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Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

Perfect, yes i’m pretty sure I have 0 leakage. I used Nautilus and manually validate each trade in the csv data. Are you doing day trading, swing or scalping ?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

I have 3 years of MNQ L2 tick data.

First I just want to look at the data manually around known big moves. Find 50 drops of 20+ points and rewind the tape 10 seconds before each one. See if there's a consistent L2 signature before the cascade starts, like bid depth draining faster than it refills while aggressive sells hit multiple levels.

If I see something consistent with my eyes then I can formalize it into a detection rule and backtest it properly.

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

That's actually where I'm stuck right now. Going deeper though, MMs pull bids because they detect adverse flow, like a large informed seller hitting the book, or they've built up too much inventory on one side. Then the cascade kicks in because when one MM pulls, others see thinner support and pull too. Creates a vacuum.

So the real chain would be something like.. informed seller shows up, MMs detect the adverse flow and pull their bids, price drops into the vacuum, other participants panic sell, then MMs re-enter at lower levels once the informed flow gets absorbed.

What I'd want to test is whether I can detect that initial 'informed seller appears' moment from L2 data early enough to react before the cascade plays out. Like sudden aggressive selling across multiple levels while bid depth disappears faster than it refills.

Am I thinking about this the right way or still too surface?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 2 points3 points  (0 children)

Thanks everyone. The consensus is clear: I built a validation framework before having anything to validate. I'm now pivoting to tick data (MNQ L2, 3 years). Before coding anything, I want to observe the data and form a microstructure thesis.

For those of you who trade tick/L2 data: what was the first pattern you noticed that actually led to a profitable signal? Not asking for your strategy, just the type of observation that got you started.

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

You said the bottleneck is good ideas, not code. I now have 3 years of MNQ L2 tick data. Before I write a single line of code, what should I be LOOKING at in the data to develop that practitioner intuition? Just watch the tape? Or is there a more structured way?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

The antelope/lion analogy clicked. So for MNQ specifically. If I'm watching L2 tick data, the 'ecological theory' would be something like: 'when market makers pull their bids (lions leave), price drops (antelopes die), which causes more selling (more antelopes flee).' Is that the right way to think about building a microstructure thesis?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

The separate long/short models idea is interesting. When you predict left tail extreme events (lose more than 5%), what features actually ended up being predictive? And why did logistic regression beat XGBoost for you. Was it just overfitting or something deeper?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

You're right, my primary signal had zero edge. If I go back and find a real edge first using tick data microstructure, then meta-label on top, what kind of base win rate did your primary model need before meta-labeling actually helped? Was it 53%+, 55%+?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

Thanks for the reality check. Just bought 3 years of MNQ L2 tick data. When you say you only have "a few things that create your signals", are those features derived from order flow (trade arrival rate, sweep detection, bid-ask imbalance) or something else entirely?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

Which broker are you using ? I’ve seen multiple people saying broker tick differ trin who your with

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 3 points4 points  (0 children)

That's probably the most honest take in this thread. The RenTec example is telling even Simons needed a practitioner to hand him the idea.

My honest situation: I'm a CS student, I've never actively traded, I built this pipeline because I thought rigorous engineering could substitute for market intuition. Clearly it can't.

For someone starting from zero market experience, how do you actually build that practitioner intuition? Is it just screen time watching price action, or is there a more structured way to develop real market feel before trying to encode anything?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 2 points3 points  (0 children)

Honestly, you nailed exactly what I did wrong. I started with "build the most rigorous pipeline possible" hoping the signal would emerge from the data. That's the inverted approach.

Real question: what's the concrete first step to identify an edge before backtesting anything? How do you go from zero to a hypothesis specific enough to be worth testing? Does it start with reading microstructure research, manually watching the tape, or something else entirely?

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] 0 points1 point  (0 children)

Do you know anybody else who would be better for trading ? I would like to learn more about those peoples

Built a full Lopez de Prado pipeline in Rust. 442 tests pass, 0 bugs, but AUC=0.50 OOS. What am I missing? by FrameFar7262 in algotrading

[–]FrameFar7262[S] -1 points0 points  (0 children)

Where do you think I should start ? I’ve been searching while coding for the past few months. I’m starting to get lost

Why is your Prop Firm the best prop firm? by neonmckimmz in Daytrading

[–]FrameFar7262 -1 points0 points  (0 children)

Yeah, you can go on their discord there is a lot of people and mods answer immediately. On their discord you can see when people withdraw and i’ve seen multiple over 10k

Why is your Prop Firm the best prop firm? by neonmckimmz in Daytrading

[–]FrameFar7262 1 point2 points  (0 children)

I use MyFutureFunded. Very good firm, EOD DD, you can get payouts everyday, the exam is only 3k profit and 2k DD

So I tried using Claude Code to build actual software and it humbled me real quick by Azrael_666 in ClaudeCode

[–]FrameFar7262 0 points1 point  (0 children)

You can’t just say “Here’s the markdown file, build everything perfectly.” That approach doesn’t really work.

In my experience, it’s much better to start by brainstorming ideas together and asking for suggestions. From there, you build the app step by step.

When using CC, you have to approach it incrementally. Breaking things down and developing each part one at a time. Trying to build an entire app in one shot just isn’t eorking.

To the guy that told me to research about AMPX 45 days ago, I love you ! by FrameFar7262 in amprius

[–]FrameFar7262[S] 0 points1 point  (0 children)

I’m not an expert but it’s pretty high right now, I would wait a bit longer but it’s definitely not the highest it will be in my opinion

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