5 ms·

You seem to know your stuff about this. Do you know any good starting points to learn about algorithmic trading? Any youtube channel or book?

blake1 5y ago
If you’re looking for information on quantitative trading, and are considering relying on a YouTube channel, please just park your money in an index fund and go read about LTCM, Black Tuesday/Friday, Knight Capital, Orange County, and the Global Financial Crisis. Just remember, finance is not like betting on the ponies. It’s worse, because the odds aren’t posted.
- nl 5y ago
  Spoken like someone who has never done algorithmic betting or trading. It's true there are risks associated with trading. But keep track of the money you have at risk and there is no reason not to have a go. I know more than enough people who have made consistent returns doing algorithmic trading in under-serviced market segments.
  - blake1 5y ago
    Actually, I speak as someone who has lost a fair bit of money on algorithmic trading. The pattern I’ve observed is consistent, small gains punctuated by sizable losses. That was in a big market, but if the market segment is small enough, then I would certainly grant that your acquaintances could have had that success. Does put a cap on the gains.
- yaitsyaboi 5y ago
  I have a day job I just think it would be a fun way to learn some applied ML. Anyway, what’s wrong with learning from YT?
  - sbierwagen 5y ago
    I would expect a youtube channel on stock trading to be similar to a youtube channel about cryptocurrency trading: not just wrong, but actively harmful. Learning about trading on youtube is different from learning about, say, Python on youtube. If a video on programming is incorrect, your program doesn't work. If a video on equity trading is incorrect, the author of the video can take all your money. Video views, upvotes and subscribers can all be purchased. If you have profitable trading strategy that reaps newbies who implement a bad algorithm that you publish in a public video, then you have created a perpetual motion machine. Here's a search for "how to win slots" on youtube: https://www.youtube.com/results?search_query=how+to+win+slots https://www.youtube.com/results?search_query=how+to+win+slot... Thousands of results, millions of views each. Every video is either fake or wrong, by definition. These videos make money for the authors, and the casinos, by taking it from the marks dumb enough to watch and believe them.
akg_67 5y ago
/r/algotrading - Trading Evolved, Andreas F. Clenow - Systematic Trading, Robert Carver - Developing & Backtesting Systematic Trading Strategies, Brian Peterson - Algorithmic Trading, Ernest P. Chan - Algorithmic Trading and DMA, Barry Johnson - Trading Systems, Emilio Tomasini & Urban Jaekle - Evidence-Based Technical Analysis, David R. Aronson - Machine Learning for Algorithmic Trading, Stefan Jansen
kirse 5y ago
I'll spare you the years of money + research, the majority of it all funnels back into "mean reversion" as the core operating principle. Ceteris paribus in terms of information advantages of course. You can get good at eeking out those advantages and exploiting them, but you're talking about making it your job to find financial "security holes" where the reward is printing cash. And there's a lot of really smart people spending a lot of time doing that. And you have to consistently find new holes as each one gets closed by market participants as you reveal your hand. And then you have to ask yourself if that's how you really want to contribute your time to the world. If you don't think it's your calling, best to find products/companies you really believe in and make calculated risk-taking investments. As Carnegie would say "put all your eggs in one basket, and then watch that basket"
knr2345 5y ago
Might checkout this course. The videos are online for free & the syllabus has some pretty good resources as well. http://lucylabs.gatech.edu/ml4t/ http://lucylabs.gatech.edu/ml4t/ The former instructor / creator & author of one of the books eventually joined JP Morgan as a ML research director (cant recall exact title).

blake1 5y ago

If you’re looking for information on quantitative trading, and are considering relying on a YouTube channel, please just park your money in an index fund and go read about LTCM, Black Tuesday/Friday, Knight Capital, Orange County, and the Global Financial Crisis. Just remember, finance is not like betting on the ponies. It’s worse, because the odds aren’t posted.

nl 5y ago
Spoken like someone who has never done algorithmic betting or trading. It's true there are risks associated with trading. But keep track of the money you have at risk and there is no reason not to have a go. I know more than enough people who have made consistent returns doing algorithmic trading in under-serviced market segments.
- blake1 5y ago
  Actually, I speak as someone who has lost a fair bit of money on algorithmic trading. The pattern I’ve observed is consistent, small gains punctuated by sizable losses. That was in a big market, but if the market segment is small enough, then I would certainly grant that your acquaintances could have had that success. Does put a cap on the gains.
yaitsyaboi 5y ago
I have a day job I just think it would be a fun way to learn some applied ML. Anyway, what’s wrong with learning from YT?
- sbierwagen 5y ago
  I would expect a youtube channel on stock trading to be similar to a youtube channel about cryptocurrency trading: not just wrong, but actively harmful. Learning about trading on youtube is different from learning about, say, Python on youtube. If a video on programming is incorrect, your program doesn't work. If a video on equity trading is incorrect, the author of the video can take all your money. Video views, upvotes and subscribers can all be purchased. If you have profitable trading strategy that reaps newbies who implement a bad algorithm that you publish in a public video, then you have created a perpetual motion machine. Here's a search for "how to win slots" on youtube: https://www.youtube.com/results?search_query=how+to+win+slots https://www.youtube.com/results?search_query=how+to+win+slot... Thousands of results, millions of views each. Every video is either fake or wrong, by definition. These videos make money for the authors, and the casinos, by taking it from the marks dumb enough to watch and believe them.

akg_67 5y ago

/r/algotrading - Trading Evolved, Andreas F. Clenow - Systematic Trading, Robert Carver - Developing & Backtesting Systematic Trading Strategies, Brian Peterson - Algorithmic Trading, Ernest P. Chan - Algorithmic Trading and DMA, Barry Johnson - Trading Systems, Emilio Tomasini & Urban Jaekle - Evidence-Based Technical Analysis, David R. Aronson - Machine Learning for Algorithmic Trading, Stefan Jansen

kirse 5y ago

I'll spare you the years of money + research, the majority of it all funnels back into "mean reversion" as the core operating principle. Ceteris paribus in terms of information advantages of course. You can get good at eeking out those advantages and exploiting them, but you're talking about making it your job to find financial "security holes" where the reward is printing cash. And there's a lot of really smart people spending a lot of time doing that. And you have to consistently find new holes as each one gets closed by market participants as you reveal your hand. And then you have to ask yourself if that's how you really want to contribute your time to the world. If you don't think it's your calling, best to find products/companies you really believe in and make calculated risk-taking investments. As Carnegie would say "put all your eggs in one basket, and then watch that basket"

knr2345 5y ago

Might checkout this course. The videos are online for free & the syllabus has some pretty good resources as well. http://lucylabs.gatech.edu/ml4t/ http://lucylabs.gatech.edu/ml4t/ The former instructor / creator & author of one of the books eventually joined JP Morgan as a ML research director (cant recall exact title).