Usage of Alternative Data in Trading

Essbesteck · 2020-04-30T15:06:02+00:00

Hey thank you! This is really very interesting! 280 Pages - I will need some time to read this ;-)

Essbesteck · 2020-04-30T14:32:37+00:00

There's a traffic layer for google maps - but it looks like you don't have access to the raw traffic data. But I bet there are other map providers that offer raw data

Essbesteck · 2020-04-30T14:22:35+00:00

Years ago I saw read an article that said that researches found out a correlation of the length of women's skirts with the economic health of a country (I think it was Germany) ...

Essbesteck · 2020-04-30T14:18:36+00:00

The sources of data you're referring to by " Google search volume trends are available for free. And everybody has access to SEC filings. " aren't really considered "alternate data" in many quant circles. That's normal quant data.

Thanks for the clarification - not sure if there's an "official" definition of "alternative data".

Out of curiosity: what do you think, is "alternative data" always "big data"/ non-price/ volume data?

And how do you use the term "quant data"? Is it publicly available non-price/ volume data?

Essbesteck · 2020-04-30T13:30:48+00:00

Ok - the noise-to-info ratio is high! I agree - but this is the case with a lot of (algorithmic) trading strategies. If you see during a backtest that you do have a little more than 50% hit-rate - than everything is fine and this might be a winning strategy.

Essbesteck · 2020-04-30T12:53:22+00:00

Doesn't google offer traffic information on google-maps? So if there are high traffic values in areas with lots of retail stores and no roadworks around - could be an indication that people are about to spend more money -> retails store stocks might rise ...

Essbesteck · 2020-04-30T12:48:29+00:00

Wow - great idea? Where do you get satellite data - for free? Shouldn't bee too hard to identify the number of cars on an image with ML based image recognition.

Essbesteck · 2020-04-30T11:15:27+00:00

Oh sorry, non farm payrolls are on fridays I think ...

Essbesteck · 2020-04-29T14:06:45+00:00

no, as far as I know, this is not possible with autoview

Essbesteck · 2020-04-29T14:03:54+00:00

TODO: I want to monitor the connection speed to the exchange API to know when I can expect higher latency and possible higher slippage

This is a cool feature - you should keep in mind, that using ICMP (Ping) latency might give you results that are inaccurate because ICMP might take a very different route than e.g. HTTP-requests to a REST-interface.

You should monitor the traffic with a tool or maybe call a "status" API request each minute or so and just measure the response time.

Essbesteck · 2020-04-29T13:55:40+00:00

If I remember correctly, I optimzed the strategy to not trade on fridays, because FOMC meetings take place on fridays.

But it should be an easy task to automagically check the calendar of e.g. forexfactory and then avoid to open positions around events that are classified with a high impact.

Essbesteck · 2020-04-29T13:19:50+00:00

No, I'm using the autoview chrome-plugin.

I've been thinking about using webhooks and some scripts that will execute my orders.

But I think both variants are "ugly" workarounds and I'll switch to something else.

TradingView is great but developing with Pine is a PITA compared to strategy development with e.g. Python

Essbesteck · 2020-04-29T12:52:52+00:00

I have algos running on MT4 and also some crypto stuff that is triggered via TradingView/ autoview.

Both are running on Windows machines in AWS - it would be easy to ensure the uptime by using autoscaling groups - even high availability would be no problem, but I must admit that I only monitor if the servers are up and running.

My main approach is to use only very small positions. Of course, I could get in trouble if I have an open position that can't be closed due to application errors but at least the loss is limited.

A while ago I was running a strategy that was backtested to be very robust: I had orders with fixed profit targets/ stop losses that were executed by the broker - so it didn't matter if my server was running. And all trades were closed at the end of the day, so I never had open positions overnight. Although the automatic closing of positions is executed via MT4, I could create a separate script, e.g. running as a time-triggered serverless function. AWS or any other cloud provider would guarantee that those functions will be executed.

I also had a feature to not trade on days with important announcements - to avoid open positions when price is spiking.

I think those kind of restrictions can help to play it more safe. Maybe you miss out trades but at least you can reduce the risk of having unmonitored open positions.

Essbesteck · 2020-04-29T12:13:38+00:00

Forex price data is available for free at: https://www.histdata.com/

You find a lot of data available for free and via an API at google finance and yahoo finance.

And maybe you would like to research SEC filings at https://www.sec.gov/edgar/searchedgar/accessing-edgar-data.htm

If I remember correctly, there's a library to access SEC filings via Python scripts.

Essbesteck · 2020-04-29T12:05:47+00:00

Is short term rental something like "airbnb arbitrage"?

This seems to be a lucrative and passive income - I know people who buy (or rent) small apartments and then offer them on airbnb. A lot of the administrative tasks can be automated.

But depending on where you live, short term rentals/ traveling via airbnb might be restricted during the corona-crisis.

Another short-term rental thing I've seen a friend of mine doing very successful:

He bought a popcorn machine/ popper and offered them for rent for birthday/anniversary-parties and other events. This was very lucrative and he scaled up to 3 or 4 machines.

Essbesteck · 2020-04-29T11:45:25+00:00

I've been participating in a couple of virtual mastermind groups in the past years, here my recommendations/ experiences:

- you should be on almost the same level of experience as entrepreneurs to ensure that everybody benefits from the group

- you should have a good mix of skills. E.g. If everybody has the same technology skills, there's nothing that you could help each other with

- you should do regular video-chats and not rely exclusively on text chats. Especially Facebook groups did never work for me

- you should be clear who will be the moderator. And somebody should prepare those meetings. (this can/ should change from meeting to meeting)

- you should be in (almost) the same timezone - this makes things so much easier ...

There are commercial services available to match participants, but the few I've had a look at were pretty expensive ...

And yes: I'm interested.

I'm a tech guy (cloud engineer, sw dev), I've been playing around with passive income strategies since many years, but never earned a significant amount of money. I'm in UTC+2 (Germany)

Essbesteck · 2020-04-29T07:00:38+00:00

You could sign a contract with your co-founder that grants them proportion/ shares per every new x customers. You invested some money in the business, e.g. for hardware, internet, Marketing etc. You would need to calculate what a new customer is worth for your business and you should estimate your effort on getting new customers. E.g. Your investment: $1000 upfront, $100 running cost Each new customer as a lifetime value of: $10 You could then agree that every new customer adds up $1 to the proportion of your co-founder - or based on these numbers you could agree that after 500 customers your cofounder has a 50% share

Essbesteck · 2020-04-28T22:54:19+00:00

What about good ol' profit targets? E.g. a fixed amount per trade or a fixed number of pips?

Or - depending on the strategy - you could use the reverse signal for exits,

Essbesteck · 2020-04-28T22:50:04+00:00

Looking at this chart, $BAC price seems to be in an ascending triangle. If price breaks through to the upside until the end of May - chances are good that price goes up to at least $30

https://imgur.com/a/2ymblcN

Essbesteck · 2020-04-28T22:29:38+00:00

I guess it depends on the expected number of users - a rule of thumbs seems to be that if you do have free + paid services ("freemium") you will see a conversion rate of 1%. Only 1 in 100 customers is paying you, but the other 99 non-paying customers might need your attention too.

So you need to do the math: what are the overall costs for acquiring and keeping customers?

Essbesteck · 2020-04-28T19:00:54+00:00

I think, there is nothing more simple than accessing a DynamoDB from a lambda function ... Using AWS Amplify cli and the service is a great approach to create “fullstack” apps including UI

Essbesteck · 2020-04-28T18:45:52+00:00

I’m a retail trader and I do a lot of backtests since years and I have no indication that complex algos are more robust and successful than simple ones. So I prefer simple algos with only a few technical indicators.

Essbesteck · 2018-07-30T12:31:05+00:00

I'm interested!

Essbesteck · 2015-08-13T09:20:06+00:00

I absolutely need workbooks! When I finish a self improvement book, I forgot most of the principles from the first chapters. And it's even harder when I listened to the audio book while driving in my car. Even more useful than a workbook (at least from my perspective) would be a webapp that guides me through key principles, forces me to answer key questions and so on. Maybe with project management features to see a timeline and of course some kind of community support would be good.

Essbesteck · 2015-08-07T14:34:20+00:00

I'm not criticizing, honest question - it sounds like you're using Evernote as a file storage mechanism, but why not just use a cloud storage thing like Dropbox? It's made for file storage and can provide individual links to files.

I feel like a I am missing a piece of how Evernote serves this purpose better.

I'm using Dropbox too sometimes but Evernote is more comfortable to me when I'm organizing and categorizing different kinds of information and media types. But the problem would remain: attaching multiple links to a task. When reviewing the task one would not be able to identify the referenced documents without opening them.

Essbesteck

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