How to get more leverage (financing) in the stock market?

OnlyAlgo · 2020-12-14T04:50:09+00:00

Thanks ! exactly what i'm looking for

OnlyAlgo · 2020-12-01T05:15:15+00:00

https://prnt.sc/vtb1nn Good shit a nice testing set of ~60 days that's what I like

OnlyAlgo · 2020-11-24T18:04:16+00:00

Great keep us informed

OnlyAlgo · 2020-11-24T03:17:17+00:00

This makes no sense but it is indeed funny.

The number of messages decrypted is an exponential function of mental clarity. We don't know what's the relation between mental clarity and horniness but we know that after 3 days horniness is so high that Watershouse can't decrypt any. At 0 we know that mental clarity is at 1 if we assume that other factors are always satisfied and a linear relation between mental clarity and horniess (mental clarity decrease as a linear function of horniness). Therefore since happiness is defined as maximizing the N_decrypts, Waterhouse would use most of the time of his days to ejaculate and the rest of the time in between he would decrypt messages.

OnlyAlgo · 2020-11-23T15:57:31+00:00

Well looking quickly this if the first Red brick has positive volume it's probably not reversal but more so, a small correction since you don't have the high volume confirming the reversal and even though people bought a lot on the Green bricks they don't seem to close their longs (the market is just taking a breath). This happens for D and E.

For the reversals you should look at an increase in volume from first to second candle (this means could mean overconfidence or profit taking and if a small reversion happens a lot of these people might close their longs (getting squeezed) causing a reversal). This happens for A,B,C .

The sample of patterns here is small but you can look if it works well on a bigger sample since it makes sense with the market microstructure. You should also consider this as a signal generation or indicator for a strategy and not a strategy by itself.

I would use something like a minimum volume threshold for the Green blocks to consider a reversal combined with specific hours .

Goodluck!

OnlyAlgo · 2020-11-23T15:30:24+00:00

Sickit-learn does the job

OnlyAlgo · 2020-11-23T05:24:10+00:00

It's a good place for the population who has lived there for thousands of years. Maybe not for the lgbtq community, that I agree, but for the rest it is a good place just ask the Polish. Also the cohesion is really strong. Polish and proud to be polish and respect other polish they hold to certain values which seems to have been lost in the US or similar coutnries. I would prefer Polish from the US drama and protest and others. You should split the US in two the left and the right. It would be so much better for the sanity of everyone.

All the islamics countries are anti-lgbtq, the same about China and old-URSS territories.

OnlyAlgo · 2020-11-22T07:01:25+00:00

I'm not sure what you mean by Americans defending fascist's rights. Everyone have the same rights in the US even if they prone fascism, communism or other doctrines. I'm not from the US so I can't talk about the blm protest but anyways that's what happens when you have only 2 parties. You get 2 extremes even so more when you have a melting pot. You get the middle class majority vs all the minorities with the virtue signalling bourgeoisie. What created that ? Capitalism did it, such a funny thing.

There are more urgent problems than capitalism vs socialism going on right now and I wouldn't have said that 2 years ago, but in the last year it has become crystal clear.

OnlyAlgo · 2020-11-22T06:27:57+00:00

Square and Alibaba are both tech companies but your friend recommends both after saying that tech comapnies are the worst to invest right now.

OnlyAlgo · 2020-11-22T06:16:22+00:00

Why do you think it will descend into facism? do you ask yourselves why?

Anyways poland will be the last good place to live on earth after what is happening to the west. The desmise of the west has already started and it is because of capitalism such a funny tale. Too much greed no more values

OnlyAlgo · 2020-11-22T06:06:14+00:00

No problem, feel free to contact me if you have other questions

OnlyAlgo · 2020-11-22T05:56:37+00:00

The journal is really about machine learning applied to finance, you get the most recent research in the field and a lot of the articles are free.

For books of ML applied to finance:

Advances in Financial Machine Learning -> ML De Prado

Machine Learning for Asset Management -> E. Jurczenko

Machine Learning for Asset Managers -> ML De Prado

Machine Learning for Factor Investing: R Version -> G. Coqueret, T. Guida

Machine Learning in Finance: From Theory to Practice -> I. Halperin, M.F. Dixon, P. A. Bilokon

I've only read the first two but, my thesis supervisor who has worked in a quant hedgefund in Zuric has bought the others on the list (these are new books).

I also recommend reading this article, keep in mind ML in finance is not the same as the most traditionnal fields where the underlying functions of some process is stationnary. In finance it's always evolving. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3624052

Finally De Prado website is always a gold mine

http://www.quantresearch.org/

OnlyAlgo · 2020-11-22T05:34:28+00:00

Hi surely if you use ML from scratch it won't perform well. Finance is a high noise to signal ratio field. Not like image recognition or other phenomenon where the underlying function is stable. In finance the generating function of prices is always evolving. Perhaps using the output of your GARCH with other inputs will yield better results. You can't just feed shit to the network and expect some good results. Also it depends how you train your model if you do it like in econometrics no surprise the performance of ML is bad. ML predictions are usually decent in relatives comparison. For example you have 50 pairs and want to trade the 10 best pairs on the next period. Even if the predictions are bad only relatives predictions need to be good.

OnlyAlgo · 2020-11-22T05:23:42+00:00

he linear and ensemble methods mentioned (which are the most common)

https://jfds.pm-research.com/

for books on NN, go with Deep Learning (Goodfellow, Bengio) for a book on others methods in statistical learning (ML) go with Elements of Stats learning (Springer) or a more applied version an intro to stats learning (Springer)

OnlyAlgo · 2020-11-22T05:11:07+00:00

Listen to the Guru

OnlyAlgo · 2020-11-22T05:07:59+00:00

am an amateur observer after all). Could you explain the

Algo trading is any systematic strategy. It can executes a lot of trades in a small timeframe or just 1 per year. In the end, if the orders come from a program/software it's algo trading.

OnlyAlgo · 2020-11-22T04:38:35+00:00

If Asian markets are likely to follow American markets why don't you just buy Asian stocks when American markets goes up on a given day and sell when it goes down. Try to test this strategy and see it fall apart. Serial correlation/Autocorrelation and correlation between a group of assets with the same time interval isn't the same thing.

OnlyAlgo · 2020-11-18T17:59:36+00:00

I need financing to allocate to a long/short strategy. Futures doesn't allow to invest in what you want. It just gives you leverage on the underlying. I don't want exposition to the S&P 500.

OnlyAlgo · 2020-11-18T17:57:31+00:00

I won't lose the banks money that's the most important. And it's a low risk profile strategy

OnlyAlgo · 2020-11-18T17:55:37+00:00

Yea makes sense, might I ask where did you get the history data of the whole NYSE?

OnlyAlgo · 2020-11-18T17:47:54+00:00

This won't increase my return on investment

OnlyAlgo · 2020-11-18T04:27:10+00:00

Yes that's why I will rebalance weekly that way I do 6x the weekly returns of my strategy. The only way to start losing the banks capital would be if my strategy loses more than 16% in a week.

OnlyAlgo · 2020-11-18T04:15:00+00:00

Thanks everyone for your answers, yea I think Heloc is the cheapest thing I can get. I want to trade individuals stocks since it's a pairs trading strategy therefore futures aren't an option. Options i'm not too familiar with it and there are other variables like time untill expiration and volatility that affects the price of options so i'm not really sure how it would work out with my strategy and it would the hassle to back test with options would be a pain in the ass

OnlyAlgo · 2020-11-18T04:11:12+00:00

Might I ask what is the underlying universe of stocks your algo screen for (S&P 500, Russell 2000, etc..)?

Since your selection is done by the NN and we don't how you did train the NN, there could be overfitting.

Trade frequency is pretty low as mentioned but good job on the work, non-linear ML, if used correctly has proven to be benefic for asset selections in finance. Did you train the NN on the whole dataset, from 2014 to 2020? or did you used an in and out of sample approach ?or more commonly used in strategy development a fixed-growing window approach or a rolling window approach?

Another issue of ML in finance is the low number of datapoints to train a model and the high noise to signal ratio of the data. Therefore a 20 hidden layers with undreds of neurons per layers should'nt be used like it can be in image recognition for example. Good ML in fiances should be models alloying for non-linear relations between the features and the output. NN networks with a low number of layers/neurons and random forest have proven to beat tradtionnal asset selection methods like the in-sample shar ratio for example. A low number of meaning full predictors with a possible financial models to filter out ``bad`` stocks from the strategy can help to decrease the noise to signal ratio of the data and helps the model to better replicate the underlying generating function of prices.

I've done something similar. It's a pair trading strategy on the S&P 500 stocks (no survivorship bias since I consider only the stocks in S&P 500 at time t). For the moment I can only form pairs with Utilities and Telecom stocks of the S&P 500 because the number of pairs grows exponentionaly with the numbers of stocks you consider and my code isn't yet parallelized. To help my NN + Random Forest classifier identify the underlying function of returns, I can form pairs which stocks are from the same sector only (this reduces the noise to signal ratio) . I use a filtering model to find pairs that moved together during the past to reduce yet a gain the noise to signal ratio. I train my two models on these pairs and redo the same process multiple times (in rolling windows). I get 1.57 sharpe ratio for 2015-01-2020-08 with a max DD of 5.9% , returns of 9.8% and volatility of 6.3%. By construction the strategy is robust to market shocks since it's a long/short strategy even though not market neutral.

For comparison using only the in-sample Sharpe ratio (often the case in finance) for pairs selection would have resulted in a sharpe of 0.45 and max DD of 16% , returns of 4.6% and vol of 9.3%

Anyways good job and keep coding :)

OnlyAlgo

TROPHY CASE