Tag Archives: approach

INTERVIEW: A Highly Unique Approach to Short Term Trading Using Long Term Data w/ Bryan Downing

INTERVIEW: A Highly Unique Approach to Short Term Trading Using Long Term Data w/ Bryan Downing

An interview from 52 Traders but thanks to to Cam for hosting/interviewing

Here’s the coupon for sharing: quantlabsfree

115: A Highly Unique Approach to Short Term Trading Using Long Term Data w/ Bryan Downing

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Smartest approach to machine learning deep learning in trading or HFT Redis NOSQL LUA

Smartest approach to machine learning deep learning in trading or HFT Redis NOSQL LUA

This is the technical framework I would use

What do I think of this book?

Deep Learning With Python

Video answer

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Here are my answer in this video’s links:

http://www.kdnuggets.com/2015/05/r-vs-python-data-science.html

http://www.kdnuggets.com/2015/05/r-vs-python-data-science.html

https://quantlabs.net/blog/?s=facebook

Facebook open source Torchnet for AI

quantlabs.net/blog/2016/06/facebook-open-source-torchnet-for-ai/

http://pastebin.com/ZZmSNaHX

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Apple SECRET deep machine learning approach

Apple SECRET deep machine learning approach

I am sure this is better than anything else out there but we will never know

In the world of artificial intelligence, one of the year’s biggest coming-out parties is the Neural Information Processing Systems conference. Thousands of researchers from universities and software companies gather to share their work and wrestle with new ways to tailor software to people’s habits. At last year’s conference in Montreal, employees of Google, Microsoft, and IBM presented papers on teaching computers to work faster and smarter, such as by reading the house numbers in a photo to determine an address. But one player was conspicuously absent: Apple. This year, Chinese search giant Baidu and Facebook, along with Google and Microsoft, are slated to present papers. Apple isn’t.

To read the entire article, go to http://bloom.bg/1M05gZU

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C++ 14 approach to time and date

C++ 14 approach to time and date

Sent over from someone experienced with this language

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DIY approach to rapidly implement your trading idea Meetup

DIY approach to rapidly implement your trading idea Meetup

I am always looking for inspirational stories for y’all. This is one is a big classic from Steve who has been part of my community for a few years. He explained the frustration of dealing with third party software developers over the years. After spending quite possibly thousands of dollars and going nowhere with them, he decided to take matters into his own hands. As I believe in DIY (Do It Yourself), he is picked up on this.  He learned how to do software development on his own for a trading idea which is soon to be implemented. He is using Metatrader with C++ customization to get the job done! We will not be here to discuss his forex trading strategy in detail nor pick apart his technical choice, we want you to hear his experience firsthand so you can be inspired to know how to rapidly implement your trading idea on your own from someone like you!!

 

Tuesday, September 22, 2015

8:00 PM Eastern Standard Time

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The DIY approach to rapidly implement your trading idea

Tuesday, Sep 22, 2015, 8:00 PM

Oline via GotoMeeting
GotoMeeting Toronto, ON

4 Members Went

I am always looking for inspirational stories for y’all. This is one is a big classic from Steve who has been part of my community for a few years. He explained the frustration of dealing with third party software developers over the years. After spending quite possibly thousands of dollars and going nowhere with them, he decided to take matters in…

Check out this Meetup →

The DIY approach to rapidly implement your trading idea

Tuesday, Sep 22, 2015, 8:00 PM

GotoMeeting Webinar online
GotoMeeting Webinar online Toronto, ON

8 Researching Traders Went

I am always looking for inspirational stories for y’all. This is one is a big classic from Steve who has been part of my community for a few years. He explained the frustration of dealing with third party software developers over the years. After spending quite possibly thousands of dollars and going nowhere with them, he decided to take matters in…

Check out this Meetup →

The DIY approach to rapidly implement your trading idea

Tuesday, Sep 22, 2015, 8:00 PM

16 Members Went

Check out this Meetup →

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Quant Analytics Algorithm Question: Is there value to an algorithmic approach that works out-of-sample regardless of market success?

Quant Analytics Algorithm Question: Is there value to an algorithmic approach that works out-of-sample regardless of market success?

In looking for the easiest to capture low hanging fruit of the High Frequency Trading world, I build an elegant algorithm that could be applicable to general purpose instruments. It works well on high volume NASDAQ stocks in the sense that it would make a profit in out-of-sample simulated trading. If you assume the ability to capture some reasonable percentage of rebates then it becomes very profitable (~200%/year). This seemed to be the type of results that I was looking for so I went live with this strategy for around 6 months. However, market dynamics (slippage, game theoretic behavior, market impact, etc) made the strategy unprofitable in live trading.

If I had another 2 years I might be able to learn enough market dynamic information to make the strategy profitable. However, after working on a poker startup and an algorithmic trading strategy for 3 years, I didn’t really have that luxury. I’ve been wondering if there is anything useful that I could do with this strategy. I believe that in the right hands with a firm that understands market dynamics, then this algorithmic approach could be useful.

So, here is the question. Does an algorithm that generates out-of-sample profits have any value regardless of success when it is crudely deployed to the market? Presumably, my out-of-sample profits are somewhat dependent on flaws in my simulation but to some extent that just means that my training runs also needed to better reflect market realities. The piece that I seemed to be most missing was game theoretic behavior of other market participants and a better understanding of how to deploy orders across a fragmented market.

I’d love to hear any opinions out there. Contact me privately if you see some value in this algorithm.

 

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what platform did you use to do the back test? HFT algorithms are notoriously difficult to back test without a specialized back test engine.

 

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One of my own creation. It seemed to use reasonable rules but …

 

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fill assumptions in HFT are very tricky. I cannot count the number of HFT algorithms I have had work all the way through forward testing in simulation with what I thought were conservative fill estimates but when actually deployed live did not work.

The algorithms often missed by only a few milliseconds but there is no prize for 2nd place in that world.

You may want to consider something I have found to work; take the basic HFT algorithm and move up a time frame. If you were trading on milliseconds, consider seconds, etc. Many of the same techniques work if tweaked a bit.

 

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What approach do you use to monitor individual stocks in your portfolio?

What approach do you use to monitor individual stocks in your portfolio?

The author of this article has some interesting recommendations, and suggests a list of actions and a schedule for diligent investors who want to make sure that their portfolio is appropriate when individual stocks fluctuate.

Do you agree with his recommendations?
Has he left anything out that you yourself do?
What is your own approach to the question?

 

AII Investor Update: How I Monitor my Stocks

seekingalpha.com

A key task for investors who own individual stocks is to regularly monitor them. Such analysis requires specifically looking for those items that could give you reason to either continue favoring a stock or sell it. A proper…

 

Thanls for sharing this information to AAII. I am still awaiting the Best of the Best reading list that I believe was being compiled @the beginning of the year! Many Thanks.

 

Glad you find this information helpful. I’m not sure what “best of the best” reading list you’re referring to, but here is a list of the best ever Seeking Alpha articles, as chosen by the editors, to celebrate the millionth registered user of the website a few weeks ago:

http://seekingalpha.com/article/456801-seeking-alpha-1-000-000-the-greatest-hits-editorial-edition?source=linkedinfp

Is that what you were referring to? Or did you mean something else?

 

Thanks for your comments and for sending the link. There was a guy who surveyed all the members of this group about 2-3 months ago asking what each member’s favorite hedge fund book was. He indicated that he was compiling a list of these titles and since then no word. I believe that his name is Adam,too but I can’t be certain of that. Does this sound familiar? Were

 

;I’d love to see that list of recommendations, myself, though. Have you thought of messaging the group’s manager to ask them? They may remember who was compiling the list.

This might be helpful to people as well: it’s a list of articles discussing fund-holdings and an analysis and assessment of each of those decisions and how they have fared:

 

Do you know who the manager of the group is? By the way, we have been “hacked”

 

I use technical Analysis monitor the long and short term historical price trends. I also use MACD – Moving averages Convergence Divergences. This will take some time to learn. What I find to be very useful is the overall price trend. Also, you need a strategy for each position you take and these strategies may involve option trading. Give me a little more information and I will be glad to provide some advice.

 

I’m not sure how many of these are specifically hedge-fund-related books, but you might find this list helpful. It’s a collection of book reviews on Seeking Alpha that have been chosen as “editor’s picks”:

http://seekingalpha.com/articles?filters=editors-picks,books&source=linkedinfp

Thanks for the suggestions. What did you think of the AAII Investor article? Do you find that your approach to portfolio management has changed over the years, given the financial crisis?

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!