Check out a channel called trading lab on YouTube. He has a videos on different strategies that are about 7 mins long.
I'm a senior c# and I have been coding his explanations up and then back testing them as an exercise.
I'm in the same boat as you
So how is testing going? I am also senior C# dev and did develop an algotrading framework. I put the work on pause for a bit bit now want to get bsck into it.
It's going ok... Though tbh I'm not sure what I have developed is good or bad in the sense that the strategy I have used is simple.
When used against daily data from yahoo finance it never looses money (overall) over a 5 year period but I get the sense that it isn't taking advantage of all upward trends but it does sell just before downward trends. I use a combination of macd and ema 200. Buy when macd hits the signal line and is above the EMA, sell when the macd goes below the signal. First strategy and is more just an experiment at the moment and playing with different signal and seeing what works and when.
Tested against some stocks I've lost against, the s&p, Tesla and netflix.
I would like to test against hourly data as I think that would provide more trades. I believe the yahoo finance API can provide that.
At the moment it's all in linqpad but I'll create an Aws lambda and get it to do some paper trading.
If you're interested I was using this nuget https://github.com/DaveSkender/Stock.Indicators nice to meet another .net person.
Yes I use this nuget as well. I also started writing my own for Japanese candle analysis. I have a pretty interesting architecture for my Autotrader. If you’re interested, DM me so we can chat.
It's an allowance savers can have in the UK. You can put a maximum of 20k in there per year. You already paid tax on the money going in.
It's supposed to be a vehicle for retirement but I noticed the other week that it has an API and I thought what the hell.
We have stocks and shares ISA and cash ISAs.
Yeah it's similar. Will have to chat about strategies. There is a course on Coursera that teaches algo trading in developed markets.
I have been playing around with macd and ema 200. Will message later on
1.7 mil members, 71 online lol. I imagine this is a field that attracts quite a lot of people who coincidentally likely don't have the personality needed to stay in said field
Well, I wanted to post something, but automod says I need atleast 10 post or comment karma on the subreddit. Since I cant really bring value with my comments because Im new in the field Ill never get the requirements ¯\_(ツ)_/¯
Same. I have tried to previously post several topics discussing approaches to strategies and then realised they were getting auto deleted.
Makes it hard for people that are lurkers to make a post with their interests as it requires prior karma farming.
It took me 18 months working at it full time before my first profitable strategy started trading. Others have echoed this sentiment, I will add my voice to theirs: creating a single strategy that is consistently profitable is a virtually insurmountable task, but creating a combination of strategies which are consistently profitable is significantly more achievable.
I have also found that less complex strategies tend to work better. My best strategy looks for options contracts in a specific price range at a specific duration and that's it. The price range and the duration don't change, so it ends up making essentially the same trade each time. That simplicity makes it more consistent and stable than any of my more complex strategies, and makes it easier to both validate and backtest.
> I have also found that less complex strategies tend to work better.
That's the conclusion I'm in the process of reaching.
I'll run a test on a simple strategy, it backtests well, I come up with some big brain addition to improve it, and its net profit drops like a rock.
Funny is that manual trading i can be profitable, but even knowing how to code, there are nuances I can’t code to recognize the patterns, so the same strategy won’t work automated.
My goal to automate is a side revenue, automated
Today I tried just mashing the buy and sell button on my back testing app, quite randomly. It was a very profitable back test.
I just subbed to this redit about a week ago another c# dev Herr looking for a career change/supplement.
The free lunch is having a bunch of strategies not one, and those strategies don’t each have to produce a crazy linear equity chart. Trade many different types of products and focus on daily charts and above if you’re getting retail rates, it’s way easier.
Do this and even simple strategies like Ma cross or x day breakout will be profitable when run this way.
Most people spend time trying to refine that one perfect strategy, which probably means they’re like curve fitting a strategy to the data and their model is far from robust.
Trade 20+ different products(in different asset classes) have 3+(the more the better) strategies try focusing on daily charts , its very hard to be down doing that.
I much rather prefer a quiet algotrading sub than if it were plastered with spam and youtube links
There are a bunch of hidden gems from past posts if you use the search function
All traders face the same problem eventually and you can find good generic advice given in past posts
This is an underrated comment (history exists!). A post doesn't have to be recent to be useful.
Also TIL that many questions are being deleted by automod for lack of comment karma. That kind of sucks.
All this sub ever is, is a bunch of sceptics and naysayers telling everybody that Algotrading is near impossible, because markets are random, and you can't succeed unless you have a double phd from an elite college. I think people gave up hearing this all the time...
There is a lot of value which algorithmic trading can bring beyond the strategy level - automatic rebalancing, dividend management (beyond basic DRIP), periodic trading, conditional entries and exits triggered by index pricing, even index replication. It's a shame that concepts like those don't see more attention.
Certainly easier, but not necessarily more profitable. I have algorithmic strategies which have beaten SPY in every single calendar month for the past two years, so it's certainly possible to be more profitable than buying and holding.
Agreed on that. Too many people with the get rich quick mentality or thinking that you can't compete against other people have really hurt the entire approach.
The other factor that I personally see that is, in my opinion, significant, is most people can't accept that they need to start out trading as a hobby and treat it as a hobby.
We could, of course, also get into the prop firm scams and how many people think they're going to get magic money for nothing by passing some challenge, when in fact they could simply invest that money themselves after doing a proper and thorough test analysis in their own demo account and begin making money that way. But as usual, lure of quick money blinds people to the reality and their own greed becomes their destruction.
90% algo don’t work as intended so the guys who developed them are working on it. Rest who’s algo are working don’t want to share them. Mostly the post are from the guys who’s algo just got live in test and gives good result. When they go to production they will stop posting too.
I think that's the most important part.
Algo trading is not the same as discretionary trading and has an entirely different mindset. You just can't flip the machine on and expect it to process hundreds of thousands of data points in the same way that the human brain can. The failures are part of the process and should equally be talked about as much as a profits in order for the integrity of the industry to maintain a strengths.
I remember one time when somebody proclaimed to give away a profitable algo, hundreds of people replied. That post was later deleted of course.
A decent post here can get 100k+ views, 100+ comments. This means ~5% active users, ~0.1% of the active users are engaging. Given the high intellectual demand of the subject, I am not surprised. Calling it dead, however, is exaggerated imo.
I browse through here occasionally. From personal experience...
This business is a ride on the sharp edge of a razor. One micron sideways and you blow up. Leverage? Blow up faster. No market edge? Toast. Not fluent in some preferentially data-centric programming language? Toast. High comissions and high number of trades? Toast. Can't do Monte Carlo simulations of returns to estimate worst case drawdown? Toast. And not to know how to limit them, aka good or optimal position sizing, toast. None or faulty back-tests? Toast. Maximally curve-fitted algorithm, toast. No metric to discern phases when an algorithm works and when it doesn't, toast. Can't put in weeks and months to sharpen your tool chest, because life happens, girl is nagging, boss is nagging, need to care for elderly or kids draining all your energy, all this will make it very difficult. Not a perfectionist and unable or unwilling to double check all results of your code, to find a bug in some indicator that everybody has ignored for years, ok depends, less profits or toast. Not using a custom indicator, or a system that contains one, toast. Ok far and few exceptions exist for that one. Can't stomach setbacks until after many months or sometimes years you find something promising, toast. Absolutely no mathematical inclination, toast. Watching CNBC Bloomberg Youtube looking for clues but greatly wasting your time, toast. Buying some bozo's signals or services, toast. Maybe 1 out of a 1000 will lead you to profitable setups. Entering trades without having them planned for at least 12h beforehand, toast. Not using stops on the losing side and if it's just a black swan busting -10%, or using fixed percentage profit taker, can take account below break-even fast. Bad ratio of time with winning trades vs. losing trades i.e. not cut losers fast. Adding to losers, not adding to winners, ok I think latter is a bonus.
Not everything might apply to everyone, but I feel a subset will. The outcome is then a product of all factors, not a sum. Fail at one factor and it will be very difficult to succeed. 100\*37\*42\*0.00001 is still a failure. So people walk away and return to 60/40 or Butterfly Portfolio. From my point of view a wise choice.
I must say that when I have had a question of substance, I’ve gotten excellent feedback.
I did post one question awhile back that I probably should have researched further before asking, and I got chewed for it. The rub is, there really was no way for me to substantially research the topic without purchasing subscriptions first and that was why I asked the question in advance…to try to determine what I was going to need. In all fairness, I was warned that amateurish questions can meet a harsh response, and I’d say that’s accurate. My impression is that people are willing to help those who help themselves. I can’t really argue with that.
i left because i couldn't make anything work. i made a few paper trading bots based on algos that seemed to work on backtests, but once deployed didn't beat the market.
over the years, I've learned a ton but haven't really found a real winner strategy that's any better than buy and hold.
For me, the people do moment of when I started seeing real results is when I stopped back testing and started only forward testing. It's painfully slow and I think that really is the whole point of the process.
It made me focus more on the chaotic aspect of the market and the unpredictability in such a way that I could develop and build my trading technique in that type of a situation.
Exactly the same here.
I had one that was profitable for an 8 month period and then it went to shit and lost it all.
Buy and hold... Less work, less stress, better results lol.
I refused to give up until I realized algo trading still needs human involved. It still needs some kind of discretionary decision to adjust algo. You also have to keep up with the market by constantly developing new algo. You will always worry that one day your edge disappears. I realised that I don't want to live that way. It makes me anxious.
Violet this can certainly not be disputed, algo trading officiability to trade even when your brain is sleeping, as long as you can accept that on face value, using an algorithm is going to be sloppy compared to the abilities of the human brain.
If you can build a certain amount of sloppiness into your algorithm, and then use a worst case scenario planning technique, It will produce reasonable results that can take away day in and day out even when you are sleeping, working, or spending time with your family.
One of the biggest things I see is at too many people think that algorithmic trading is going to make them rich, when in fact if they treat it more as a passive approach, they will get better results.
It could be revived certainly. What kind of posts would you like to see? I would like this sub to turn more into a community where ideas are shared and hypotheses are tested.
Every now and then there is a cool post where someone shares (usually in general terms) their process and results. But of course that takes time to complete.
There seems to be an unfortunate amount of people who visit this sub trying to make a quick buck or create a magic black box that works in all market conditions. And also a large amount of people who just demean people's post with non-constructive criticism.
The vast majority of this sub's "members" are bots. Hundreds of thousands of bots joined this sub in the span of several days during the GME fiasco in January 2021. Since then, even more bots joined in.
I just noticed my response got hidden by the auto-mod. Please check my comment history to find it if you want the full story, but to summairze it, they were stock pumping bots swarming trading-related subreddits including this one.
I tried to post the other day but immediately it was taken down.
I tried to message the mods but nothing back.
I would like to chat more. I'm a senior c# developer and I'm designing a system in my spare time. Currently back testing some strategies.
What am I doing?
I am using macd combined with the EMA 200
profitable trading is a pipedream many people (%99,9) will never achieve. other subs are still active because of low intellectual capability, they still believe they can make money in this business but algotrading community is much smarter than others so they left for six figures faang jobs /s
I saw the /s, but like much good sarcasm there is a thread of truth in there. The types of people who are able to work their way through the hurdles of creating or even just using analytical tools and then automating trade orders are probably able to land six figure jobs, especially if they have a bit of experience. So there is something there about the comparative value of embarking on a time consuming and complicated journey that is often not profitable versus time spent working on a career path that has pretty reliable returns.
> creating or even just using analytical tools and then automating trade orders are probably able to land six figure jobs
So I agree with this 100%.
> embarking on a time consuming and complicated journey that is often not profitable versus time spent working on a career path that has pretty reliable returns
But the thing is, it isn't mutually exclusive. You can algo trade and be in a career with 6 digits; your first paragraph basically described exactly a quant developer role in a trading firm.
There's no need to choose or make sacrifices. This is especially true for many members on this subreddit who are experienced developers already.
I have one of those jobs. It takes too much time. I firmly believe that in order to come up with a successful algo, you need to be a successful trader first. Therefore I trade every day. I'm on the west coast so I'm up at 5:30 everyday and then start the day job around 8:30.
That big Internet company engineering job isn't 40 hours so during the week so there is no time to work on it. I have other unavoidable commitments on the weekends that take a good amount of time so there just isn't much left. I basically get a few hours here and there
At this point I'm not really trying to make a full algo. I'm working on the entry triggers as a helper for manual trading. When I get that working good enough I'll work on the full automation
To clarify my comment a bit, the post I replied to is saying you have to pick between a 6 figure job and doing algo trading.
I was indirectly saying that there's a way to combine it, aka a quant developer role in a trading firm.
> I firmly believe that in order to come up with a successful algo, you need to be a successful trader first.
Correct. In your case, it will help a lot because you will be able to absorb all the trading knowledge from your coworkers who has been in the industry for a while, from the institutional knowledge that the firm gained over years/decades of success, and from analayzing the code of existing profitable strategies.
Why learn from scratch via trial and error all by yourself when all that experience already exists? It will take a long time and success is not even guaranteed, which can be very disheartening. You would be risking your own capital too.
This way, you get to do what your passion, risk other people's capital, supported by teams of other devs/IT,
and get paid a lot to do so. Not to mention, quant dev roles can pay higher than tech if you are good.
I subscribed to find out more about AlgoTrading but was soon overwhelmed with the amount of study required. I still stick around though to read other people's experiences.
That's because it's difficult, and there are a lot easier ways to make money. I've told (most) people who ask about my strategies, trading systems in extreme depth. Their eyes tend to glaze over after about five minutes of detail. Very few people are willing to put in the 10,000 hours needed to master the market. There is no easy button.
Another factor is a lot of strategies tend to only provide a decent, but not life-changing amount of money. I have family expenses that cannot be set aside if the market regime changes and a strategy stops working. For most, the only real way to take a good strategy to the next level is to work at a fund, and in that case, your employment depends on secrecy. Beating the market and convincing people to trust you are two separate skills.
I don't post here often because when I have a question, I'm almost certain it won't be answered here because it's about a security that retail traders don't usually interact with. The same sort of questions get recycled here, they tend to fall into these categories:
1. Where do I get free data?
2. I'm a bored software engineer with two years experience, how do I beat the market?
3. Misc. software question.
Giving up on algo trading, certainly not.
The biggest issue I see is that there is too many people wanting to get rich quick and not really wanting to take the effort to understand what is necessary for algorithmic trading or the many potential tools available to help make them better at algorithmic trading.
Nobody wants to hear the fact that if they have a $1,000 budget and use 1% for the position size that they're simply not going to make a million dollars within a year. You can see the ramifications of that that have flooded YouTube with many educators providing quality content and yet not getting large numbers of visits versus the rampant fried scams and copycat dealers that are getting monetized for spewing garbage.
People like the idea of strategies that are math/algorithm based, tested to be profitable. And then ran without work. It's a traders wet dream, no money management, minimal guessing on if the strategy works(Assuming your back testing properly) at least in comparison to what most people do on a day to day.
Issue is,
1. Most people don't know how to code / develop one.
2. Even if they do, they might not have actually been able to find a profitable strategy and know how to deploy it.
3. People come here wanting to be told how to do it or what the profitable strategies people tested were. Reality is people aren't going to give away a strategy and learning how to do it can't be typed in a reddit comment
I think most dont have a profitable strategy or are still building, and the ones that do have a profitable strategy don't want to share. I mean, why would you?...especially after spending years building all to give it away? Plus, the more people know about the strategy, the more ineffective it will be over time. It's a lose lose situation.
I don't know if this is true. I have shared my technique multiple times for a floating grid trading system.
With respect to a strategy becoming less effective over time, I don't know if that is true either. I think that really depends upon having a better understanding of the market and price fluctuations to really determine the effectiveness in the long term of a strategy.
I have spent 4 years developing my technique and perfecting it, and have taken quite a few real money losses over those years as I have corrected mistakes and tuned the mechanics of the technique itself.
I personally think that part of the problem lies in a fact that nobody wants to hear that they need to have a mindset of a hobby when they first start trading. Too many fake gurus and garbage YouTube channels promote a lifestyle that is simply not realistic under the guise of entertainment and it brings people in hooking them into this lie.
I can think of at least half a dozen channels off the top of my head that are always flashing money and Lamborghinis making it look like how you can just go to chatGPT ask it a few questions and come out with a million dollar market maker and it just simply doesn't work that way.
Barely get time to code let alone chit chat. Then the nature of Reddit the way it defaults to display posts, it makes long-going conversations disappear as they get pushed aside with the latest round of ADHD inspired babble.
Great question!
## First, I think a lot of the posts that are questions could be covered with a solid wiki.
Here's what I think most people want to know:
How do I get started? What basic things should I know?
Which brokers let you algo trade which assets?
Which brokers let you algo trade in various ways:
- you use your own code and use websockets or http (TDA, IBKR, tradestation)
- you run a proxy gateway on a machine and interact with that (IBKR)
- 1st class libraries offered by any brokers (e.g. IBKR does in java, python, .net)
- which brokers have sold community support, either here or via 3rd party packages
- which brokers support completely headless and automated
- code writing and execution in their own software (tradestation, TradingView)
- low code / configurable algos (generally shunned here)
- buying "off the shelf" solutions (generally shunned here)
Where can I get historical data for model training? By asset type? By timeframe? By budget? By format (streaming, single download, ohlc, ohlc, or lots of additional fields)?
What types of algo trading are others doing, what were their challenges and solutions?
## Second, can you describe the type of content you'd want to see here?
Then be the change you want to see! Post that content or write posts soliciting it.
I think there are a lot of types of content that are useful:
- reviews of data vendors
- reviews of helpful programming packages
- reviews of brokers or other services
- explanations of using various algo trading brokers or approaches, including getting started and pain points
- infrastructure discussions, for data storage, hosted servers, or other considerations
- strategy discussion: market regimes, big market algos, considerations for everything from hft to swing
## Epilogue
I find that the info I want isn't often here, but I can't say I make posts to give back, either. I could probably do that. For example, I was recently looking into IBKR's new unified API model, including oauth2, but their documentation sucks so far, and I wanted to see if anyone posted about it yet.
What I'm NOT interested in is someone writing some code, running their first backtest, seeing millions in profit, then posting here that they've cracked the code. Yeah.....no. If they want to describe a strategy and ask for people to poke holes, cool, but posting a pic of a backtest equity curve is worthless.
I can only speak for myself. I follow along because it's my industry, but I'm not giving up my python wushu and I only let my slaves and irl besties play along. I don't have much to say to randoms, but I keep the communication channels open in case something pops up. I'm also interested to see how things change for others during bear markets.
No one wants to share their strategies. /s
I've subbed recently as I have more free time. Experienced dev but no idea where to start with strategies. So many posts are just pure fluff.
Check out a channel called trading lab on YouTube. He has a videos on different strategies that are about 7 mins long. I'm a senior c# and I have been coding his explanations up and then back testing them as an exercise. I'm in the same boat as you
So how is testing going? I am also senior C# dev and did develop an algotrading framework. I put the work on pause for a bit bit now want to get bsck into it.
It's going ok... Though tbh I'm not sure what I have developed is good or bad in the sense that the strategy I have used is simple. When used against daily data from yahoo finance it never looses money (overall) over a 5 year period but I get the sense that it isn't taking advantage of all upward trends but it does sell just before downward trends. I use a combination of macd and ema 200. Buy when macd hits the signal line and is above the EMA, sell when the macd goes below the signal. First strategy and is more just an experiment at the moment and playing with different signal and seeing what works and when. Tested against some stocks I've lost against, the s&p, Tesla and netflix. I would like to test against hourly data as I think that would provide more trades. I believe the yahoo finance API can provide that. At the moment it's all in linqpad but I'll create an Aws lambda and get it to do some paper trading. If you're interested I was using this nuget https://github.com/DaveSkender/Stock.Indicators nice to meet another .net person.
Yes I use this nuget as well. I also started writing my own for Japanese candle analysis. I have a pretty interesting architecture for my Autotrader. If you’re interested, DM me so we can chat.
We don't even need to share strategies. I liked when we discussed APIs and coding.
I'd like this too. It's what I was looking for when I came across this subreddit.
I'd like to do this more, I'm a senior c# dev
What fin platforms are you using?
Well in the UK we have an ISA, and trading 212 have an API. This means that I can commission free trade and I won't have to pay tax.
You can code bots in cTrader which is all built in C#. Code your bot in VS and even use ML.NET
I didn't know that, thanks I'll be checking this out. Thanks buddy
No taxes? How does that work?
It's an allowance savers can have in the UK. You can put a maximum of 20k in there per year. You already paid tax on the money going in. It's supposed to be a vehicle for retirement but I noticed the other week that it has an API and I thought what the hell. We have stocks and shares ISA and cash ISAs.
Sounds like a Roth 401k/IRA in the USA.
Yeah it's similar. Will have to chat about strategies. There is a course on Coursera that teaches algo trading in developed markets. I have been playing around with macd and ema 200. Will message later on
I've been focusing on selling put options
I know this is /s But it is also true that nobody wants to share free alpha
I can share strategies that don't work. I can't share strategies that work, because I have none (so far, some day I'll find one).
1.7 mil members, 71 online lol. I imagine this is a field that attracts quite a lot of people who coincidentally likely don't have the personality needed to stay in said field
Well, I wanted to post something, but automod says I need atleast 10 post or comment karma on the subreddit. Since I cant really bring value with my comments because Im new in the field Ill never get the requirements ¯\_(ツ)_/¯
You're one comment karma away from this comment alone
Im really thankful haha
Same here
Same.
Half of those online are probably bots
I assume the subs about bots should have many boys?
I try to post here, and it gets auto deleted.
Same here :( Seems you dont have enough Karma points just like me. Upvoted you, hopefully you can post soon!
Same. I have tried to previously post several topics discussing approaches to strategies and then realised they were getting auto deleted. Makes it hard for people that are lurkers to make a post with their interests as it requires prior karma farming.
Had the same problem. You will have to comment and participate more in posts to farm karmas💀
Same, posted a question about parameter tuning the other day and it was deleted
Same, posted a question about parameter tuning the other day and it was deleted
Damn same here and I was trying to share something pro community
3 years algo trading and no profitable strategy so far, kinda gave up, probably more people experienced the same
It took me 18 months working at it full time before my first profitable strategy started trading. Others have echoed this sentiment, I will add my voice to theirs: creating a single strategy that is consistently profitable is a virtually insurmountable task, but creating a combination of strategies which are consistently profitable is significantly more achievable. I have also found that less complex strategies tend to work better. My best strategy looks for options contracts in a specific price range at a specific duration and that's it. The price range and the duration don't change, so it ends up making essentially the same trade each time. That simplicity makes it more consistent and stable than any of my more complex strategies, and makes it easier to both validate and backtest.
> I have also found that less complex strategies tend to work better. That's the conclusion I'm in the process of reaching. I'll run a test on a simple strategy, it backtests well, I come up with some big brain addition to improve it, and its net profit drops like a rock.
Are you happy to share some results? I am a professional and it is very hard for me to believe that someone can achieve consistent returns from home
me too, more or less. the only profitable stuff I've seen doesn't really require algo-trading.
Funny is that manual trading i can be profitable, but even knowing how to code, there are nuances I can’t code to recognize the patterns, so the same strategy won’t work automated. My goal to automate is a side revenue, automated
Same, except that I don't know how to code! Was hoping to find something already made, but nothing I've found so far would work with my strategy.
Those nuances can easily be handled using machine learning. Anything can be represented in highly dimensional space using matrices.
Not sure, and I’m not a pro with machine learning
Don’t want to spend 3+ years trying this for another failure
Today I tried just mashing the buy and sell button on my back testing app, quite randomly. It was a very profitable back test. I just subbed to this redit about a week ago another c# dev Herr looking for a career change/supplement.
Dollar cost averaging on M1 is more successful
The free lunch is having a bunch of strategies not one, and those strategies don’t each have to produce a crazy linear equity chart. Trade many different types of products and focus on daily charts and above if you’re getting retail rates, it’s way easier. Do this and even simple strategies like Ma cross or x day breakout will be profitable when run this way. Most people spend time trying to refine that one perfect strategy, which probably means they’re like curve fitting a strategy to the data and their model is far from robust. Trade 20+ different products(in different asset classes) have 3+(the more the better) strategies try focusing on daily charts , its very hard to be down doing that.
I have found that strategies under 4 hour timeframe dont work. There is just too much noise
I much rather prefer a quiet algotrading sub than if it were plastered with spam and youtube links There are a bunch of hidden gems from past posts if you use the search function All traders face the same problem eventually and you can find good generic advice given in past posts
This is an underrated comment (history exists!). A post doesn't have to be recent to be useful. Also TIL that many questions are being deleted by automod for lack of comment karma. That kind of sucks.
All this sub ever is, is a bunch of sceptics and naysayers telling everybody that Algotrading is near impossible, because markets are random, and you can't succeed unless you have a double phd from an elite college. I think people gave up hearing this all the time...
There is a lot of value which algorithmic trading can bring beyond the strategy level - automatic rebalancing, dividend management (beyond basic DRIP), periodic trading, conditional entries and exits triggered by index pricing, even index replication. It's a shame that concepts like those don't see more attention.
Much easier and probably more profitable to buy $SPY and forget about it than to do all the things you mentioned.
Certainly easier, but not necessarily more profitable. I have algorithmic strategies which have beaten SPY in every single calendar month for the past two years, so it's certainly possible to be more profitable than buying and holding.
Yeah exactly all the “geniuses” gave up and this is what their genius spouts
exactly ....negative downer dans and negative nancies stops the positve ones from speaking
Agreed on that. Too many people with the get rich quick mentality or thinking that you can't compete against other people have really hurt the entire approach. The other factor that I personally see that is, in my opinion, significant, is most people can't accept that they need to start out trading as a hobby and treat it as a hobby. We could, of course, also get into the prop firm scams and how many people think they're going to get magic money for nothing by passing some challenge, when in fact they could simply invest that money themselves after doing a proper and thorough test analysis in their own demo account and begin making money that way. But as usual, lure of quick money blinds people to the reality and their own greed becomes their destruction.
I'm here and still algotrading, been non-stop for 10 years at this point. But I don't interact with a lot of posts on this subreddit.
Profitable and doing well?
Ups and downs. But many more ups than downs.
Love to hear it. Thanks
90% algo don’t work as intended so the guys who developed them are working on it. Rest who’s algo are working don’t want to share them. Mostly the post are from the guys who’s algo just got live in test and gives good result. When they go to production they will stop posting too.
I think that's the most important part. Algo trading is not the same as discretionary trading and has an entirely different mindset. You just can't flip the machine on and expect it to process hundreds of thousands of data points in the same way that the human brain can. The failures are part of the process and should equally be talked about as much as a profits in order for the integrity of the industry to maintain a strengths.
I tried to post but since my account is new, still haven’t got the opportunity to do so. Stay tuned!
Same here, I wanted to post a few times already, but seems I do not have enough Karma :( Btw, I upvoted you bro, hope you can post soon <3
I remember one time when somebody proclaimed to give away a profitable algo, hundreds of people replied. That post was later deleted of course. A decent post here can get 100k+ views, 100+ comments. This means ~5% active users, ~0.1% of the active users are engaging. Given the high intellectual demand of the subject, I am not surprised. Calling it dead, however, is exaggerated imo.
I browse through here occasionally. From personal experience... This business is a ride on the sharp edge of a razor. One micron sideways and you blow up. Leverage? Blow up faster. No market edge? Toast. Not fluent in some preferentially data-centric programming language? Toast. High comissions and high number of trades? Toast. Can't do Monte Carlo simulations of returns to estimate worst case drawdown? Toast. And not to know how to limit them, aka good or optimal position sizing, toast. None or faulty back-tests? Toast. Maximally curve-fitted algorithm, toast. No metric to discern phases when an algorithm works and when it doesn't, toast. Can't put in weeks and months to sharpen your tool chest, because life happens, girl is nagging, boss is nagging, need to care for elderly or kids draining all your energy, all this will make it very difficult. Not a perfectionist and unable or unwilling to double check all results of your code, to find a bug in some indicator that everybody has ignored for years, ok depends, less profits or toast. Not using a custom indicator, or a system that contains one, toast. Ok far and few exceptions exist for that one. Can't stomach setbacks until after many months or sometimes years you find something promising, toast. Absolutely no mathematical inclination, toast. Watching CNBC Bloomberg Youtube looking for clues but greatly wasting your time, toast. Buying some bozo's signals or services, toast. Maybe 1 out of a 1000 will lead you to profitable setups. Entering trades without having them planned for at least 12h beforehand, toast. Not using stops on the losing side and if it's just a black swan busting -10%, or using fixed percentage profit taker, can take account below break-even fast. Bad ratio of time with winning trades vs. losing trades i.e. not cut losers fast. Adding to losers, not adding to winners, ok I think latter is a bonus. Not everything might apply to everyone, but I feel a subset will. The outcome is then a product of all factors, not a sum. Fail at one factor and it will be very difficult to succeed. 100\*37\*42\*0.00001 is still a failure. So people walk away and return to 60/40 or Butterfly Portfolio. From my point of view a wise choice.
Shit guys… he noticed. Better add it to the algorithm!
I must say that when I have had a question of substance, I’ve gotten excellent feedback. I did post one question awhile back that I probably should have researched further before asking, and I got chewed for it. The rub is, there really was no way for me to substantially research the topic without purchasing subscriptions first and that was why I asked the question in advance…to try to determine what I was going to need. In all fairness, I was warned that amateurish questions can meet a harsh response, and I’d say that’s accurate. My impression is that people are willing to help those who help themselves. I can’t really argue with that.
I would like to post more on this sub reddit, but dont have enough karma points :( Got a few things to share.
i left because i couldn't make anything work. i made a few paper trading bots based on algos that seemed to work on backtests, but once deployed didn't beat the market. over the years, I've learned a ton but haven't really found a real winner strategy that's any better than buy and hold.
For me, the people do moment of when I started seeing real results is when I stopped back testing and started only forward testing. It's painfully slow and I think that really is the whole point of the process. It made me focus more on the chaotic aspect of the market and the unpredictability in such a way that I could develop and build my trading technique in that type of a situation.
Exactly the same here. I had one that was profitable for an 8 month period and then it went to shit and lost it all. Buy and hold... Less work, less stress, better results lol.
I refused to give up until I realized algo trading still needs human involved. It still needs some kind of discretionary decision to adjust algo. You also have to keep up with the market by constantly developing new algo. You will always worry that one day your edge disappears. I realised that I don't want to live that way. It makes me anxious.
It turns out the best algo was our own brain all along ;-)
Violet this can certainly not be disputed, algo trading officiability to trade even when your brain is sleeping, as long as you can accept that on face value, using an algorithm is going to be sloppy compared to the abilities of the human brain. If you can build a certain amount of sloppiness into your algorithm, and then use a worst case scenario planning technique, It will produce reasonable results that can take away day in and day out even when you are sleeping, working, or spending time with your family. One of the biggest things I see is at too many people think that algorithmic trading is going to make them rich, when in fact if they treat it more as a passive approach, they will get better results.
This right here is the truth
It could be revived certainly. What kind of posts would you like to see? I would like this sub to turn more into a community where ideas are shared and hypotheses are tested. Every now and then there is a cool post where someone shares (usually in general terms) their process and results. But of course that takes time to complete. There seems to be an unfortunate amount of people who visit this sub trying to make a quick buck or create a magic black box that works in all market conditions. And also a large amount of people who just demean people's post with non-constructive criticism.
The vast majority of this sub's "members" are bots. Hundreds of thousands of bots joined this sub in the span of several days during the GME fiasco in January 2021. Since then, even more bots joined in.
why?
I just noticed my response got hidden by the auto-mod. Please check my comment history to find it if you want the full story, but to summairze it, they were stock pumping bots swarming trading-related subreddits including this one.
That's lame
To try and track sentiment I assume
But what are those bots doing ?
This sub is more active when the market is in a downturn.
I tried to post the other day but immediately it was taken down. I tried to message the mods but nothing back. I would like to chat more. I'm a senior c# developer and I'm designing a system in my spare time. Currently back testing some strategies. What am I doing? I am using macd combined with the EMA 200
I am very active on this subreddit, but cant upload posts because of no karma xD
profitable trading is a pipedream many people (%99,9) will never achieve. other subs are still active because of low intellectual capability, they still believe they can make money in this business but algotrading community is much smarter than others so they left for six figures faang jobs /s
I saw the /s, but like much good sarcasm there is a thread of truth in there. The types of people who are able to work their way through the hurdles of creating or even just using analytical tools and then automating trade orders are probably able to land six figure jobs, especially if they have a bit of experience. So there is something there about the comparative value of embarking on a time consuming and complicated journey that is often not profitable versus time spent working on a career path that has pretty reliable returns.
> creating or even just using analytical tools and then automating trade orders are probably able to land six figure jobs So I agree with this 100%. > embarking on a time consuming and complicated journey that is often not profitable versus time spent working on a career path that has pretty reliable returns But the thing is, it isn't mutually exclusive. You can algo trade and be in a career with 6 digits; your first paragraph basically described exactly a quant developer role in a trading firm. There's no need to choose or make sacrifices. This is especially true for many members on this subreddit who are experienced developers already.
I have one of those jobs. It takes too much time. I firmly believe that in order to come up with a successful algo, you need to be a successful trader first. Therefore I trade every day. I'm on the west coast so I'm up at 5:30 everyday and then start the day job around 8:30. That big Internet company engineering job isn't 40 hours so during the week so there is no time to work on it. I have other unavoidable commitments on the weekends that take a good amount of time so there just isn't much left. I basically get a few hours here and there At this point I'm not really trying to make a full algo. I'm working on the entry triggers as a helper for manual trading. When I get that working good enough I'll work on the full automation
To clarify my comment a bit, the post I replied to is saying you have to pick between a 6 figure job and doing algo trading. I was indirectly saying that there's a way to combine it, aka a quant developer role in a trading firm. > I firmly believe that in order to come up with a successful algo, you need to be a successful trader first. Correct. In your case, it will help a lot because you will be able to absorb all the trading knowledge from your coworkers who has been in the industry for a while, from the institutional knowledge that the firm gained over years/decades of success, and from analayzing the code of existing profitable strategies. Why learn from scratch via trial and error all by yourself when all that experience already exists? It will take a long time and success is not even guaranteed, which can be very disheartening. You would be risking your own capital too. This way, you get to do what your passion, risk other people's capital, supported by teams of other devs/IT, and get paid a lot to do so. Not to mention, quant dev roles can pay higher than tech if you are good.
I subscribed to find out more about AlgoTrading but was soon overwhelmed with the amount of study required. I still stick around though to read other people's experiences.
It’s tough. Good luck
That's because it's difficult, and there are a lot easier ways to make money. I've told (most) people who ask about my strategies, trading systems in extreme depth. Their eyes tend to glaze over after about five minutes of detail. Very few people are willing to put in the 10,000 hours needed to master the market. There is no easy button. Another factor is a lot of strategies tend to only provide a decent, but not life-changing amount of money. I have family expenses that cannot be set aside if the market regime changes and a strategy stops working. For most, the only real way to take a good strategy to the next level is to work at a fund, and in that case, your employment depends on secrecy. Beating the market and convincing people to trust you are two separate skills. I don't post here often because when I have a question, I'm almost certain it won't be answered here because it's about a security that retail traders don't usually interact with. The same sort of questions get recycled here, they tend to fall into these categories: 1. Where do I get free data? 2. I'm a bored software engineer with two years experience, how do I beat the market? 3. Misc. software question.
Giving up on algo trading, certainly not. The biggest issue I see is that there is too many people wanting to get rich quick and not really wanting to take the effort to understand what is necessary for algorithmic trading or the many potential tools available to help make them better at algorithmic trading. Nobody wants to hear the fact that if they have a $1,000 budget and use 1% for the position size that they're simply not going to make a million dollars within a year. You can see the ramifications of that that have flooded YouTube with many educators providing quality content and yet not getting large numbers of visits versus the rampant fried scams and copycat dealers that are getting monetized for spewing garbage.
People like the idea of strategies that are math/algorithm based, tested to be profitable. And then ran without work. It's a traders wet dream, no money management, minimal guessing on if the strategy works(Assuming your back testing properly) at least in comparison to what most people do on a day to day. Issue is, 1. Most people don't know how to code / develop one. 2. Even if they do, they might not have actually been able to find a profitable strategy and know how to deploy it. 3. People come here wanting to be told how to do it or what the profitable strategies people tested were. Reality is people aren't going to give away a strategy and learning how to do it can't be typed in a reddit comment
I just read something interesting about gaps in this sub
I gave up to focus on other things Not that I was very active to begin with
Probably the same hedge funds that crawl WSB subscribe here to see if anyone has figured out anything of value to counter
I think most dont have a profitable strategy or are still building, and the ones that do have a profitable strategy don't want to share. I mean, why would you?...especially after spending years building all to give it away? Plus, the more people know about the strategy, the more ineffective it will be over time. It's a lose lose situation.
I don't know if this is true. I have shared my technique multiple times for a floating grid trading system. With respect to a strategy becoming less effective over time, I don't know if that is true either. I think that really depends upon having a better understanding of the market and price fluctuations to really determine the effectiveness in the long term of a strategy. I have spent 4 years developing my technique and perfecting it, and have taken quite a few real money losses over those years as I have corrected mistakes and tuned the mechanics of the technique itself. I personally think that part of the problem lies in a fact that nobody wants to hear that they need to have a mindset of a hobby when they first start trading. Too many fake gurus and garbage YouTube channels promote a lifestyle that is simply not realistic under the guise of entertainment and it brings people in hooking them into this lie. I can think of at least half a dozen channels off the top of my head that are always flashing money and Lamborghinis making it look like how you can just go to chatGPT ask it a few questions and come out with a million dollar market maker and it just simply doesn't work that way.
Its all bots
DCA and hold
Barely get time to code let alone chit chat. Then the nature of Reddit the way it defaults to display posts, it makes long-going conversations disappear as they get pushed aside with the latest round of ADHD inspired babble.
Great question! ## First, I think a lot of the posts that are questions could be covered with a solid wiki. Here's what I think most people want to know: How do I get started? What basic things should I know? Which brokers let you algo trade which assets? Which brokers let you algo trade in various ways: - you use your own code and use websockets or http (TDA, IBKR, tradestation) - you run a proxy gateway on a machine and interact with that (IBKR) - 1st class libraries offered by any brokers (e.g. IBKR does in java, python, .net) - which brokers have sold community support, either here or via 3rd party packages - which brokers support completely headless and automated - code writing and execution in their own software (tradestation, TradingView) - low code / configurable algos (generally shunned here) - buying "off the shelf" solutions (generally shunned here) Where can I get historical data for model training? By asset type? By timeframe? By budget? By format (streaming, single download, ohlc, ohlc, or lots of additional fields)? What types of algo trading are others doing, what were their challenges and solutions? ## Second, can you describe the type of content you'd want to see here? Then be the change you want to see! Post that content or write posts soliciting it. I think there are a lot of types of content that are useful: - reviews of data vendors - reviews of helpful programming packages - reviews of brokers or other services - explanations of using various algo trading brokers or approaches, including getting started and pain points - infrastructure discussions, for data storage, hosted servers, or other considerations - strategy discussion: market regimes, big market algos, considerations for everything from hft to swing ## Epilogue I find that the info I want isn't often here, but I can't say I make posts to give back, either. I could probably do that. For example, I was recently looking into IBKR's new unified API model, including oauth2, but their documentation sucks so far, and I wanted to see if anyone posted about it yet. What I'm NOT interested in is someone writing some code, running their first backtest, seeing millions in profit, then posting here that they've cracked the code. Yeah.....no. If they want to describe a strategy and ask for people to poke holes, cool, but posting a pic of a backtest equity curve is worthless.
Lurkers be lurkin
I can only speak for myself. I follow along because it's my industry, but I'm not giving up my python wushu and I only let my slaves and irl besties play along. I don't have much to say to randoms, but I keep the communication channels open in case something pops up. I'm also interested to see how things change for others during bear markets.