Lessons learned building an ML trading system

Re:Lessons learned building an ML trading system by traK6Dcm on Wednesday November 27, 2019 @06:13PM (#21653123)

You can't go short but you can still hedge your exposure by going on short on something very correlated - like Bitcoin futures. I do this manually depending on how much capital I'm trading.

I actually have no idea what my Sharpe ratio is, sorry. With the system constantly changing, data formats changing, exchange balance apis changing, and accurate monitoring already being a challenge in itself, it's very difficult to keep track of exact returns and historical data. I could probably calculate it if I spent several days (weeks?) trying to process all my historical trade data, but that would be a waste of time for me personally.

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Re:Lessons learned building an ML trading system by smabie on Thursday November 28, 2019 @12:11PM (#21658807)

If you don’t know your Sharpe, how do you know you are actually making alpha? Without knowing your return and volatility, you can’t really evaluate the performance of your algo or know if changes are helping.

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Re:Lessons learned building an ML trading system by jotakami on Thursday November 28, 2019 @03:11PM (#21659884)

Ever try trading futures basis and spreads? I was killing it in mid-2018 in that space, although I got cocky and used my winnings to make foolish leveraged bets that did not end well.

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Re:Lessons learned building an ML trading system by brobinson on Thursday November 28, 2019 @03:31AM (#21655565)

Are you not calculating your risk-adjusted return at all?

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