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It doesn't need to be your actual strategy, whatever. I have no desire to "steal" whatever your system is. What I am trying to demonstrate here is that your st
by dsacco 9y ago
It doesn't need to be your actual strategy, whatever. I have no desire to "steal" whatever your system is.
What I am trying to demonstrate here is that your strategy can perform significantly differently if it is using data on different time resolutions. If you find an inefficiency that can be traded by analyzing snapshot data at 1 minute bars, that might turn out to be nothing at all when you look at the tick data. If your strategy is profitable but you don't have real insight into the trades versus just the quotes, you might have unrealistic expectations for fills, or hold times, etc...and if your strategy is profitable, your data is the first way in which you can try to prove it's not correlated with the broader market's regime.
- SirLJ 9y agoThanks,but you don't have to prove anything to me... my trading account is my proof that I don't have to compete with the flash boys to make money, so I don't care about tick data...
- dsacco 9y agoAlright, could you help me understand what type of data it is that you purchased from ebay? And what type of strategy you're using, at the highest level? Are you trading equities? Derivatives? Can you at least tell me how long you typically hold a position? I'm not interested in your actual strategy, I just want to understand what you're doing categorically to see if there's any way it can possibly work instead of being attributable to a bull market. You should be able to talk about the type of strategy this is without discussing the actual signal(s) key to the strategy. This is just becoming kafkaesque for me. I'm legitimately shocked no one else has asked you about this just out of basic curiosity about how you arrived at your current methodology. You mentioned Flash Boys and tick data...but HFT is not the only paradigm for which you'd use tick data. I'm trying to give you the benefit of the doubt here but from my experience none of what you're doing makes sense. You have to understand that the reason I'm giving you so much flak for this is because you're repeatedly recommending people buy financial data from ebay, you're being cagey about why your recommendation is sound, and your recommendation is utterly alien to the way in which people professionally trade using historical data. If your data from ebay is actually, somehow reliable, then fine; but if it isn't, recommending it for people who are looking for actionable data is irresponsible.
- Ntrails 9y agoYou can come up with "long term" (hold times of weeks I guess) trading ideas with nothing more than close prices right? On the assumption that you only ever trade the auction you'd be getting a reasonable approximation of your actual experience. I mean, I'm not sure I accept the premise that there's enough information there to find significant alpha - but if you assume that he's using a different data source for that, he can test the trading performance on close prices alone.
- SirLJ 9y agoA+
- infinite8s 9y agoMaybe he's the one selling the data.
- SirLJ 9y agoNo good deed goes unpunished here I guess :-(
- SirLJ 9y agoGood morning dsacco, I really like your way of thinking based on the other comments you are posting, but I cannot understand why you are so against cheap or free (if we can find it) data? 20 years of OHLCV daily data containing all listed and delisted symbols is perfect for someone who is just starting testing trading ideas like trend following for example, but most importantly will encourage them to think about their money! Your alternative for people to pay $3000 or more will discourage all of them and will leave them to be victims of financial advisors, companies like fintech startups, internet gurus and buy and hold evangelists. This is why I’ll always promote the $100 eBay data until I find a cheaper or a free version, maybe you can help the community here?
- avn2109 9y agoIt's super unclear why this is downvoted, seems to me like he has an entirely valid point about strong dependence on the time resolution of data.