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Interesting, the figure does seem quite low to me. Boglehead passive investing has worked really well for the past dozen years. I expect the next 10-15 to be mu

Interesting, the figure does seem quite low to me. Boglehead passive investing has worked really well for the past dozen years. I expect the next 10-15 to be much more challenging given the extremely high starting valuations and end of the low interest rate and QE tailwind. I've been building algotrading models to help tackle the challenge of when to hedge at https://grizzlybulls.com https://grizzlybulls.com

blobbers 5y ago
Is your website built on some platform? Do you have any customers? How does your platinum plan work?
- pyrrhotech 5y ago
  Website is built with NextJs. The models are all built with NodeJs--custom backtester framework, and the execution framework and data fetchers are also in Node and leverage a few open source libraries and currently only works with Interactive Brokers. We just launched mid December, and currently have 16 paying subscribers and 178 free members. MRR about $2500. The Platinum plan can be either implemented via API, email notifications or a managed account in which case after some legal paperwork, we set up a second user in Interactive brokers with trading authority that executes trades based on the signals (hedging via ES futures).
  - blobbers 5y ago
    This is a pretty regulated market. How did you set up the managed account?
    - pyrrhotech 5y ago
      Managed accounts must first be set up on Interactive Brokers by the client, with a margin account + futures trading permission. Then a second user must be added with Limited Trading Authorization: https://www.investopedia.com/terms/t/trading-authorization.asp https://www.investopedia.com/terms/t/trading-authorization.a.... Interactive Brokers has some standard forms to establish the contract. Once all that's set up, I run a parallel instance of my bot with your account in the cloud. Please send me a "Contact Us" or an email if you are interested and want to know more details.
Chamix 5y ago
A couple questions about your service/models: 1. It seems likely your models work internally with probabilities vs binary buy/sell decisions. Why do you not have the option to expose this probability, vs just simple buy sell signal? I would think this would pair very nicely with asset allocation. Have you investigated performance when using a sliding asset adjustment (even if just sp500 future & cash) that corresponds to model confidence, vs the binary win/lose bet system? Does slippage from frequent adjustment dominate the gains, no matter the adjustment threshold? 2. At a lazy glance, it seems trivial to boost performance with leverage on buy + shorting on sell, assuming the model really retains its backtest-heavy predictive power. Is this ignored just to remove black swan risk, or is there something more fundamental? Obviously a 0 leverage buy sell signal is very marketable and low friction, fitting for a SAAS product, but it seems you could do even better with skills you obviously would possess if actually capable of making such a "god" level market predictor. Your posts are full of other seemingly more complicated strategies with somewhat contradictory capital levels throughout the years so it further adds to the main crux of confidence here: That you discovered a top 1% hedge fund caliber model individually as a mid tier SWE early retiree and suddenly offer it to all for an attractive price, without already being sure you can fuck off to a private island with the power of 50%+ CAGR, ignoring the rest of the world. You are also very sparse on details regarding your "proprietary anti-overfitting" methodology, when overfitting is of course the well-memed downfall of 99% of algo trading techniques that claim to meaningfully beat the market. To say nothing of the backtesting window conveniently starting after 2008, lack of VIX hourly data or not. Disclaimer: I've spent the last 8 hours or so digging through your entire SA, reddit, and HN post history. Initially I dismissed your site as 80% likely scam, 19% naïve backfitted and overfitted waiting-to-be-raped-by-bear-market drivel, etc. But now I'd say I'm operating on a more optimistic 5-10% chance there is something legit here. You might actually just have researched sufficiently in all the right places, implemented a legitimate edge through extensive pareto culling via the yet virgin power of code, and had the perfect balance of libertarian desires to motivate you and yet progressive ideals to democratize it. As well of course as this being a genuine passion project that you are excited to share with others. I currently work overemployed at FAANG, capital accumulation focused, but I've always held attempting to pareto market timing with a ~99-1 EMH assumption as my main FIRE project in the back of my mind for the past couple of years. I came to the weak conclusion with my pareto^pareto research of the idea that attempting to limit drawdown via algorithmic tactical allocation on SP futures (for liquidity) via macro + TA indicators seemed the best method. So, I am very intrigued to see someone who essentially appears to be me born 5 years earlier doing that exact thing. Rereading this, I don't mean to come as aggressive/hateful; regardless of how the future treats your models this is a very thought provoking and exciting project!

blobbers 5y ago

Is your website built on some platform? Do you have any customers? How does your platinum plan work?

pyrrhotech 5y ago
Website is built with NextJs. The models are all built with NodeJs--custom backtester framework, and the execution framework and data fetchers are also in Node and leverage a few open source libraries and currently only works with Interactive Brokers. We just launched mid December, and currently have 16 paying subscribers and 178 free members. MRR about $2500. The Platinum plan can be either implemented via API, email notifications or a managed account in which case after some legal paperwork, we set up a second user in Interactive brokers with trading authority that executes trades based on the signals (hedging via ES futures).
- blobbers 5y ago
  This is a pretty regulated market. How did you set up the managed account?
  - pyrrhotech 5y ago
    Managed accounts must first be set up on Interactive Brokers by the client, with a margin account + futures trading permission. Then a second user must be added with Limited Trading Authorization: https://www.investopedia.com/terms/t/trading-authorization.asp https://www.investopedia.com/terms/t/trading-authorization.a.... Interactive Brokers has some standard forms to establish the contract. Once all that's set up, I run a parallel instance of my bot with your account in the cloud. Please send me a "Contact Us" or an email if you are interested and want to know more details.

Chamix 5y ago

A couple questions about your service/models: 1. It seems likely your models work internally with probabilities vs binary buy/sell decisions. Why do you not have the option to expose this probability, vs just simple buy sell signal? I would think this would pair very nicely with asset allocation. Have you investigated performance when using a sliding asset adjustment (even if just sp500 future & cash) that corresponds to model confidence, vs the binary win/lose bet system? Does slippage from frequent adjustment dominate the gains, no matter the adjustment threshold? 2. At a lazy glance, it seems trivial to boost performance with leverage on buy + shorting on sell, assuming the model really retains its backtest-heavy predictive power. Is this ignored just to remove black swan risk, or is there something more fundamental? Obviously a 0 leverage buy sell signal is very marketable and low friction, fitting for a SAAS product, but it seems you could do even better with skills you obviously would possess if actually capable of making such a "god" level market predictor. Your posts are full of other seemingly more complicated strategies with somewhat contradictory capital levels throughout the years so it further adds to the main crux of confidence here: That you discovered a top 1% hedge fund caliber model individually as a mid tier SWE early retiree and suddenly offer it to all for an attractive price, without already being sure you can fuck off to a private island with the power of 50%+ CAGR, ignoring the rest of the world. You are also very sparse on details regarding your "proprietary anti-overfitting" methodology, when overfitting is of course the well-memed downfall of 99% of algo trading techniques that claim to meaningfully beat the market. To say nothing of the backtesting window conveniently starting after 2008, lack of VIX hourly data or not. Disclaimer: I've spent the last 8 hours or so digging through your entire SA, reddit, and HN post history. Initially I dismissed your site as 80% likely scam, 19% naïve backfitted and overfitted waiting-to-be-raped-by-bear-market drivel, etc. But now I'd say I'm operating on a more optimistic 5-10% chance there is something legit here. You might actually just have researched sufficiently in all the right places, implemented a legitimate edge through extensive pareto culling via the yet virgin power of code, and had the perfect balance of libertarian desires to motivate you and yet progressive ideals to democratize it. As well of course as this being a genuine passion project that you are excited to share with others. I currently work overemployed at FAANG, capital accumulation focused, but I've always held attempting to pareto market timing with a ~99-1 EMH assumption as my main FIRE project in the back of my mind for the past couple of years. I came to the weak conclusion with my pareto^pareto research of the idea that attempting to limit drawdown via algorithmic tactical allocation on SP futures (for liquidity) via macro + TA indicators seemed the best method. So, I am very intrigued to see someone who essentially appears to be me born 5 years earlier doing that exact thing. Rereading this, I don't mean to come as aggressive/hateful; regardless of how the future treats your models this is a very thought provoking and exciting project!