Re:How I made $500k with machine learning and high frequency...
by lusr on Tuesday November 06, 2012 @02:20PM
(#4750109)
If you do release the source, what's the best way to be notified of this? Your Twitter account looks pretty active? I'm particularly interested in your risk management strategies (this is where my previous efforts fell short).
With regard to tuning I may have lost $1000 or so but as I wrote in the article I was able to build a backtesting model that accurately simulated live trading. So once I had that I could basically use it to verify I had sufficient edge to make a profit after covering my commissions.
My risk exposure was very low. When I said large losing positions this meant like $600. But the bottom line is I had a daily stop loss of $3000 enforced at my broker. The most I ever lost was around $2000.
Anyway, there is not really some hidden thing that I am not telling people. It does bug me a bit that your comment is at the top given that it says I'm manipulating statistics and was actually one of the guys that the quants gleefully picked off. I think it's unlikely I traded much with other HFT systems but if I did they certainly lost money.