonathan »

Joel_Mckay wrote: post #60
darepublic wrote: post #54

Earlier quoted context omitted.

You can think outside the box to beat the unfair game but then you end up in jail.

Some simply build a portfolio by copying those who can't be charged for violating market rules. Not sure why some folks find this strategy so controversial. =) Congress member holdings report: http://clerk.house.gov/public_disc/financial-search.aspx Senate member holdings report: https://efdsearch.senate.gov/search/

Is there an ETF yet?

Re: The anatomy of an ML-powered stock picking engine

#70

Post by gbasin »

notacop31337 wrote: post #52
gbasin wrote: post #37

If your predictions are good, I'd be happy to get you $100 million in assets to manage. It's very unlikely that your predictions are good...

It's very unlikely that you're able to get OP $100 million in assets...

I founded and ran a quant trading firm for about a decade :)
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