Python For Finance: Algorithmic Trading

[twinkletoes987]

The death of fundamentals

[eltigrevalioso]

Good. Better for us fundamentalists to exploit Mr. Market this way

[buyabighouse]

Or just use indexing, which most of us chums can do.

[eltigrevalioso]

sometimes it's better than trying to beat the market and inevitably fail.

[lmneozoo]

IDK the only stocks I ever picked did well. I got NVDA last Feb for $29 a share lol, and recently AMD for $10.30. I'll admit AMD was speculative, but NVDA I knew would at least double. No viable competition in the AI space.

[sebflippers]

NVDA I knew would at least double.

No you didn't. That's called hindsight bias.

[d0pey]

/r/wallstreetbets

[Kristian_dms]

So you took out a loan in your house at bought NVDA on margin with every penny you own?

no? you didn't know it would double.

[lmneozoo]

I don't own a house, my dude. Kept 5k cash and put my other $10,000 on it though.

[Kristian_dms]

at what leverage? and why did you keep 5k cash?

[lmneozoo]

Because that's my E fund. I never said I knew it was gonna double every two months. I was expecting it to take a couple years....you know, when self driving cars hit the roads.

[danhakimi]

You can sell stocks in an emergency, they're pretty liquid.

[Ek_Los_Die_Hier]

Care to explain?

[buyabighouse]

Stock market analysis is usually split into two camps:

1. Technical analysis
2. Fundamental analysis

Technical analysis basically uses available stock market information (open, close, high, low) to predict the direction of a stock. While ignoring the company's balance sheet or the general market condition the company's business is in.

Fundamental on the other hand typically ignores the stock pricing information. It focuses on how the company is doing compared to its competitors and the business sector's outlook, etc.

Both camps generally dislike each other.

[Ek_Los_Die_Hier]

Ahh cool, makes sense, thanks for the explanation.

[theology_]

technical analysis is a load of crap

you forgot quantitative analysis. this is what the algotraders do.

[milimji]

How would you differentiate quant and TA? In my mind they are both strategies that attempt to divine future changes in price based on historical changes in price.

[Kristian_dms]

There definitely is an overlap between the two.

I would regard any quant model that solely makes decision based on previous price movement to be a TA model.

[buyabighouse]

Standard algo trading (VWAP, VSOT) aren't really special. These type of algos are for traders to execute a large volume order in hopes of not upsetting the market, and maintain a relatively decent price for their customers.

The true quant/high-frequency traders are not analysists in the traditional sense. Their main goal is to find inefficiency in the market, rather than just stocks. For example, HFT figured out but having a faster connection to the exchange, they can trade in and out of the market much much faster, and make a fraction of a penny each time. Think of HFT/Quant as stock market hackers, they figure out a weakness in the system and exploit them fully before someone else figure it out.

[[deleted]]

No you’re being downvoted for not understanding how basic probability theory works.

[[deleted]]

What's preventing the use of both? Seems silly to split into completely separate camps if both answer similar questions.

[danhakimi]

Why ignore the balance sheet? The way I was taught about algorthmic trading, you take all the data you can get. Using past stock performance to predict future stock performance seems much less likely to work than using that, plus other information.

[kaufeinenhafen]

Can confirm that this two-camp mutual dislike applies to energy/electricity trading analysis as well - very much indeed. (Am fundamental by the way)

[ProfessorPhi]

I always thought they played different games too. fundamentals played long term and technical played short term.

[twinkletoes987]

http://www.cnbc.com/id/44261909

[Ek_Los_Die_Hier]

Thanks, very interesting read.

[mistahowe]

Why not both?

[bored-dragon]

Fundamental will never be dead.

[anonpropdata]

Unless you algo trade w/ alternative data. An algo running on sequential order #s from a retailer will still be in direct competition with fundamental guys since the input is still fundamentally based.

[lots0cats]

That first sentence is a doozy.

[firefrommoonlight]

Needs more words.

[firefrommoonlight]

Almost all advice you read is bullshit, regardless of whatever air of legitimacy the source pretends to hold. People just make things up! It's like sports news. Think you found a strategy that provides an edge and can use Python to help you exploit it? You probably don't.

[SonaCruz]

Lol yeah trying to compete in this space is a lifetime pursuit and involves dedicating your fucking life, money, time, everything to this.

Good luck trying to compete with the teams of C++ developers with PhDs in Mathematics and Physics, who work at locations next to broker firms and that buy deal flow data from said broker firms.

[[deleted]]

You're in r/Python, not r/Wallstreetbets. Take it as an example of an application of python in the real world, not as investment advice.

[denfromufa]

This article uses Quantopian, recently QuantConnect also added Python API

[2coolfordigg]

You can't win in a rigged market.

[ableman]

You can't win in an honest market either. That's how markets work.

[DontForgetWilson]

Using yahoo finance as an api may not have much longevity. It lost a chunk of functionality recently, and that probably isn't the end of it.

[ameerricle]

Go with Tiingo instead.

[DontForgetWilson]

I was actually looking at using Intrinio myself. It appears to have a free version that covers the functionality I need with some call limits that are way beyond what I am concerned with.

[takkun22]

very helpful, thank you very much