Re:Trading Is Hazardous to Your Wealth [pdf] (2000)
by TuringNYC on Thursday May 14, 2020 @10:17PM
(#23188143)
My favorite is Ernie Chen's "Quantitative Trading: How to Build Your Own Algorithmic Trading Business"
https://www.amazon.com/Quantitative-Trading-Build-Algorithmi...
Warning: it is a lot of fun, thrilling, but hard to make money. My winning algos took a while to research, longer to automate, and often lost alpha quickly.
Re:Trading Is Hazardous to Your Wealth [pdf] (2000)
by chrischattin on Thursday May 14, 2020 @05:05PM
(#23185428)
It was a big part of my degree but I never worked in finance professionally.
Backtesting is great for validating ideas initially. Especially, to see if it holds up through abnormal markets like '08, or the volpocalypse, or the recent crash. Watch out for curve fitting, though.
Re:Trading Is Hazardous to Your Wealth [pdf] (2000)
by nullandvoid on Thursday May 14, 2020 @05:09PM
(#23185482)
Thanks for the reply. Yeah I needed to nail that down immediately!
Do you apply ml techniques? I don't suppose you could point a little in a good direction to follow
Re:Trading Is Hazardous to Your Wealth [pdf] (2000)
by chrischattin on Thursday May 14, 2020 @05:20PM
(#23185648)
I don't. But, I've been playing with a few ideas using that. I suspect ML is mostly complicated curve fitting.
Something like using NLP on SEC filings the second they come out to catch an initial jump in the underlying would be cool to try out.
I've spent a lot of time on a automated trading side project of mine but haven't found the strategy yet.
In retrospect time has been spent in completely the wrong areas ( setup a solid backrest platform first, duh )