hello friends,
first of all thanks to quantopian for giving the tutorials which are understood easily (even by a novice programmer). but my concern is that the biggest problem is that we have to give enormous input of time and resources ( by studying the trends of a particular stock of company for long time and then getting the conclusion of the trend and then designing and writing the corresponding code) also if there is any financial disaster (like 2008-9 global financial meltdown, brexit, these algorithms fail terribly ). my queries are:- can anybody tell me any example of algo that was giving good returns during the financial meltdown. also can anybody tell me how to use AI/machine learning with stock trading (as i am novice programmer having basic knoweldge of stock trading). also my most important question is that if i master the high frequency trading, then how much (minimum) returns i am able to get (yearly/monthly).
Sorry to have been unhelpful. Here is the answer. There is no such thing as risk free and no algo is guaranteed to keep you out of a crisis. This is a very good forum and there are very good examples here.
But most expectations are naive in the extreme. If you want to know what the hedge fund managers achieve start looking at sites like IASG.com and take a look at my favourite fund manager David Druz of Tactical.
High returns for low vol and low drawdown are a myth.
Look at some bog standard momentum systems and take measures to try to reduce the vol. I produced one here on the forum.
AI does not yet exist - not in the Turing sense and certainly not sentient. And if it did the universe and the laws of physics may not permit the future to be forecasted accurately.
You can't do HFT with Quantopian. You would need co-location to an exchange and hundreds of thousands to spend on hardware and software.
HFT is a war zone. As a beginner simply forget it.
The Medallion Fund is one of the best known HFT operators. They apparently make 40% a year but with quite high vol and DD.
See Renaissance Capital and Jim Simons. Their Medallion fund is closed to outside investors.
I looked up a dumb book I wrote back in 2008 at which point I had information on Medallion's track record. It achieved compound annualized returns of 39% net of huge fees from 1989 through to June 2007. According to a report of Bloomberg Medallion was up 58% in the year to November 2008.
For HFT read "Flash Boys" an amusing book by Michael Lewis.
Some HFT operators have crashed and burnt - see Knight Capital. The SEC is investigating various HFT practices - they are said to deal ahead of client orders and to engage in spoofing both of which are illegal.
There are no short cuts. The whole business is very hard work indeed and even those skilled at coding will need to build experience in markets. Which takes time and a great deal of experience.
Start small - play stocks or ETFs for peanuts. Don't touch futures or leverage until you have a very great deal of experience.
Bear in mind some HFs make spectacular money for limited periods of time, make their promoters a fortune, then crash and lose investors a large percentage of their cash.
Read about famous speculators of the past - they mostly went bust quite a few times. The famous Richard Dennis of Turtle fame blew up a few times.
See Reminiscences of a Stock Operator
The guy is worshipped but was, frankly a fool and ended up committing suicide.
If you only have a statistical edge (EG you are not front running or dealing on inside info) then use heuristics - or short cuts.
Hi Dhruv,
Thanks for your question! Like you noted, the tutorials are a great place to start learning about the platform, even for novice programmers and traders. The next step would be to go through the lecture series. They cover more advanced material.
Another place you might consider looking next is the forums for threads that contain trading ideas, trends, and other general guides.
For example, the financial crisis has been the topic of a few threads concerning risk and volatility. Here's one that shuts off with accumulated losses; it had a negligible drawdown during the financial crisis.
In general, algorithmic trading returns will vary by a lot of factors. Algorithms that do well at one point in time won't necessarily do well in the future, as is the case for all strategies. Market conditions, sentiment, trading volume, and other events can cause returns to fluctuate. A good target for any trader is to beat inflation ( 2~3% yearly returns in the US).
Best,
Lotanna Ezenwa
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Thanks for all important views,I will try my best to gain as much experIence. Also can you tell me any new ideas/startups that can be propped up by quants which can give good gains. I have a good entrepreneurial instinct . Also do you have any internship opportunities ( online) in any company( for quants) in which I can work. I have good coding skills.
HFT
Incidentally you should ask the Quantopian team about HFT. On of their backers is GETCO.
Here is an interesting little excerpt from an article about GETCO
And since retail orders no longer would feed the frontrunning,
sub-pennying, quote churning, flash crashing juggernaut that is HFT,
that meant less revenue and profit for algo master GETCO.
Here is another article from the WSJ:
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.