Re:How I made $500k with machine learning and high frequency...
by marshallp on Tuesday November 06, 2012 @10:59AM
(#4748944)
I don't get that. It would be true if he just made a few trades, but the author claimed to be making 2000 trades a day. Over a period of months winning that wouldn't qualify as blind luck.
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Re:How I made $500k with machine learning and high frequency...
by tatsuke95 on Tuesday November 06, 2012 @09:39PM
(#4751890)
Definitely not blind luck; but boosted by the fact that SPY was on a massive bull run at that time.
This is really cool, any way you cut it.
Re:How I made $500k with machine learning and high frequency...
by DanBC on Tuesday November 06, 2012 @11:25AM
(#4749089)
>Over a period of months winning that wouldn't qualify as blind luck.
Why not?
Re:How I made $500k with machine learning and high frequency...
by crntaylor on Tuesday November 06, 2012 @02:15PM
(#4750063)
It's simple statistics. The author was up 4k/day over 120 days. He doesn't say what his daily volatility was, but let's assume 2k (which squares pretty well with his claim that his worst day was a 2k loss).
With a quick bit of R code, we can simulate his PnL over 120 days multiple times, assuming he has no skill, and see what the probability of him being up 4k/day is. I'll use a t-distribution with 3 degrees of freedom, which allows big up and down swings (again, accentuating the effect of luck).
> pnl <- c()
> for (i in 1:1000) pnl[i] <- mean(2000 * rt(120, df=3))
> mean(pnl > 4000)
0.0
That is, there's a zero percent chance that he would have made those returns if he had no skill. And remember that this simulation is overestimating the effect of luck.