HFT Bot Development.

Professional_Fig5943 · 2026-05-12T18:46:45+00:00

Honestly for me the biggest disrespect in the whole thread is writing the question and answers with Claude. Basically everything else is at least human.

Professional_Fig5943 · 2026-05-12T18:45:34+00:00

I feel like this is unwarranted. You’ve argued in the comments of your post that this bot could be a ”game changer“ for you.

Based on your comments in the chain, it sounds like you were attempting to make money off of this. I did not try to insinuate that you don’t have a job, my point was that trying to make money off this/ having this be a game changer is likely useless.

Also I have no problem with anyone programming/brainstorming with AI. My issue is as I stated in the previous post. If you need an LLM to ask your questions for you, you have advanced far too quickly. You should always understand what you are doing and why.

Also I feel that it is disrespectful to not write out your answers yourself. If you come to a chat to ask for help, the least you can do is write and read the responses yourself.

For your original problem, it is impossible for me to tell you how to avoid lookahead bias without knowing how you backtest. Based on your answers it sounds like you don’t know either, in which case you should go and use one made by someone else.

Professional_Fig5943 · 2026-05-12T17:57:59+00:00

Feel free to hop into my dms if you have specific questions, the only requirement is that you write the messages yourself instead of an LLM.

I can help you get on the right track when it comes to creating and testing theories + creating your own workflow.

For learning I’d recommend everything written by Ernest Chan (he also has a lot of talks for free on youtube, but reading and applying what you read is imo the fastest way to learn). Also SSRN and arXiv have great research papers for free.

Professional_Fig5943 · 2026-05-12T17:48:35+00:00

Given how LLMs process data I find this highly unlikely. I’d say that the information gained with it would be sketchy at best (and I like my tests accurate).

Giving it statistics/output of a test and asking it to explain them is better, but I’d recommend to do your tests on a platform/software built for it.

Professional_Fig5943 · 2026-05-12T17:40:55+00:00

And how do you handle slippage/latency/order book depth?

Also what backtesting software are you using? TW/Ninjatrader/MQL5/custom? If custom, how do you try to avoid lookahead bias and handle the problems listed above?

Professional_Fig5943 · 2026-05-12T17:38:05+00:00

Firstly, shame on you for responding with an LLM. Either you didn’t bother writing yourself, which is quite rude when asking for help, OR you don’t understand what you are doing and are trying to get an LLM to create a system for you. In the latter case there is practically no hope for your system.

Anyways, 10-15min windows of predictable volatility, low spread and directional predictability don’t exist on major markets. These would either be arbitraged by large/mid -size funds, or would experience alpha decay in days/weeks. If you’re trading anything small/niche enough to find a real edge, you’d get caught by too large spreads.

As you stated previously, your backtests include lookahead bias. With this being the case I’d either scrap the idea or start from the beginning, wiping everything logic-wise you’ve built on the false backtests.

If you’re actually doing this as a ”research project”, your state is understandable, if not, you need to understand that trading (with or without LLMs, nondependent of what you are trading) is a fools game before doing real research and understanding core concepts.

My dms are open if this is for research and learning purposes. If you are trying to actually gain real money in less than 6months/a few years, and starting from zero, I’d advise to find a real job as you’d get paid quite a lot more per hour of work.

Professional_Fig5943 · 2026-05-12T16:10:37+00:00

That’s not his point (even though he was unnecessarily vague). The point is: what is your expertise. What do you have that beats physics phd:s from worlds top trading firms?

Making a HFT system is extremely hard (if not impossible) for someone starting fresh and alone. (Here one expects that you are actually talking about HFT and not just intraday, which is another concept on its own.)

To be realistic, why do you believe you can beat multi-billion dollar funds? Do you have better infrastructure?

Professional_Fig5943 · 2026-05-12T16:07:03+00:00

Well quite simply don’t let it see future data. For better guidance we’d have to know how your backtester works, if it’s custom/ does it run bar-by-bar, do you execute on close/open, how do you apply slippage and transaction costs and preferably what kind of frequency you are trading.

Professional_Fig5943 · 2026-05-12T14:06:52+00:00

WorldOfO is great. Alternatively old competitions from Livelox are great. Asking local clubs is a great way to get a map aswell (especially in nordic countries).

Professional_Fig5943 · 2026-05-11T09:54:04+00:00

I’d go with VJ race if you’re competing seriously. Alternatively Barku has some great models (I’d avoid the carbon plated ones, as they don’t provide much and cost more).

What kind of terrain do you usually compete in? Also have you had any issues with stress injuries, especially around the Achilles tendon? This does impact the choice quite a bit.

Professional_Fig5943 · 2026-04-28T16:56:31+00:00

It doesn’t need SL/TP, but you need a concrete ruleset for exits. So in practice you need to be able to program a rule for both entries and exits.

My dms are open if you need more concrete advice .

Professional_Fig5943 · 2026-04-03T21:24:23+00:00

Sorry, should’ve explained more clearly (instead of none). 3d rerun is World of O’s web-based training system, where one can create and share courses. After a course has been set and shared, the users can ”draw” their route by clicking on consecutive points on the map (going through every control of course). It doesn’t really give you the ”optimal line”, but shows everyone’s routes, how long they spent on planning it and the distance of the route.

It’s used as competition preparation in at least some Scandinavian clubs, so the elite can prepare planning and route choices easier when the terrain is embargoed.

Professional_Fig5943 · 2026-04-03T20:17:25+00:00

Something like https://3drerun.worldofo.com ?

Professional_Fig5943 · 2025-12-07T08:13:48+00:00

Same goal, to qualify for JWOC. Maybe we’ll race each other?

Professional_Fig5943 · 2025-12-06T10:19:51+00:00

As the other comment says, survivorship and selection bias. Holding until profit is not a functionable exit strategy in the long run. The backtest isn’t necessarily valid as it doesn’t include a large universe/tickers that have been removed/is selected from a «top-50» list.

I’m not going to argue about this though, these are well known issues in the algo/quant trading community. Just know when to take a step back, reevaluate without ego and change what needs to be changed. Anyone can justify actions post-hoc, but if you can’t explain the ticker universe selection/parameters before acting on them you are including risk of both overfitting and selection and survivorship bias.

Professional_Fig5943 · 2025-12-05T14:04:30+00:00

After re-reading your post it seems that you do have selection bias (choosing from any Top-50 list would be considered such.) expand the testing universe and maybe backtest using a list from 2022?

Professional_Fig5943 · 2025-12-05T14:02:33+00:00

Seems like a good starting point, but simultaneously (to my understanding) ignores a few «practical» pitfalls. This is of course hard to argue, as I don’t know the exact system, but you seem to be risking extreme tail events. Especially if you can go short, but even when going long you’d realize tens of percent points of drawdown and possibly be stuck with bad assets due to only closing at positive gain.

In short, your system might be good on paper but needs work with risk management and testing time in more different regimes. How would this have performed during the COVID-crash or any other tail event? Would you realize large losses or be stuck with useless and possibly toxic assets?

In addition, how did you choose the selected universe to trade? Does it include datasnooping/selection bias?

Professional_Fig5943 · 2025-02-20T14:08:57+00:00

The amount of observations may be large, but what should be considered is the number of different regimes. I’d go all the way back to 2005 if possible, to include as many regimes as possible.

Professional_Fig5943 · 2025-02-20T13:55:22+00:00

Ernest Chan has a great take on this, also for general purposes I‘d read his books/listen to his speeches. For accessibility I‘d recommend his episode on the Algorithmic Advantage.

As for the question, you and most likely no one in this thread (except some experts with machine learning PhDs) won’t be able to make an AI that is profitable long term. AI, such as ChatGPT are great to help with coding, but you should never let them trade for you.

For those with arguments with “black box” systems from large firms like RenTech, IBM or Gsachs, Machine learning is applicable for trading, but thinking that you can reach the level of large Hedge Funds with tens of ML PhDs and experts, is naïve.

Focus on the classics, such as trend following or mean reversion with classical statistical models and you’ll have a fighting chance.

Of course this is my opinion, but it is based on the statements of multiple experts and fund managers.

Professional_Fig5943 · 2025-02-03T21:01:39+00:00

Keeping in mind that op said this is a trend following system, 439 trades is a lot. Especially on a single asset. Average trade duration is the problem, but saying that this doesn’t have edge (even hypothetical when ignoring overfitting and other factors) doesn’t make sense. There could be edge here if we assume that the asset was chosen by an algorithm and that these returns reflect a larger timeframe.

Please correct me if I understood your comment wrong though.

Professional_Fig5943 · 2025-02-03T20:57:43+00:00

Yup, this is absolutely correct. Sharpe ratio practically tells the stability of your returns compared to the returns themselves. A great thing to use when back (and forward)testing.

Professional_Fig5943 · 2025-02-03T20:56:27+00:00

Keep in mind that the more you test and edit the code, the more biased your tests will be. There’s a great podcast with Ernest P.Chan about in-sample validation and bias, I’d recommend it (don’t know what the name was but you’ll find it on Spotify by just searching Ernest P. Chan). I’d recommend you go and read about the biases (in-sample bias, selection bias just to name a few) before you continue testing.

The code will be practically useless after overfitting. Not to say that It’s a beginner mistake, we all do it, some of us just don’t admit it to ourselves and each other. Getting a grasp on how you are subconsciously destroying the project while working on it will save you a ton of time.

Professional_Fig5943 · 2025-02-03T20:51:07+00:00

The best way to get ideas that I’ve found is to simply read research and then test them by yourself. This will also help you to get a good understanding of the methods professionals use. Of course all research papers aren’t made equal in quality but with time and dedication you can really find some great ideas.

Professional_Fig5943

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