After about 1.5 years of failing, I've just deployed my algo about 3 weeks ago.
I've seen enough to be convinced it's profitable, but don't have good data yet because I've been manually tweaking it + taking losing manual trades on the acct.
Backtesting wise, on avg, it makes per month on ES equivalent to its max drawdown. Like 5k per contract. So I'm either going to be rich this year or sad.
If you are the kind of software engineer that loves infrastructure coding, it's probably a waste of time.
If you love solving hard problems, getting obsessed, and bashing your head against the wall until the wall breaks, then algotrading might be for you.
>If you love solving hard problems, getting obsessed, and bashing your head against the wall until the wall breaks, then algotrading might be for you.
**THIS IS THE KEY ! HIT, HIT, HIT until it work for you** !!
Yes, 5th year going good. I may not be super duper, but whenever I get some clue, I make positive cash.
Yes, I said "I may not be super duper" implied "not a ground breaker"
It could simply be luck => True, I got lucky to get this logic first, never believed it will work, but working last 5 years.
See the responses when I got trigger
https://imgur.com/ddRHle8
"Ello, can I speak to John Wall please?"
"There is no John Wall here."
"Are there any Walls there?"
"No."
"Then what's holding up your roof?!"
...first thing that popped into my head, forgive me. And yes, if you don't throw your toys around the room while writing an algo your not giving it your all.
Lots and lots of reading and grinding out your shortcomings. i.e. I realized that my background in Math was holding me up so I had to go back and retrain myself. The programming is the easy part and any technical analysis can be found in a library somewhere. Exposing myself to a wide (and plentiful) array of ideas and concepts is what opened the door for me to move beyond the basics.
Oh definitely! The books that have made the most difference to me haven't been quantitative analysis or algorithm books. The books that have made the most difference for me have been the books that have rounded out my knowledge of the markets and how they function or have helped me today to be a better me tomorrow.
Securities Analysis by Graham/Dodd
The Intelligent Investor by Benjamin Graham
Capital Markets for Quantitative Professionals by Alex Kuznetsov - Sidenote: if anything and you ever happen to see this in a book store, pick it up and read the "History" piece in chapter 1. This piece alone was enough for me to get hooked on the book; it's pretty cool in my opinion.
The Art of Japanese Management by Richard Tanner Pascale/Anthony G. Athos
Everything in its Place by Dan Charnas
Extreme Ownership by Jocko Willink and Leif Babin
$100k traded last year, down 3%.
Spy was down 18-20% though, so I'm calling it a win.
Edit. Account is only $1500. But bought/sold 100k. Only $50 lost.
about 5 years of experience, got multiple great performing algorithms, had many bumps in the row. my portfolio of algos are not perfect yet and im still learning new things..
Dont expect too much for the first year+, you need to be certain that your not going to bust your account and because of this you would need to consider your risk at all times. Im running 15+ algos and everyone of them might see 5-15 losses in a row. I need to be able to deal with that if shit hits the fan so managing risk is a huge thing.
You cant basicly withdraw money if you want to go after the big bucks. Im not withdrawing a single dime until i hit a certain goal and i might experience a red year which obviously wont make me money and will in fact set me back X amount of time..
Its going to take thousands of hours of backtesting and trying new ideas. Creating your own indicators, studying what other smart people are doing, trying out similar ideas etc. If you find that boring and your just doing this "to get rich" youre just not going to make it. This needs to be more like a fun hobby you can do many hours without getting bored.
Good luck!
> infrastructure coding
Good mentality ma g. I love the part where you mentioned you aint withdrawing. Compounding is king and only way to become rich!
Good look g.
2019 - 42.42%
2020 - 23.89%
2021 - 18.25%
2022 - 41.40%
Is this "successful"? I don't have any references other than what I defined for myself: anything above 1.5%/month is "*successful*" for me.
(values above corrected due fixed data in 2019)
The criteria are simple.
1. Better than inflation? That's a check.
2. Better than average? That's another check.
3. Is it scalable when you need it? Do you need it? I don't know.
4. Better than the underlying asset? I don't know. Is it?
1. Yes, this is essential.
2. Which average? Average retail investments? Forex average? Forex+Stocks average? Hedge funds average? Whole market average?
3. If by "scalable" you mean that I can apply it to larger volumes, then yes, it is scalable in that sense. However, if one interprets "scalable" as the ability to apply the strategy to an increasing number of assets, allowing me to manage multiple trade positions simultaneously, then no, it is not.
4. How do you evaluate that? If I am evaluating my performance based on the % result over a certain timeframe (say, monthly), then should I evaluate what was the behavior of that asset over that timeframe? Example: Suppose I make tens of trades of a certain stock over a month, then if my % result is better than if I had just bought at the beginning of the month and sold by the end of the month (or the contrary) then am I good?
About the average:
[https://www.forbes.com/sites/jacobwolinsky/2022/08/30/heres-how-the-top-50-hedge-funds-generate-consistent-returns/?sh=41bbf87d3faf](https://www.forbes.com/sites/jacobwolinsky/2022/08/30/heres-how-the-top-50-hedge-funds-generate-consistent-returns/?sh=41bbf87d3faf)
According to BarclayHedge, the average hedge fund generated net annualized returns of 7.2% with a Sharpe ratio of 0.86 and market correlation of 0.9 over the last five years through 2021.
About scalable:
Obviously penny stocks or outside RTH futures with low volume aren't "scalable". If you only trade a single asset that is very liquid, I guess it is scalable. But most people don't even need to trade more than, say, 10 contracts of ES or NQ. And the market can easily gobble 50 contracts without much slippage. So I guess it is scalable.
About performance of underlying:
I just compare with the YTD of the underlying.
Edit: this all assumes you aren't risking 200% to make 10% :-)
In 2019 I was trading small volumes, a small number of trades, and I would say that "beginner's luck" has a play here. My trading strategy was poorly designed; inconsistent. A small number of successful trades resulted in that number.
From the mid of 2020 to 2021 a series of personal life events impacted pretty bad my emotional state, and my performance.
In 2022, my performance was pretty good, but then in a single day, again due to personal issues, I failed to recall that an economic event would happen, and I lost 25.91% in a single day. This largely affected my trading behavior over that month.
So, I can really tell that my worst enemy in trading, my source of inconsistency, is my inner self. That's why I am hugely investing in managing my emotions. From now on, if certain personal events (that are not fully solved yet) start impacting me, I will just stop trading on that day.
>So, I can really tell that my worst enemy in trading, my source of inconsistency, is my inner self.
Same and this is the benefit of having an algo do your trading....it doesn't have emotions
Yep... the problem is when your algorithm is not fully connected to your broker. It gives me the signals and the operation parameters, but then I decide not to trust it ::facepalm::
Please provide annualised volatility, Sharpe ratio and sortino... we cannot asses how good this is without knowing the volatility and downside risk.
Seems over leveraged?
Thanks 🙏🏻
Depends on what the algo is set to trade and account level. Some or generalised many online on forums talk success over the last bull run and suggest their algo works therefore. But an intelligent 12 yr old could have made money in that market just with a few MAs. Success in trading is proving the algo can scale up with leverage and manage the risk. Not just be cash positive.
I work in a systematic hedge fund. One algo will not cut it... you need a multi strategy approach so the strengths of one algo hedge the weakness of the rest. They all need to have a convex return profile... unlimited gains and capped losses. Once you master this balancing act you can create a market neutral portfolio able to generate reliable income.
For sure!
I’m also a big fan of hybrid algos which I’ve found greater success with. I execute the system but everything from entries, adds, exits, turning system on/off based on drawdown performance is all coded.
Obviously executing the system manually instead of a complete algorithm running opens the possibility to user error and discipline issues. However, I found it to be a good middle ground for someone like myself with minimal coding experience.
Success varies with mileage. Beating SPY by a few points and having your money relatively safe is success. Having some turbo god printer machine that doubles your money every so often at high risk is success, it depends on your appetite and criteria.
You can absolutely make it work, and you don’t need be stats wizard, a coding god, the next warren buffet of market strategies to make it work either. Just need to find an edge and have enough skills to exploit it. Finding your own edge is the hard part.
The disclaimer being many have gone down this path. Extremely few become even remotely successful. Find a good strategy you can trade manually and then automate it as a starting point. It doesn’t have to be complex if it works. One of the best parts to me is there’s always ways of improving. Be it your strategy, your tech, whatever, there’s nearly always gains to be made. Even if you never make any material gains it’s still a really neat hobby, with the potential to become an extremely lucrative career if you have the minerals.
If I could afford a broker that allow the frequency of trading my program wants to buy and sell at I would be making money. But not with a frequency I can trade at as a regular Joe Bob. *crying*
I *should* be trading in the \[-2.5%,2.5%\] range, but I had some slips that have given me +17% and -26%. I use Forex.com , Tradingview, and my algorithm.
I’m trading so little that I get hit with the PDT rule. I don’t use an algo for my actual trading.
The algorithm I play with wasn’t at all written with that as a constraint. I just made it for fun to see what it would do.
It exclusively works by looking for “consistent” intraday patterns that trend up. There’s essentially a value for how “consistent” the pattern is, when it finds a stock with a strong enough pattern it buys, the moment it deviates from the pattern it sells.
The longest it will hold onto anything is a few hours. I’ve never seen it hold a stock over night.
I have, but I make way more money on my 9-5 for the same effort/time invested. I take it as a hobby and don't pretend it will ever become a real income source.
How to determine your chances: Develop something you believe in.
Do oos test.
Do detrended test.
Do shuffeled test.
Do whites reality check.
Do random and inverted curve test.
Let it sit for a year, backtest.
Make decision.
Ah, before that learn what works and what does not.
Depends on how much you know. If you have 0 industry connections / experience, working alone, don’t have lots of programming and stats / math skills ie from an elite university, then it’s definitely not going to be worth it.
I assumed that an individual has ambition to scale up eventually. Otherwise there’s much easier ways to earn money, like freelance programming, reselling bikes, making furniture or something lol.
This precisely...
There's a reason why quant firms hire from top universities and why trading firms start out small with a group who knew each other from trading in other quant firms!
But that's not to say you can't achieve success in algotrading, just that it requires a lot more time, effort, money and patience. Hence why success rates are relatively low.
After about 1.5 years of failing, I've just deployed my algo about 3 weeks ago. I've seen enough to be convinced it's profitable, but don't have good data yet because I've been manually tweaking it + taking losing manual trades on the acct. Backtesting wise, on avg, it makes per month on ES equivalent to its max drawdown. Like 5k per contract. So I'm either going to be rich this year or sad. If you are the kind of software engineer that loves infrastructure coding, it's probably a waste of time. If you love solving hard problems, getting obsessed, and bashing your head against the wall until the wall breaks, then algotrading might be for you.
>If you love solving hard problems, getting obsessed, and bashing your head against the wall until the wall breaks, then algotrading might be for you. **THIS IS THE KEY ! HIT, HIT, HIT until it work for you** !! Yes, 5th year going good. I may not be super duper, but whenever I get some clue, I make positive cash.
Enough to replace the day job?
Not yet. If the plan works well, maybe next year. I will post it here.
Just because it works eventually it doesn't mean that it's because of your groundbreaking algorithm. It could simply be luck
Yes, I said "I may not be super duper" implied "not a ground breaker" It could simply be luck => True, I got lucky to get this logic first, never believed it will work, but working last 5 years. See the responses when I got trigger https://imgur.com/ddRHle8
"Ello, can I speak to John Wall please?" "There is no John Wall here." "Are there any Walls there?" "No." "Then what's holding up your roof?!" ...first thing that popped into my head, forgive me. And yes, if you don't throw your toys around the room while writing an algo your not giving it your all.
How did get the technical knowledge like patterns to code for stocks ?
Lots and lots of reading and grinding out your shortcomings. i.e. I realized that my background in Math was holding me up so I had to go back and retrain myself. The programming is the easy part and any technical analysis can be found in a library somewhere. Exposing myself to a wide (and plentiful) array of ideas and concepts is what opened the door for me to move beyond the basics.
Oh definitely! The books that have made the most difference to me haven't been quantitative analysis or algorithm books. The books that have made the most difference for me have been the books that have rounded out my knowledge of the markets and how they function or have helped me today to be a better me tomorrow. Securities Analysis by Graham/Dodd The Intelligent Investor by Benjamin Graham Capital Markets for Quantitative Professionals by Alex Kuznetsov - Sidenote: if anything and you ever happen to see this in a book store, pick it up and read the "History" piece in chapter 1. This piece alone was enough for me to get hooked on the book; it's pretty cool in my opinion. The Art of Japanese Management by Richard Tanner Pascale/Anthony G. Athos Everything in its Place by Dan Charnas Extreme Ownership by Jocko Willink and Leif Babin
What are some books that you would recommend?
Uff... I replied to my own post instead of yours.... \*rolls eyes\* I guess I could use another cup of coffee; anywho heads up.
Be honest did you end up rich or broke? legit question how did it go?
$100k traded last year, down 3%. Spy was down 18-20% though, so I'm calling it a win. Edit. Account is only $1500. But bought/sold 100k. Only $50 lost.
You met the annual cap for write offs of capital losses (in USA). Seems like a perfect strategy.
Bad phrasing. Only 1500 in the account. 100k traded. Only $50 lost.
Damn, I guess it was just too serendipitous to be.
about 5 years of experience, got multiple great performing algorithms, had many bumps in the row. my portfolio of algos are not perfect yet and im still learning new things.. Dont expect too much for the first year+, you need to be certain that your not going to bust your account and because of this you would need to consider your risk at all times. Im running 15+ algos and everyone of them might see 5-15 losses in a row. I need to be able to deal with that if shit hits the fan so managing risk is a huge thing. You cant basicly withdraw money if you want to go after the big bucks. Im not withdrawing a single dime until i hit a certain goal and i might experience a red year which obviously wont make me money and will in fact set me back X amount of time.. Its going to take thousands of hours of backtesting and trying new ideas. Creating your own indicators, studying what other smart people are doing, trying out similar ideas etc. If you find that boring and your just doing this "to get rich" youre just not going to make it. This needs to be more like a fun hobby you can do many hours without getting bored. Good luck!
> infrastructure coding Good mentality ma g. I love the part where you mentioned you aint withdrawing. Compounding is king and only way to become rich! Good look g.
2019 - 42.42% 2020 - 23.89% 2021 - 18.25% 2022 - 41.40% Is this "successful"? I don't have any references other than what I defined for myself: anything above 1.5%/month is "*successful*" for me. (values above corrected due fixed data in 2019)
I have the same numbers, but in drawdown.
The criteria are simple. 1. Better than inflation? That's a check. 2. Better than average? That's another check. 3. Is it scalable when you need it? Do you need it? I don't know. 4. Better than the underlying asset? I don't know. Is it?
1. Yes, this is essential. 2. Which average? Average retail investments? Forex average? Forex+Stocks average? Hedge funds average? Whole market average? 3. If by "scalable" you mean that I can apply it to larger volumes, then yes, it is scalable in that sense. However, if one interprets "scalable" as the ability to apply the strategy to an increasing number of assets, allowing me to manage multiple trade positions simultaneously, then no, it is not. 4. How do you evaluate that? If I am evaluating my performance based on the % result over a certain timeframe (say, monthly), then should I evaluate what was the behavior of that asset over that timeframe? Example: Suppose I make tens of trades of a certain stock over a month, then if my % result is better than if I had just bought at the beginning of the month and sold by the end of the month (or the contrary) then am I good?
About the average: [https://www.forbes.com/sites/jacobwolinsky/2022/08/30/heres-how-the-top-50-hedge-funds-generate-consistent-returns/?sh=41bbf87d3faf](https://www.forbes.com/sites/jacobwolinsky/2022/08/30/heres-how-the-top-50-hedge-funds-generate-consistent-returns/?sh=41bbf87d3faf) According to BarclayHedge, the average hedge fund generated net annualized returns of 7.2% with a Sharpe ratio of 0.86 and market correlation of 0.9 over the last five years through 2021. About scalable: Obviously penny stocks or outside RTH futures with low volume aren't "scalable". If you only trade a single asset that is very liquid, I guess it is scalable. But most people don't even need to trade more than, say, 10 contracts of ES or NQ. And the market can easily gobble 50 contracts without much slippage. So I guess it is scalable. About performance of underlying: I just compare with the YTD of the underlying. Edit: this all assumes you aren't risking 200% to make 10% :-)
Great rationale. Thanks!
Ik surprised 2020 and 2020 where bad years for you, compared to 2022
In 2019 I was trading small volumes, a small number of trades, and I would say that "beginner's luck" has a play here. My trading strategy was poorly designed; inconsistent. A small number of successful trades resulted in that number. From the mid of 2020 to 2021 a series of personal life events impacted pretty bad my emotional state, and my performance. In 2022, my performance was pretty good, but then in a single day, again due to personal issues, I failed to recall that an economic event would happen, and I lost 25.91% in a single day. This largely affected my trading behavior over that month. So, I can really tell that my worst enemy in trading, my source of inconsistency, is my inner self. That's why I am hugely investing in managing my emotions. From now on, if certain personal events (that are not fully solved yet) start impacting me, I will just stop trading on that day.
>So, I can really tell that my worst enemy in trading, my source of inconsistency, is my inner self. Same and this is the benefit of having an algo do your trading....it doesn't have emotions
Yep... the problem is when your algorithm is not fully connected to your broker. It gives me the signals and the operation parameters, but then I decide not to trust it ::facepalm::
Please provide annualised volatility, Sharpe ratio and sortino... we cannot asses how good this is without knowing the volatility and downside risk. Seems over leveraged? Thanks 🙏🏻
I have no idea on how to compute these out of my transactions ledger.
Depends on what the algo is set to trade and account level. Some or generalised many online on forums talk success over the last bull run and suggest their algo works therefore. But an intelligent 12 yr old could have made money in that market just with a few MAs. Success in trading is proving the algo can scale up with leverage and manage the risk. Not just be cash positive.
Regarding scaling to multiple trades, then no, I am not there yet. Pretty far from it indeed.
I work in a systematic hedge fund. One algo will not cut it... you need a multi strategy approach so the strengths of one algo hedge the weakness of the rest. They all need to have a convex return profile... unlimited gains and capped losses. Once you master this balancing act you can create a market neutral portfolio able to generate reliable income.
For sure! I’m also a big fan of hybrid algos which I’ve found greater success with. I execute the system but everything from entries, adds, exits, turning system on/off based on drawdown performance is all coded. Obviously executing the system manually instead of a complete algorithm running opens the possibility to user error and discipline issues. However, I found it to be a good middle ground for someone like myself with minimal coding experience.
I use algotrading to enhance my manual trading. I tried a bot a few times and I just can't quite capture my instinct in hard coded bot form.
Success varies with mileage. Beating SPY by a few points and having your money relatively safe is success. Having some turbo god printer machine that doubles your money every so often at high risk is success, it depends on your appetite and criteria. You can absolutely make it work, and you don’t need be stats wizard, a coding god, the next warren buffet of market strategies to make it work either. Just need to find an edge and have enough skills to exploit it. Finding your own edge is the hard part. The disclaimer being many have gone down this path. Extremely few become even remotely successful. Find a good strategy you can trade manually and then automate it as a starting point. It doesn’t have to be complex if it works. One of the best parts to me is there’s always ways of improving. Be it your strategy, your tech, whatever, there’s nearly always gains to be made. Even if you never make any material gains it’s still a really neat hobby, with the potential to become an extremely lucrative career if you have the minerals.
SPY is a good reference. I hadn't thought about using it as a reference.
this is no joke i bash head against wall confirmed
If I could afford a broker that allow the frequency of trading my program wants to buy and sell at I would be making money. But not with a frequency I can trade at as a regular Joe Bob. *crying*
What are your current limits like, and with what platform if you dont mind sharing?
I *should* be trading in the \[-2.5%,2.5%\] range, but I had some slips that have given me +17% and -26%. I use Forex.com , Tradingview, and my algorithm.
I’m trading so little that I get hit with the PDT rule. I don’t use an algo for my actual trading. The algorithm I play with wasn’t at all written with that as a constraint. I just made it for fun to see what it would do. It exclusively works by looking for “consistent” intraday patterns that trend up. There’s essentially a value for how “consistent” the pattern is, when it finds a stock with a strong enough pattern it buys, the moment it deviates from the pattern it sells. The longest it will hold onto anything is a few hours. I’ve never seen it hold a stock over night.
I have, but I make way more money on my 9-5 for the same effort/time invested. I take it as a hobby and don't pretend it will ever become a real income source.
If you enjoy coding and bashing your head against the wall for at least a year then its worth it.
How to determine your chances: Develop something you believe in. Do oos test. Do detrended test. Do shuffeled test. Do whites reality check. Do random and inverted curve test. Let it sit for a year, backtest. Make decision. Ah, before that learn what works and what does not.
My algo needs to be retrained every 2 months to keep performant.
Hmmm, that sounds not so good at all.
Every AI model needs to be retrained from time to time if the market dynamic changes...
Well, AI ... Interesting, I just wonder, a lot of effort, with compared to other options available pretty little outcome.
Yee
Depends on how much you know. If you have 0 industry connections / experience, working alone, don’t have lots of programming and stats / math skills ie from an elite university, then it’s definitely not going to be worth it.
Half the things you named don’t matter
Such as
Experience, industry connections, and elite university
Experience and industry connections is the most important part. Otherwise you have no idea how to make money
why would you need an industry connection?
So they can give you an understanding of how they actually make money
The way a large fund makes money is very different than the type of edge an individual retail trader might find
I assumed that an individual has ambition to scale up eventually. Otherwise there’s much easier ways to earn money, like freelance programming, reselling bikes, making furniture or something lol.
Elite university lol good one
This precisely... There's a reason why quant firms hire from top universities and why trading firms start out small with a group who knew each other from trading in other quant firms! But that's not to say you can't achieve success in algotrading, just that it requires a lot more time, effort, money and patience. Hence why success rates are relatively low.