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This is absolutely right. I'm handily beating the market with an automated strategy I designed to the point I've all but shut down my startup/programming consul

This is absolutely right. I'm handily beating the market with an automated strategy I designed to the point I've all but shut down my startup/programming consulting business. What the system trades, and what I understand intellectually is the right thing to do, is often very hard to stomach emotionally.

rsp1984 6y ago
May I ask how you got started? What is the tech stack you are using today? Any resources you can recommend?
- chrischattin 6y ago
  Sure. I graduated with a business degree (b.s. in management, specifically) and just kept on learning everything I could get my hands on about finance, valuing derivatives, human behavior and biases, etc, on the side through a couple of different careers. I used to bring Buffett's shareholder letters on trips when I was a pilot, for example. I've been a big nerd about this stuff for a long time and the strategy I built is the culmination of knowledge from a wide range of experiences and studying all fitted to my personality and goals. Tech stack: I love Ruby, but use Python and a custom language that interfaces with the broker I'm using for execution. More and more decent broker API's are starting to pop up out there. So, you can likely use whatever you're most comfortable with. Alpaca has a decent web API, for example. I honestly wouldn't recommend getting into it, though, unless you really enjoy geeking out over this stuff and have a decent breadth of knowledge to find your edge. You're also competing against some brilliant PhD types who are just as obsessed and hard working as you. My stuff works in part because it's taking advantage of some things that are too small for the big boys to pay attention to.
bugzz 6y ago
What platform do you trade on?
- TuringNYC 6y ago
  Interactive Brokers. They have an API. I started 10yrs ago back when they were the only player in the market to offer $1 trades. Making money is hard though, and probably not worth the effort if you account for your time. But it was a lot of fun and I learned a lot. I imagine if I did it full time, I could be more successful.
nullandvoid 6y ago
Do you have a background in finance / any recommended reading? I've spent a lot of time on a automated trading side project of mine but haven't found the strategy yet. In retrospect time has been spent in completely the wrong areas ( setup a solid backrest platform first, duh )
- chrischattin 6y ago
  It was a big part of my degree but I never worked in finance professionally. Backtesting is great for validating ideas initially. Especially, to see if it holds up through abnormal markets like '08, or the volpocalypse, or the recent crash. Watch out for curve fitting, though.
  - nullandvoid 6y ago
    Thanks for the reply. Yeah I needed to nail that down immediately! Do you apply ml techniques? I don't suppose you could point a little in a good direction to follow
    - chrischattin 6y ago
      I don't. But, I've been playing with a few ideas using that. I suspect ML is mostly complicated curve fitting. Something like using NLP on SEC filings the second they come out to catch an initial jump in the underlying would be cool to try out.
- TuringNYC 6y ago
  My favorite is Ernie Chen's "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" https://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889 https://www.amazon.com/Quantitative-Trading-Build-Algorithmi... Warning: it is a lot of fun, thrilling, but hard to make money. My winning algos took a while to research, longer to automate, and often lost alpha quickly.

rsp1984 6y ago

May I ask how you got started? What is the tech stack you are using today? Any resources you can recommend?

chrischattin 6y ago
Sure. I graduated with a business degree (b.s. in management, specifically) and just kept on learning everything I could get my hands on about finance, valuing derivatives, human behavior and biases, etc, on the side through a couple of different careers. I used to bring Buffett's shareholder letters on trips when I was a pilot, for example. I've been a big nerd about this stuff for a long time and the strategy I built is the culmination of knowledge from a wide range of experiences and studying all fitted to my personality and goals. Tech stack: I love Ruby, but use Python and a custom language that interfaces with the broker I'm using for execution. More and more decent broker API's are starting to pop up out there. So, you can likely use whatever you're most comfortable with. Alpaca has a decent web API, for example. I honestly wouldn't recommend getting into it, though, unless you really enjoy geeking out over this stuff and have a decent breadth of knowledge to find your edge. You're also competing against some brilliant PhD types who are just as obsessed and hard working as you. My stuff works in part because it's taking advantage of some things that are too small for the big boys to pay attention to.

bugzz 6y ago

What platform do you trade on?

TuringNYC 6y ago
Interactive Brokers. They have an API. I started 10yrs ago back when they were the only player in the market to offer $1 trades. Making money is hard though, and probably not worth the effort if you account for your time. But it was a lot of fun and I learned a lot. I imagine if I did it full time, I could be more successful.

nullandvoid 6y ago

Do you have a background in finance / any recommended reading? I've spent a lot of time on a automated trading side project of mine but haven't found the strategy yet. In retrospect time has been spent in completely the wrong areas ( setup a solid backrest platform first, duh )

chrischattin 6y ago
It was a big part of my degree but I never worked in finance professionally. Backtesting is great for validating ideas initially. Especially, to see if it holds up through abnormal markets like '08, or the volpocalypse, or the recent crash. Watch out for curve fitting, though.
- nullandvoid 6y ago
  Thanks for the reply. Yeah I needed to nail that down immediately! Do you apply ml techniques? I don't suppose you could point a little in a good direction to follow
  - chrischattin 6y ago
    I don't. But, I've been playing with a few ideas using that. I suspect ML is mostly complicated curve fitting. Something like using NLP on SEC filings the second they come out to catch an initial jump in the underlying would be cool to try out.
TuringNYC 6y ago
My favorite is Ernie Chen's "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" https://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889 https://www.amazon.com/Quantitative-Trading-Build-Algorithmi... Warning: it is a lot of fun, thrilling, but hard to make money. My winning algos took a while to research, longer to automate, and often lost alpha quickly.