3 ms·

more important than this study if done correctly is the fact that he built a framework that can ingest all this data and that he had access to all these dataset

more important than this study if done correctly is the fact that he built a framework that can ingest all this data and that he had access to all these datasets typical hedge fund spends millions of dollars in order to build such frameworks and buying datasets, sure most academic papers fail if you replicate but the framework and datasets are very valuable because you can eventually find something on your own or an improvement on existing ideas if you keep trying hard enough + there are other sources of ideas like quant research from brokers, ideas from platforms like quantopian etc. but yea in general if you have an outstanding idea that works - you would have very less or no incentive to publish it. why would jim simons have his researchers publish anything when they can make money for him all day long everyday ... just my 2 cents.

whoisninja 7y ago
i asked the author where did he source his data, his reply was "i scraped data" how can you scrape pricing data? not every data in this is on public domain, otherwise there would be no Bloombergs, CapitalIQs selling data for millions(sure they're overrated and overpriced but still!). Or in other words, if he is right - he can sell data and make millions. no need of looking for an investment strategy. just my skeptical side saying :) you need clean data to accurately test ideas. for instance getting tick data is quite expensive. most universities have free access to Bloomberg, CapitalIQ etc. datasets the reason professors can test and also the reason some smart guys in the industry work for university on the side
- lettergram 7y ago
  You can get data for free from places such as alpha vantage https://www.alphavantage.co/ https://www.alphavantage.co/
  - whoisninja 7y ago
    it's not enough data to test all of those 130 papers, he said he has also tested short term reversion trends. for that you need tick data(or atleast minute/hourly data)
    - bwilsonkey 7y ago
      Agreed — something about this post doesn’t pass the smell test. 1. He’s a profitable trader at a tier 1 firm who has the spare time to not only develop a series of algorithms based on 130 research papers, but also sufficiently backtest them in 7 months? 2. He said he looked at the past 8 years of papers, but refers to multiple models correctly predicting the 2008 financial crisis. 3. Where are the code samples? Edit: Lol, just realized his medium post ends with a crypto scam.
      - hihi123 7y ago
        Ditto on the "130 papers in 7 months." I am not familiar with the field, but I assume the process would look like this: * Read and understand paper * Find and download appropriate input data * Code paper model and validate (he said he wrote his own code) I can see myself being able to do this for ONE paper in maybe a week. He claims he was doing 1-2 of these per day. Wow. So either there is some exaggeration on his part, or he is a total wizard in his field.
        sgt101 7y ago
        I think you are a quick study; typically it takes me a week to figure out the detail of what's being done in a paper. Getting the data and testing would take longer. Charitably he/she has a framework with all the data required sitting ready to go and is just writing wrappers to the models. But even downloading frameworks from Github and getting them working takes a couple of days - for me. For example I've been playing with the Graph-network code from deepmind for a few weeks - I had to learn how the graphs were represented, how to build them and access them and how the models were made and put together. Just working that out was a solid three day job. Now I can build things and test out what's going on in the examples and get a feel for the framework, probably (if there was a problem) I would be in a reasonable position to say "this doesn't work like they think it does" (it does, but no surprise) but unless you've done that leg work I think you can't really. I think a proper replication effort is really 1 man month of expert time - or really you're just throwing stones.
        BorisVSchmid 7y ago

whoisninja 7y ago

i asked the author where did he source his data, his reply was "i scraped data" how can you scrape pricing data? not every data in this is on public domain, otherwise there would be no Bloombergs, CapitalIQs selling data for millions(sure they're overrated and overpriced but still!). Or in other words, if he is right - he can sell data and make millions. no need of looking for an investment strategy. just my skeptical side saying :) you need clean data to accurately test ideas. for instance getting tick data is quite expensive. most universities have free access to Bloomberg, CapitalIQ etc. datasets the reason professors can test and also the reason some smart guys in the industry work for university on the side

lettergram 7y ago
You can get data for free from places such as alpha vantage https://www.alphavantage.co/ https://www.alphavantage.co/
- whoisninja 7y ago
  it's not enough data to test all of those 130 papers, he said he has also tested short term reversion trends. for that you need tick data(or atleast minute/hourly data)
  - bwilsonkey 7y ago
    Agreed — something about this post doesn’t pass the smell test. 1. He’s a profitable trader at a tier 1 firm who has the spare time to not only develop a series of algorithms based on 130 research papers, but also sufficiently backtest them in 7 months? 2. He said he looked at the past 8 years of papers, but refers to multiple models correctly predicting the 2008 financial crisis. 3. Where are the code samples? Edit: Lol, just realized his medium post ends with a crypto scam.
    - hihi123 7y ago
      Ditto on the "130 papers in 7 months." I am not familiar with the field, but I assume the process would look like this: * Read and understand paper * Find and download appropriate input data * Code paper model and validate (he said he wrote his own code) I can see myself being able to do this for ONE paper in maybe a week. He claims he was doing 1-2 of these per day. Wow. So either there is some exaggeration on his part, or he is a total wizard in his field.
      - sgt101 7y ago
        I think you are a quick study; typically it takes me a week to figure out the detail of what's being done in a paper. Getting the data and testing would take longer. Charitably he/she has a framework with all the data required sitting ready to go and is just writing wrappers to the models. But even downloading frameworks from Github and getting them working takes a couple of days - for me. For example I've been playing with the Graph-network code from deepmind for a few weeks - I had to learn how the graphs were represented, how to build them and access them and how the models were made and put together. Just working that out was a solid three day job. Now I can build things and test out what's going on in the examples and get a feel for the framework, probably (if there was a problem) I would be in a reasonable position to say "this doesn't work like they think it does" (it does, but no surprise) but unless you've done that leg work I think you can't really. I think a proper replication effort is really 1 man month of expert time - or really you're just throwing stones.
      - BorisVSchmid 7y ago