jspaulding

8 ms·

31.
by jspaulding 14y ago
oh right.. well in the very beginning it was.
32.
by jspaulding 14y ago
yes. and yes.
33.
by jspaulding 14y ago
Actually I believe when I switched from T4 to TT it was C++ I was using.
34.
by jspaulding 14y ago
To be honest I'd given up and moved on to other stuff well before I actually shut down the program.
35.
by jspaulding 14y ago
I basically just brute forced it. I came up with a cost function which would measure the difference between a possible curve and each data point. I think you're supposed to do the squared difference but I can't remember if I did that. With
36.
by jspaulding 14y ago
CourseTalk. CourseTalk! http://coursetalk.org .. You are right kind of :) But I've made a decision to start reaching out generally so I can attract cool people to work with on whatever projects I may be interested in in the future.
37.
by jspaulding 14y ago
In my final month I lost $600. I didn't include this on the chart to keep things simpler visually. Since then I have not traded and the reason is that it was abundantly clear that my program was no longer working. That's why I shut it off.
38.
by jspaulding 14y ago
thanks for posting hadn't seen that
39.
by jspaulding 14y ago
I'm probably showing my ignorance here but what do you mean by alpha? And how is it quantified?
40.
by jspaulding 14y ago
I have some friends that have made a lot of money playing poker. The analogy is very good. But, in poker you have to be willing to deal with much bigger ups and downs than what I had to deal with. You can hit a bad streak and it can hurt -
41.
by jspaulding 14y ago
I was trading stock market index futures: Russell 2000, DAX, and a bit of Nasdaq. I experimented with other stuff as well.
42.
by jspaulding 14y ago
I didn't lose any sleep but I do indeed hope to contribute more to society with future projects.
43.
by jspaulding 14y ago
$10k loan from dad. Built it up to 30k trading manually before my automated program went live.
44.
by jspaulding 14y ago
It's a great point and seems like a very smart thing to keep in mind. I think in my case, based on the statistics involved, the odds that my success was luck just seems astronomically small. But, guess I'm biased in my own way :)
45.
by jspaulding 14y ago
My fixed costs were $2000/month. I think it was $1800 for TT plus $200 server rent so damn.. I was getting overcharged $800!! oh well :)
46.
by jspaulding 14y ago
I'm pretty sure it was XTAPI. Is that the simpler one? I used the simpler one. Whatever the case.. the code that dealt with the API was trivial compared to the rest of my program. So good work!
47.
by jspaulding 14y ago
Yes i'm pretty sure it wouldn't work today. By buying the code I realistically mean hiring me to work for them based on what I achieved.
48.
by jspaulding 14y ago
thanks quant123 ;)
49.
by jspaulding 14y ago
I don't think anyone was adapting to what I was doing in particular but rather simply adapting to the opportunities in the market.
50.
by jspaulding 14y ago
Hey, I didn't actually intend this to be a course. I do not make any money in the market right now so am certainly not qualified to teach a course on it. And of course, if I was making money in the market I wouldn't have posted this at all.
51.
by jspaulding 14y ago
You are correct. I think I had to have $10-30k in my account. I was extremely low risk so they weren't concerned.
52.
by jspaulding 14y ago
Longs and shorts were 50/50 and my program showed no preference for up or down days. High volatility and high volume was what it liked.
53.
by jspaulding 14y ago
Well I could try. But it's not going to be any easier now than it was in 2010. For four months I tried everything I could think of to keep it profitable but in the end nothing worked so I had to shut it off.
54.
by jspaulding 14y ago
I tried to address this concern at the start of my post. If you have some idea of how I manipulated the statistics I'd be happy to respond. Having said that I can agree that my case is pretty unusual and that everyone should beware of attem
55.
by jspaulding 14y ago
I certainly could open source it. I may just wait a bit on the off chance that somebody wants to purchase it.
56.
by jspaulding 14y ago
Yes, however, I forgot to mention that pretty early on I converted my program to use an API from https://www.tradingtechnologies.com . It's odd, but I can't remember exactly why. I think it was simply because I found a broker who could off
57.
by jspaulding 14y ago
To be honest I don't know exactly what happened. My theory is that over time more and more market participants started integrating the types of analysis I was doing which rendered my program ineffectual. It's a pretty normal pattern that th
58.
by jspaulding 14y ago
It wasn't anything over the internet. I had a server rented at my broker who were situated close to the exchanges in Chicago and had direct lines. For sure I was not the fastest but only behind by a couple milliseconds perhaps.
59.
by jspaulding 14y ago
If anyone has questions for me happy to answer as best I can.
60.
How I made $500k with machine learning and high frequency trading(jspauld.com)
551 points by jspaulding 14y ago|308 comments

More ›