Re:Ask HN: Anyone making money through algorithmic trading?
by jeffreyrogers on Wednesday April 25, 2018 @02:56PM
(#16924842)
There isn't an easy answer for this. Large hedge funds have entire teams whose only job is to collect, process, and clean data.
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Re:Ask HN: Anyone making money through algorithmic trading?
by BeetleB on Wednesday April 25, 2018 @03:12PM
(#16924985)
I know, which makes me wonder how/why people are doing algorithmic trading on the side when they don't have a reliable way to backtest.
I don't want minute by minute data. Average price for the day is fine with me. Or max/min/average.
Re:Ask HN: Anyone making money through algorithmic trading?
by origo on Thursday April 26, 2018 @01:22AM
(#16929035)
There's never a very 'reliable way' to backtest, as any interaction you would have done with the market is not accounted for. If you intend to trade (very) low volume it might work decently (on longer timeframes). Existing (open source) and my own home-made backtester use tweaks like slippage to try and 'simulate' this market interaction.. A few I have seen actually use tick-by-tick L2 data to try and get closer to the 'truth'.
IMHO, the only really reliable way to evaluate a trading algorithm is to trade it live. This will cost you money, unless you get everything perfect the first time, but doesn't any kind of passive income generation require an initial investment?
And yes, I have written, and currently operate, my own (quite basic) trading bot. Yes, it's profitable.
Re:Ask HN: Anyone making money through algorithmic trading?
by BeetleB on Thursday April 26, 2018 @09:35AM
(#16931681)
If I ever get into it, I do want to do low volume, with a longer time frame (minimum would be 5 years) - which is why I don't need minute by minute data.
I don't mind paying for data if it's not too expensive.