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Thanks for the advice. I will definitely err on the side of caution and not get caught up with the backtesting and over fitting. Allocating resources (funds) wi

Thanks for the advice. I will definitely err on the side of caution and not get caught up with the backtesting and over fitting. Allocating resources (funds) will probably play an important role to manage risk in the system. At the end of the day, I'm trying to answer the question: can you make money in the stock market with a low-touch (eventually no-touch) approach with the help of advanced software and analytics. Hopefully the answer is yes ;-)

lmgtfy 12y ago
>> At the end of the day, I'm trying to answer the question: can you make money in the stock market with a low-touch (eventually no-touch) approach with the help of advanced software and analytics The answer to this has been a resounding "hell yes" for decades across IB/HFT/AlgoTrading shops. The only thing this exercise achieves is whether "you" personally can make money with a low-touch approach using software.
- gaius 12y ago
  I don't know if you've ever worked in a HFT shop but I am pretty sure those guys aren't just goofing off while the robots print money for them.
  - lmgtfy 12y ago
    Well, they're usually revising/improving their models while the robots print money today to ensure that the robots can print more money tomorrow. The frequency and depth of the human input varies based on the kind of strategies employed (macro/statistical arbitrage etc). Moreover, successful models take competitors' potential models into account which (like everything else) is a moving target.
brc 12y ago
You can, but really should you bother? There are funds which are done with automated trading, they're not the sort of thing you'll see on TV but they are about. I've had one for over ten years and it has returned about 15% pa since then. In the early days it was over 20% but the system started to lose its edge and 2008 killed it, it has been coming back, but has a ways to go. This type of approach is far better than trying to build your own, unless, 'your own' has an edge you have come up with. I stopped when I realised I had no edge, no unique method or insight. I still believe you could still develop a neat system that deprioritised the entry signal - and focussed just on letting winners run and cutting losses. That requires a very low cost transaction model however.

lmgtfy 12y ago

>> At the end of the day, I'm trying to answer the question: can you make money in the stock market with a low-touch (eventually no-touch) approach with the help of advanced software and analytics The answer to this has been a resounding "hell yes" for decades across IB/HFT/AlgoTrading shops. The only thing this exercise achieves is whether "you" personally can make money with a low-touch approach using software.

gaius 12y ago
I don't know if you've ever worked in a HFT shop but I am pretty sure those guys aren't just goofing off while the robots print money for them.
- lmgtfy 12y ago
  Well, they're usually revising/improving their models while the robots print money today to ensure that the robots can print more money tomorrow. The frequency and depth of the human input varies based on the kind of strategies employed (macro/statistical arbitrage etc). Moreover, successful models take competitors' potential models into account which (like everything else) is a moving target.

brc 12y ago

You can, but really should you bother? There are funds which are done with automated trading, they're not the sort of thing you'll see on TV but they are about. I've had one for over ten years and it has returned about 15% pa since then. In the early days it was over 20% but the system started to lose its edge and 2008 killed it, it has been coming back, but has a ways to go. This type of approach is far better than trying to build your own, unless, 'your own' has an edge you have come up with. I stopped when I realised I had no edge, no unique method or insight. I still believe you could still develop a neat system that deprioritised the entry signal - and focussed just on letting winners run and cutting losses. That requires a very low cost transaction model however.