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A comment on Using an automated day trader to generate income. Parent comment

Re:Using an automated day trader to generate income by jcl on Monday December 08, 2008 @05:55PM (#390539)
On the other hand, if you thought something was highly risky and likely to succeed only for a short time before blowing up, why not publish it, then bet against it? :)

But seriously -- the author's comments seem to indicate that he is not totally comfortable with the technique and that he is aware it could lose, even though it didn't in this case.

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Re:Using an automated day trader to generate income by fattyfatfat on Monday December 08, 2008 @07:18PM (#390648)
you're right. and i ran it until it started losing. I announced the day i quit running the basic moving average crossover algo.

I still dabble with variations of it (made like 250 bucks last friday), but I'm now doing way more research and backtesting before I drop things into the market for real.

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Re:Using an automated day trader to generate income by fattyfatfat on Monday December 08, 2008 @07:20PM (#390651)
on that note, i lost over 1000 bucks a day for 3 days straight, which is when i quit.

and on having the "secret sauce" to beat the market. Read about Edward Thorpe. He's a badass. He wrote the book "beat the dealer" which was the bible on counting cards and beating vegas at blackjack.

Then he figured out how to price options (convertibles, really) and made a killing in his own hedge fund (Princeton Newport Associates, I believe).

He had the secret sauce, used it to make a killing instead of publishing it. YEARS later, black and scholes published the essentially SAME formula for price options and eventually won a nobel price for their work.

But Thorpe stuck to his guns and made his fortune. Merits to both sides, I suppose.

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Re:Using an automated day trader to generate income by paddy_m on Monday December 08, 2008 @09:05PM (#390789)
Check out "My Life as a Quant" by Emanuel Derman http://www.amazon.com/My-Life-Quant-Reflections-Physics/dp/0... and this book about Fischer Black's (of Black Scholes) work in finance. http://www.amazon.com/Fischer-Black-Revolutionary-Idea-Finan...
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Re:Using an automated day trader to generate income by mattmaroon on Monday December 08, 2008 @07:43PM (#390681)
What's the merit to publishing a successful algorithm? Or using a previously published algorithm that any hedge fund manager or resourceful individual can find and implement trivially.
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Re:Using an automated day trader to generate income by matt1 on Monday December 08, 2008 @09:08PM (#390793)
A better question is how do you know your algorithm is successful? If it predicts correctly 10 days in a row, have you got a winner? It's like those guys that advertise by saying "We outperformed the market by 6.2% on average the last four years." Put enough monkeys in front of a trading terminal and you're going to have some that outperform the market by 6.2%; doesn't mean you should invest your money with them.
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Re:Using an automated day trader to generate income by gaius on Tuesday December 09, 2008 @05:19AM (#391164)
Have you ever wondered how every fund manager has a fund in the top 25%? It's easy, they launch several funds in one sector, then after a few years merge them all into the top one, and use its historical performance for the marketing materials not the average of them all.
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Re:Using an automated day trader to generate income by mattmaroon on Tuesday December 09, 2008 @02:23AM (#391077)
You can't. You can only know your algorithm was successful. The market is changing, so even if you could prove, given variance and sample size, that your algorithm was +EV and not merely lucky, you would only be proving that it was +Ev and not merely lucky. Not that it will be in the future.
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Re:Using an automated day trader to generate income by joshu on Tuesday December 09, 2008 @11:17AM (#391394)
That's why you look at sharpe ratio, rather than absolute return.
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Re:Using an automated day trader to generate income by jcl on Tuesday December 09, 2008 @09:05AM (#391284)
What's the merit to publishing a successful algorithm?

In this particular case: a Nobel prize.

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Re:Using an automated day trader to generate income by mattmaroon on Monday December 08, 2008 @06:35PM (#390594)
I meant long-term profitable, as in +EV compared to buying a SPDR with the money. Even random trading could outperform the market in the short term. But if I thought I had a method that outperformed it for the long term (which hopefully I'll never be dumb enough to) I wouldn't tell anyone.
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