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Ask HN: How to get into quantitative trading?

• mrefish 3y ago
  This might be a good resource to get started: https://github.com/paperswithbacktest/awesome-systematic-trading https://github.com/paperswithbacktest/awesome-systematic-tra...
• stcredzero 3y ago
  Check out TradersHelpingTraders channel on YouTube. They talk about their trading bots on their Discord.
• karmakurtisaani 3y ago
  Check out numer.ai if you're feeling adventurous.
• atanasb 3y ago
  I was wondering the same thing last year. I ended up in twitter/reddit rabbit holes until I found a somewhat dodgy guy on twitter (@TerribleQuant - account is now deleted). The person compiled a guide with study resources, courses, YT videos, podcasts, textbooks and everything else you can think of in 21 pages. If you look for: BBM PUBLISHING INC “Roadmap” Resource Guide 3rd Edition you might be able to find a copy.
  • igloopan 3y ago
    It doesn't look like the account was deleted. I think the user just changed their username: https://twitter.com/quant_arb/status/1487265241692053509 https://twitter.com/quant_arb/status/1487265241692053509
    • renewiltord 3y ago
      Oh yeah, this guy is fun.
• GoldenMonkey 3y ago
  for trading strategies: wilmott.com elitetrader.com researchgate.net for quant: https://community.quantopian.com/home https://community.quantopian.com/home https://pyquantnews.com https://pyquantnews.com https://www.quantscience.io https://www.quantscience.io for backtesting - zipline reloaded - is event based. It is very slow for optimization. vectorbt - vector optimization - optimize the parameters. optimize - entry and exit parameters, number of ticks. useful for single-asset or spread strategies (i.e. refiner crack spread).
• exz 3y ago
  There are many resources for MetaTrader: https://www.mql5.com/en/market/mt4/free https://www.mql5.com/en/market/mt4/free and you can test the Expert Advisors (trading bots) on historical data: https://strategyquant.com/doc/quantdatamanager/test-strategy-metatrader-4-tick-precision/#step-2-start-metatrader-and-run-strategy-backtest https://strategyquant.com/doc/quantdatamanager/test-strategy...
• dvas 3y ago
  Lots of other great answers, another one I came across recently is FinGPT[0]. For backtesting there is zipline [1], but doesn't look like it's maintained anymore. [0] FinGPT: Open-Source Financial Large Language Models https://github.com/AI4Finance-Foundation/FinGPT https://github.com/AI4Finance-Foundation/FinGPT [1] Zipline is a Pythonic algorithmic trading library https://github.com/quantopian/zipline https://github.com/quantopian/zipline
  • claytonjy 3y ago
    another comment in here mentioned Zipline Reloaded¹, a fork from a guy who wrote a book using Zipline. Last commit 6 months ago, much better than 3 years from the original. ¹: https://github.com/stefan-jansen/zipline-reloaded https://github.com/stefan-jansen/zipline-reloaded
• prakhar897 3y ago
  Noobie Question: Does this actually work? I thought alpha was very little and always fleeting so only big hedge funds generate profit from it.
  • radiusvector 3y ago
    I'm a trader who runs a couple of profitable strategies. You can generate alpha by implementing quantitative (or discretionary) strategies as long as you adhere to the basic principles of profitable trading with a strong emphasis on risk management. There are a million possible trading strategies, which of these will suit your personality/risk tolerance/system design is a matter of personal choice.
    • greenyoda 3y ago
      Could you please say more about what the "basic principles of profitable trading" are, or point us to a reference?
      • andruby 3y ago
        I hope there's more to it than "buy low, sell high"..
        • dave333 3y ago
          Buy upward momentum, and sell downward momentum.
      • radiusvector 3y ago
        Sure. A trade can be decomposed into entry and exit criteria. Only trade when you have an edge, i.e your model suggests that there is a higher probability of an outcome in your favor rather than a pure coin toss - either in entry or in exit. Even coin toss entries can make money if you have an edge in exits and vice versa. All in all, you can be right less than 50% of the time per trade, and still have alpha if your winning trade is 2 times your losing trade. Standard expected value stuff. Heck, I know traders who bat 30 or 35% and make colossal amounts of dollars.
• phibz 3y ago
  The SEC rules if you're in the US are quite strict. You likely wouldn't be able to do quantitative trading own your own while working at a quant. Though, it might help you get hired as a modeler.
  • fnordpiglet 3y ago
    This is untrue. You generally can’t if you’re working for a broker dealer but you absolutely can trade for your own account working for a hedge fund. The fund might consider it a conflict of interest but the SEC won’t care.
  • chronic62625 3y ago
    > You likely wouldn't be able to do quantitative trading own your own while working at a quant Sell-side bank like JPMorgan, HSBC, then yes you are correct. Buy-side hedge fund or prop shop, no you are wrong. The SEC/CFTC does not care what you trade in your personal account.
    • phibz 3y ago
      I meant that logistically you'd not be able to do it. Sure you can still trade of course. but you might need things like preauthorization for every trade, and have to hold them for a given time before selling, which kinda makes algorithmic trading more difficult. But hey ya'll just pile on. o/
• lend000 3y ago
  I wish I had started with QuantConnect before I wrote everything from scratch; all the other free/open source tools didn't seem to meet quality standards for me.
• worik 3y ago
  You should know this is a really bad idea, unless loosing money is your goal "Automated" trading, even if there is an edge (and unless you are a crook, there is not) will sink you with transaction costs You should know this.
  • chronic74930 3y ago
    > You should know this. Anyone who worked in quantitative trading knows you can consistently outperform the S&P500/VTI/SPY over 20+ year horizons. Buy and hold passive US equity index funds gives a Sharpe ratio of ~0.7 with annual return of 8-10%. Meanwhile, high frequency trading does upward of Sharpe 10+ with 40-60% annual return, with 10+ year track records, of course. Hell, even Citadel hedge fund, after their ridiculous 50% performance fee, returned 19% _after fees_ annually to outside passive investors over 20 years. And this is billions of AUM, so the ”quant don’t scale” argument goes out the window. Why is nobody talking about this? Because the elite politicians and businessmen invest in these very quant funds, and thus suppress any news or regulation. Sucks for middle class professionals with <$5M net worth.
    • panarky 3y ago
      Nobody's saying that alpha doesn't exist. But before you unleash your automated proprietary model, you should be able to explain why you think you have any edge whatsoever over your far better funded, far more experienced counterparties. And, no, getting great results from backtesting your model is not evidence of edge in the future against adversaries with access to better data than you have.
      • eps 3y ago
        > you should be able to explain RenTech famously tried to understand exact mechanics of their successful models after they (models) proved to be successful. Sometimes they succeeded.
    • deleted 3y ago
      [deleted]
    • 3y ago
• renewiltord 3y ago
  Fastest way is probably to just write the code. You can get crypto market data for free. https://www.binance.com/en-AU/landing/data https://www.binance.com/en-AU/landing/data and others. If you want equities, I think you can get that from Databento for low cost (won't need the CME cert for their stuff to get historical from here). Then just write the code. The basic structure is not that much in a modern language (use Java, Rust). To trade, you can use Sequencer architecture as basic https://sissoftwarefactory.com/blog/an-introduction-to-the-sequencer-world/ https://sissoftwarefactory.com/blog/an-introduction-to-the-s... (article describes so maybe jog your memory, but has only old code link so useless if not new to you, just sequence your messages) ChatGPT will help build this quick. IMHO if you want to do this, crypto markets are ideal. Fees are high, but low upfront costs. Can eke out small wins with low capacity strategy. Should be advised, though. Everyone who wants to get into this does this stuff and then finds that if you want to do big, you need to apply large force on long lever. So everyone and their uncle had "a few profitable strategies as a side bet". Means nothing at small scale. Only for fun.
• KRAKRISMOTT 3y ago
  Your biggest problems will be brokers, data, and capital. The coding part of quant finance is surprisingly boring (unless you are doing HFT but most aren't). For infrastructure just use AWS and co-locate next to the exchange (especially if you are doing crypto where everything's in the cloud). For data try https://databento.com/ https://databento.com/, there are also other sources. Affordable data, especially tick level L3 data at scale is difficult to get. Having enough capital to make trading worth well (pricing in losses etc.) is also difficult. Direct market access etc. all cost money. Use interactive brokers if you need a compromise between fully professional and amateur. Spend more time on your financial models, and less time building beautiful frameworks. The engineering of quant finance is the least interesting part. Focus on the market microstructure and financial models. If your model is bad, you lose money regardless of how great your infra is. It's difficult to find a good off the shelf backtester. This ties into your model too. At its core, a backtester is just a for loop. Computation of variables like slippage and integration of monte Carlo Sims is where the secret sauce lies. Those are all proprietary. Best of luck in seeking alpha
• aleksiy123 3y ago
  I played around with https://www.quantconnect.com/ https://www.quantconnect.com/ Its a platform where you just focus on implementing strategy. Was fun but I realised it would be more work than just getting a better job. I'm sure there are others as well.
• markus_zhang 3y ago
  Just curious, is there still non-quantitative professional (not-retail) trading in the forex or future or fixed income market?
  • tim333 3y ago
    Glancing at linkedin it still seems to going strong https://www.linkedin.com/jobs/foreign-exchange-trader-jobs-london/?currentJobId=3814941263 https://www.linkedin.com/jobs/foreign-exchange-trader-jobs-l... I had a friend who was a forex trader at large banks and a lot of it is reading the psychology of the other people in the market. I think humans probably still have an edge there. He made a lot of money then did a lot of drugs then went a bit mad. One of the drawbacks of humans there.
    • markus_zhang 3y ago
      Interesting, thanks for the pointer. I thought everything moved to algo now...
• lockdown22 3y ago
  Not sure if Options trading for Income / Theta harvesting counts as Quantitative trading, but I found success here. Long story short: I created an option backtester (MesoSim) and started analyzing public domain trades. I have a couple of listed in this blog: https://blog.deltaray.io/tags/strategies/ https://blog.deltaray.io/tags/strategies/ If you are interested I'd suggest taking a look at the Weekend Effect, it's relatively easy to understand. Best luck to you getting back to trading!
• kwant_kiddo 3y ago
  this makes me believe you never were in a quant shop, sorry. At least if your goal is making money. I think it can be a fun project to make an engine, and try to make models, together with some form of ingestion pipeline and finally solve and calibrate the models. Try some simple products, and see how close you can get to real world prices. Making pricing/risk engines are in my opinion somewhat close to game engines even through that the domain is so different.
• financltravsty 3y ago
  HN is the wrong crowd to ask, because they’re behind the curve on a lot of things. Hop on FinTwit or CryptoTwit. Derivatives (options/futures) are your best bang:buck. But crypto is where the real speculation is. Read up on a practical trading book (hypothesis building, backtesting without bias, and risk management via Kelly etc.) and then start testing strategies. Backtesting you can build yourself with any broker that has an API, but not all are made equal. It’s dead simple. Look into [redacted]
  • hurrrr 3y ago
    What are some great Twitter account to follow?
• Imanari 3y ago
  Hit me up if you want to chat. I‘ve been a hobbyist algotrader for some years (with mixed results). I’d say this: It is very hard to beat the market consistently. It is even harder to statistically prove and convince yourself that our new strategy actually now beats the market. There are a lot of gotchas and caveats to watch out for when backtesting. I spent most of my time with time series techniques as this was most fun to me. My current stack is ccxt, binance, polygon.io and self made backtesting in python.
• tim333 3y ago
  I've recently been studying up on it with a view to unleash the bots soon. I can recommend a couple of Udemy courses, details below. There's a guy here explaining how to make trading bots in Python https://youtu.be/sUQmuL95_oY https://youtu.be/sUQmuL95_oY He has free code available on github to try out. He also explains how to backtest. There are a couple of popular packages like backtesting.py out there. ccxt is a handy python package if you want to trade crypto. There are various free tutorials for it. I also recommend playing around with Tradingview. It draws graphs and you can make your own indicators with their language Pinescript and even trade off that although Python probably gives you more flexibility. Udemy courses https://www.udemy.com/course/algorithmic-trading-strategies-in-python https://www.udemy.com/course/algorithmic-trading-strategies-... and https://www.udemy.com/course/complete-algorthmic-forex-trading-and-back-testing-system https://www.udemy.com/course/complete-algorthmic-forex-tradi... I paid about £14 each - they keep chopping and changing with the discounts The details vary a bit depending what you want to trade - crypto, stocks fx or whatever. One tip - chatgpt4 is surprisingly helpful and can almost code a whole bot for you if you know what you want. One slight pain for me has been finding brokers with the what I want. I'm the wrong nationality or they don't have futures or there isn't enough liquidity or they are sketchy or such like.