Aug

22

I know it's way off topic - I am passionate about going into an automated trading strategy oriented position, I have been following this web site for many years now and I have developed quite a lot of interesting strategies all automated, and some profitable on paper. I am a top programmer [C, C++, R, WealthLab, NinjaTrader and scripting languages like PHP, Perl  etc.] with a wide variety of skills including leveraging my home network as a Beowolf cluster to calculate complex R simulations on 3000 equities ("dad, why is guitar hero running slowly?"). I constantly read material on mathematical techniques and can present some really interesting and novel ideas. I wrote some really interesting code reading poker cards off the screen and working out Bayesian odds - with (positively) surprising results. It is really my passion and I would think this is the place to find someone who shares this passion for the markets now that I am looking for a new position.


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11 Comments so far

  1. George Parkanyi on August 22, 2008 1:07 pm

    Hi Daniel,

    I’m the only guy I know on this site that has published the full details of his system on his blog open-source, as it were. I tested it theoretically and systematically with randomly-seeded synthesized data (a stock-price simulator modulated across a range of volatility bands - run hundreds of times in each band), and then back-tested the same algorithm with real data. The theoretical and actual data confirmed each other. The middle of the bell-curve (largest cluster of runs) comes in at about a 22-25% annual compound rate of return expectation over 20 years using stocks and ETFs with no leverage (i.e. margin debt) and exclusive of taxes and dividends. Transaction costs were factored in.

    Not only that but I trade it real-world, and publish the portfolio and its results - warts and all - every couple of days when there is a trade.

    If you want something to code, knock yourself out - www.stockadventures.wordpress.com - I’m sure you can improve on it.

    Cheers,
    George

  2. Evan McKeown on August 22, 2008 6:16 pm

    Daniel,I too share your passion for the markets. As a day trader, my success depends upon making decisions on a moments notice. This is where we differ in trading styles. I do not believe in the ability of quants to handy cap the market. When some of the best and brightest minds on Wall Street announce that their hedge funds are going bust it just proves a point that the one in a million "Black Swan" event happens with all to much regularity and it is therefore impossible to predict or program. I too read this web site with regularity. Victor Niederhoffer and Laurel Kenner are gifted and I owe my new financial freedom from reading everything they ever wrote. I can't tell you how many days I tend to sell those Gap up openings and buy Gap down and all the other little insights gleemed from his years of observations. They are the Tiger Woods of trading. Over the years, I'ved taken quite an interest in money flow during certain parts of the day, trading certain days of the month more aggressively than others and paying closer attention to the VIX. I think, that Wall Street is nothing more than the worlds greatest casino where the theory of random walk does not exist. It is a gambling mecca where weak hands fold at the first sign of selling spurred on by stop losses whose only intent is to strip you of your capital. It takes a poker mind to win on Wall Street. Of course, it certainly doesn't hurt to have a Harvard education and am attitude for counting. Still, I believe that only a few have the gut instinct to trade and trade successfully day in and day. Good luck with your software.

  3. Quantus Amigo on August 22, 2008 8:24 pm

    Why not start your own quant fund, with your own capital?

    If your methods are indeed as Wunderbar as you claim you should be able to extrapolate to low initial capital scenarios and scale up from there gradually. The margin requirement for a mini gold option contract is what? $500? $1000? Make some double digit returns, break the six-figure mark, and then tell all your rich friends you’ve got a cert if they’d just pool in some of the do-re-mi ;)

  4. Daniel on August 23, 2008 2:01 am

    I think all of us readers and writers here share this passion, though not neccesarily automated trading. I myself am not a top programmer but I get by with my knowledge of Matlab to do my simulations.
    As for being profitable on paper, all I can say is: “There is a difference between knowing the path and walking the path”.

  5. Nishikant on August 24, 2008 3:56 pm

    Recently we had some folks come in for interview for position of a quant developer. I have been talking to some folks who have been laid off from hedge funds. It was so shocking to know how these hedge funds bet hundreds of millions on technicals and so called quantery. the trends/correlations/patterns that these people have been using for years are gone and they have lost incredible amount of money for there clients.

  6. George Parkanyi on August 24, 2008 9:58 pm

    Hi Nishikant,

    Just like some people think they can beat a Casino’s statistical house edge consistently, you have people thinking that they can predict the markets. The markets however, with the large number of variables that affect prices, are a completely non-linear system, making them mathematically impossible to predict. If you look at fractal geometry and the the tremendous complexity that just 3 variables can create, then you realize what quants are up against in trying to predict market movements.

    You can start to get results if you take a statistical approach. Seasonals in commodities are an example. A certain market may have a propensity to do a certain thing at a certain time of the year, but to you only have a slight edge if you were to decide to sell your house, take all the money and bet it on one seasonal trade. That’s not much better than a coin flip. However, if you were to trade that market year after year the same way, gains are LIKELY to appear because the edge is in your favour. However you will have to be prepared to lose on many trades to actually earn that edge - otherwise you’re just being lucky.

    If you’re willing to forego knowing or expecting WHEN something will happen, you can find lots of market behaviours that do repeat, and you can position yourself accordingly. One example I read somewhere long was about a matron from one of the big wealthy American families - I forget which - her idea of a system was to buy GM whenever it dropped to $40 and sell it whenever it hit $80. Apparently she did fairly well by it, although today? … But if you took MANY stocks or markets and looked for broad repetitive patterns, and picked ranges that the stocks traversed fairly frequently, you might do quite well. Yes, you’d have some dead money here and there, but a few things would be moving quite nicely. If you catch two 40% moves in a tech stock in even just two years - that’s not bad at all. Effectively you can create your own virtual (wide) bid-offer. At such-and-such price I’ll buy, at this one I’ll sell. (Ever wonder why floor specialists seem to make a lot of money?)

    The last approach is essentially passive, because you’ve given up trying to predict (at least when), and are simply reacting based on some statistical body of evidence. This approach may not always be exciting, but you won’t kill your customers either.

    Cheers,
    George

  7. Nish on August 25, 2008 1:12 pm

    statistically significant strategies or Buy & Hold [of market indices] strategy go through periods of downturns. I would presume these strategies wont fit with most hedge funds since they cannot afford to have extended downturn [investors would be quick to pullout there equity]. This would make game for hedge fund’s even harder.

  8. Greg Vinately on August 25, 2008 4:01 pm

    “It was so shocking to know how these hedge funds bet hundreds of millions on technicals and so called quantery”

    Also let’s not forget those Wall Street quants that developed those CDOs, CDOs squared, and CDOs to whatever power it may have seem fit at the time. Stuff that it was then sold or acquired under the assumption that risk could be shifted to other entities ad infinitum.

    Work of geniuses!

  9. George Parkanyi on August 29, 2008 11:21 pm

    Things SOMEONE has to think about …

    Who trims hedge funds?

    How come no-one ever launches a shrubbery fund?

    If you wanted instant water - what would you add to it?

    Do mimes make good pit traders? How many bushels of wheat would “palms pressed against the window” get you?

    If buying a stock for cash is a “trade”, is watching your option expire worthless a “give”?

    Doesn’t “FX” also mean “illusion”?

    Is an offshore fund safe in a hurricane?

    What’s the best kind of box to think outside of? Can you get them at UPS?

    Does me wanting to pull an envelope instead of push it make be a bad person?

    If a long-term option is a LEAP, then what’s a PLUNGE? (and how do I stop buying them?)

    The infamous Bear Stearns ABS/CDO pitch that lulled everyone into such a false sense of security … “These are AAA because WE put the “k” in kwality”

    Are stocks rising “going North”, and stocks falling “going South”, because the Confederacy lost the civil war?

    If everything’s made in China, why are we all still going to work?

    Why are call centers training their people to use their real names, but to talk with fake Indian accents? Are people calling up saying “Brendan??? What the heck do YOU know about computers? Can’t I just talk to someone in India?”

    :)

    Cheers,
    GP

  10. Matt Johnson on September 9, 2008 8:43 pm

    If your passion is programming, then program; if your passion is trading then trade.

  11. Daniel Flam on March 27, 2010 4:03 am

    Something I heard lately from my friend Mike Conlon -
    Every Trader wants to be a Programmer.
    Every Programmer wants to be a Quant.
    Every Quant wants to me a Trader.

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