Is 100 percent mechanical trading possible?

[the hare]

If anyone has a working algo, I'd be happy to go in a partnership and share the profits.

What skills would you bring to the table ?

 

[forker]

Sex drugs and rocknroll

 

[BeginnerJoe]

What skills would you bring to the table ?

Computation is a multiplier of power. If you have the power of profits, I bring to the table a multiplying machine. If you can't make profit, multiplying it will still give you no profit. So there is a certain basic requirement. Imagine you can manually trade successfully using one instrument, using computers you can multiply that capability by thousands or more depending on how much investment you want to put into the multiplying machine.

 

[amnonco]

Computation is a multiplier of power. If you have the power of profits, I bring to the table a multiplying machine. If you can't make profit, multiplying it will still give you no profit. So there is a certain basic requirement. Imagine you can manually trade successfully using one instrument, using computers you can multiply that capability by thousands or more depending on how much investment you want to put into the multiplying machine.

let me burst some bubbles.
you're not the first who goes at this.
there are more issues than you can imagine in trading automatically the markets (whatever market that is).
I'm not trying to discourage you in any way, but you are a bit naive.

i have enormous amounts of experience in this field, and let me tell you this - it's completely possible to achieve auto/algo trading profit as a small business (i.e not as part of large funded institution) - but it's complicated in many ways.

 

[Adamus]

let me burst some bubbles.
you're not the first who goes at this.
there are more issues than you can imagine in trading automatically the markets (whatever market that is).
I'm not trying to discourage you in any way, but you are a bit naive.

i have enormous amounts of experience in this field, and let me tell you this - it's completely possible to achieve auto/algo trading profit as a small business (i.e not as part of large funded institution) - but it's complicated in many ways.

The problem with experience though is that you don't get it until just after you need it.

Otherwise I agree with you totally.

I started off wondering whether I should stop when I'd made 100 million or 1000 million, and here I am now doing all I can to keep my head above water.

There's an old adage somewhere that you can't master something until you've put in 10,000 hours. I figure that's when the geometric account growth will kick in. I still haven't decided whether to stop at 100 or 1000 million though.

 

[BeginnerJoe]

let me burst some bubbles.
you're not the first who goes at this.
there are more issues than you can imagine in trading automatically the markets (whatever market that is).
I'm not trying to discourage you in any way, but you are a bit naive.

i have enormous amounts of experience in this field, and let me tell you this - it's completely possible to achieve auto/algo trading profit as a small business (i.e not as part of large funded institution) - but it's complicated in many ways.

Not sure what bubble you are busting. I don't find it complicated. I just need a working algo.

 

[the hare]

I don't find it complicated.

I do.

 

[BeginnerJoe]

I do.

Good, that's perfect. If you have a good algo, I'll deal with the details you find too difficult handle. Then we share the profit. You will no longer need to ask what I will bring to the table.

Good algo is the first step. Finding institutions willing to do business with you is the next. Lastly the data infrastructure. This last part is the easiest and all it takes is the willingness to spend some money.

 

[amnonco]

Good, that's perfect. If you have a good algo, I'll deal with the details you find too difficult handle. Then we share the profit. You will no longer need to ask what I will bring to the table.

Good algo is the first step. Finding institutions willing to do business with you is the next. Lastly the data infrastructure. This last part is the easiest and all it takes is the willingness to spend some money.

yup. you are naive. the other option is extremely wealthy (but somehow i doubt that).

1. if someone has a working algo - what does he need you for? maybe you're confusing an algo with a system. if someone has a system even with the most clear-cut rules - he still doesn't have an algo.
2. you'd have to create (as the techy) the translation of trading rules into a computerized automatic algo - that's the difficulty. there are many issues that a trader don't think about and usually don't have answers to in advance. and you as the computer guy don't have a clue about markets so you won't know what questions to ask.
3. so what happens is that you debug and debug (while hopefully not losing too much money).
4. and what about learning the ins and outs of building a sound algo? what if you (or your partner) would make mistakes in terms of algo architecture, and have a working algo that would only work on 2 markets for 4 months?

5. so finding institutions that'll work with you is easy? how about getting at least stable 6 months of data (if not a year) - and of course those should show pretty good results - oh yeah on REAL account - AKA - your money.
6. data is last? how come? how can you trade without some sort of data in the first place?

7.again, I'm not going to discourage you - I'm just trying to show you that as a computer literate but market illiterate searching for the opposite partner - you have a lot of knowledge gaps that cannot be bridged without trial and error.

the only way you can minimize these bumps is by gaining market experience yourself or team up with a somewhat computer literate partner.

good luck

 

[Adamus]

the only way you can minimize these bumps is by gaining market experience yourself or team up with a somewhat computer literate partner.

good luck

I think teaming up with someone is exactly what he is trying to do.

As for flogging the end product around various institutions who might be willing to use the system, I think that is a poor way to do it. I've read that some of these institutions don't even invest in trend following. You have to blind them with Sharpe Ratios and the other stuff that N N Taleb would frown upon.

Put your own money down - if the system's any good, you'll be far better off that way. Start off with micro-lots on 4X or spiders on S&P if you only have a few hundred quid.

 

[BeginnerJoe]

I think teaming up with someone is exactly what he is trying to do.

As for flogging the end product around various institutions who might be willing to use the system, I think that is a poor way to do it. I've read that some of these institutions don't even invest in trend following. You have to blind them with Sharpe Ratios and the other stuff that N N Taleb would frown upon.

Put your own money down - if the system's any good, you'll be far better off that way. Start off with micro-lots on 4X or spiders on S&P if you only have a few hundred quid.

Who said about flogging anything to anyone ? In order to trade you have to deal through institutions who can offer reasonable rates. Just because you want to do business doesn't mean they want to do business with you.

 

[BeginnerJoe]

yup. you are naive. the other option is extremely wealthy (but somehow i doubt that).

1. if someone has a working algo - what does he need you for? maybe you're confusing an algo with a system. if someone has a system even with the most clear-cut rules - he still doesn't have an algo.
2. you'd have to create (as the techy) the translation of trading rules into a computerized automatic algo - that's the difficulty. there are many issues that a trader don't think about and usually don't have answers to in advance. and you as the computer guy don't have a clue about markets so you won't know what questions to ask.
3. so what happens is that you debug and debug (while hopefully not losing too much money).
4. and what about learning the ins and outs of building a sound algo? what if you (or your partner) would make mistakes in terms of algo architecture, and have a working algo that would only work on 2 markets for 4 months?

5. so finding institutions that'll work with you is easy? how about getting at least stable 6 months of data (if not a year) - and of course those should show pretty good results - oh yeah on REAL account - AKA - your money.
6. data is last? how come? how can you trade without some sort of data in the first place?

7.again, I'm not going to discourage you - I'm just trying to show you that as a computer literate but market illiterate searching for the opposite partner - you have a lot of knowledge gaps that cannot be bridged without trial and error.

the only way you can minimize these bumps is by gaining market experience yourself or team up with a somewhat computer literate partner.

good luck

Er, ok. Well I can build algo and I need someone who knows how to trade. That's it. It's that simple. I have done it before, and found no complication, except the guy I worked with hadn't a clue about trading. He probably got his algo from one of those learn-how-to-trade seminars.

I am now interested to partner up with someone who knows what his doing. I don't know anything about the debugging you are talking about. My systems usually have no bugs. Yes, I am that good.

 

[amnonco]

I think teaming up with someone is exactly what he is trying to do.

As for flogging the end product around various institutions who might be willing to use the system, I think that is a poor way to do it. I've read that some of these institutions don't even invest in trend following. You have to blind them with Sharpe Ratios and the other stuff that N N Taleb would frown upon.

Put your own money down - if the system's any good, you'll be far better off that way. Start off with micro-lots on 4X or spiders on S&P if you only have a few hundred quid.

1. what i ment was that his partner needs to know something about coding, and algo architecture.

2. looking for "outside" investment is a business decision. both options has pros and cons and one must weigh them in light of his goals. there's no right way to go.

 

[amnonco]

Er, ok. Well I can build algo and I need someone who knows how to trade. That's it. It's that simple. I have done it before, and found no complication, except the guy I worked with hadn't a clue about trading. He probably got his algo from one of those learn-how-to-trade seminars.

I am now interested to partner up with someone who knows what his doing. I don't know anything about the debugging you are talking about. My systems usually have no bugs. Yes, I am that good.

i wasn't implying anything about your skills. the bugs i mentioned are more trading related, not API/coding/Software related.

examples. the trader guy tells you you have to buy X units of a stock at price Y.

a. what if you get partial fill? you think the trader thought of that?
b. when do you buy? when the last price is Y or maybe when the ask price is Y?
c. what if there isn't enough quantity in the Y price?
d. what if due to lag price changed too fast and you have no fill?
e. do you send market orders or limit orders? you think the trader knows the exact implications of real life unavoidable slippage on his system?

the list goes on and on and traders simply don't think about all possibilities. whereas you as the coder should have answers to all these questions (and more).

that's why it's a process of trial and error.
there couldn't be a simple - "give me the rules and I code it for you",
because traders don't really know all the rules. they only think they do.

(btw - not trying to dis traders - I am one)

not to mention that you completely ignored business side of things.
you're a genius coder i'll give you that - but what about businessman?


main point: it's not that easy and not "very simple". entry bar to this "industry" isn't so low. learn from others mistakes.

 

[the hare]

My systems usually have no bugs. Yes, I am that good.

The key word in the statement above is usually

IT literacy really isnt the issue, without domain knowledge you are screwed. The worst part is that you cant gain that domain knowledge by working with traders, you can only learn that stuff from someone whose already doing this stuff, or by figuring it out for yourself.

IT skills will not get you an invitation to this particular party. The guys who know how to do this can code, if they couldnt code, they would never have developed the domain expertese thats required in the first place.

 

[Adamus]

OK I have got the lines crossed a bit here.

Let's forget about who is meant to invest in it, it detracts from the topic.

The main problem for Beginner Joe is this: he's offering to code up an algo if you're a trader who has one, but traders only get to the point of having an algo that's ready to go after they have done a significant amount of testing on it already to be sure that they're not wasting their time with a duff system.

So how does a trader get to that point? If we're talking about me (being already part mechanised), it's by coding up the algo to backtest it, tweak it, analyse it, and then if it's good enough, to test it out-of-sample, and then to test it real-time in sim.

I get an idea and knock up a quick script in NinjaTrader and test it and from there on in, it gets more and more complicated with every step (the process I mean, not the system). If I was unhappy trading live real money on NinjaTrader, then I'd contract someone like you @Beginner Joe to code it up in Java or C++, but I wouldn't hang around waiting for you to pop up - I'd go out and find you. That's what most people I talk to have done.

Alternatively you can take the approach that @Amnonco is talking about - you get together with a profitable chart trader who hasn't mechanised anything, and you create a program that is essentially a brain-dump of his subconcious reactions while working a trade with his favoured TA set-up. But you need to bring more to the table than coding skills. You need to be a skilled analyst, for all the reasons @Amnonco mentioned. Or the trader needs to be skilled at guiding you.

You said your last contact was useless - but it's probably the communication that failed, not his trading skills.

 

[BeginnerJoe]

i wasn't implying anything about your skills. the bugs i mentioned are more trading related, not API/coding/Software related.

examples. the trader guy tells you you have to buy X units of a stock at price Y.

a. what if you get partial fill? you think the trader thought of that?
b. when do you buy? when the last price is Y or maybe when the ask price is Y?
c. what if there isn't enough quantity in the Y price?
d. what if due to lag price changed too fast and you have no fill?
e. do you send market orders or limit orders? you think the trader knows the exact implications of real life unavoidable slippage on his system?

the list goes on and on and traders simply don't think about all possibilities. whereas you as the coder should have answers to all these questions (and more).

that's why it's a process of trial and error.
there couldn't be a simple - "give me the rules and I code it for you",
because traders don't really know all the rules. they only think they do.

(btw - not trying to dis traders - I am one)

not to mention that you completely ignored business side of things.
you're a genius coder i'll give you that - but what about businessman?


main point: it's not that easy and not "very simple". entry bar to this "industry" isn't so low. learn from others mistakes.

Well, you are too complicated for me. I am not your style of coder, and I find coding and related development processes far less interesting than making money. As far as I am concerned the technology and technical side of it is irrelevant and I can use anything to do anything. What I am looking for is someone who wants to automate and don't have the capability or the desire for the work.

The question then comes down to are there people out there looking to automate for the reason I gave. I believe yes. You and others probably believe no. But that is irrelevant. I am stating my interest. If there are people interested, they know where to find me. I believe there are plenty of people who came from well funded automated environments who might want to go it on their own to duplicate their previous success using a smaller budget. They would be my target audience.

 

[ytrewq.123]

It's not that complicated. All you need to work with is a structural movement model wrapped with basic stats workaround. Avoid creating a frankenstein built from all the t/a brainwashing nonsense. No advanced calculation method can save you from working with a faulty foundation.

Rethink everything. When you are done, the proof will be in the numbers and not to others. If you can build a minimal-bug system, all you need now is just a creative knock on your head.

 

[JahDave]

It's not that complicated. All you need to work with is a structural movement model wrapped with basic stats workaround. Avoid creating a frankenstein built from all the t/a brainwashing nonsense. No advanced calculation method can save you from working with a faulty foundation.

Rethink everything. When you are done, the proof will be in the numbers and not to others. If you can build a minimal-bug system, all you need now is just a creative knock on your head.

I have an idea for a trading system, but I cannot code it, because I don't know how.............I think it would work because I manually trade it and it does...........

 

[BeginnerJoe]

I have an idea for a trading system, but I cannot code it, because I don't know how.............I think it would work because I manually trade it and it does...........

It takes a lot of investment and effort to get a system going. So just 'think it would work' is not adequate. You have to be absolutely sure. If you explain what kind or strategy it is (not necessarily in detail to reveal your secrets), and what kind of data it depends on, I can tell you whether such a system is possible.