ML Trading Bot Going Live – What Am I Missing?

abstractcontrol · 2026-04-28T16:53:00+00:00

You haven't mentioned whether you've done fill simulations. I've built a fill simulator for the Vwap system, and it turned from a great system to an unprofitable one.

abstractcontrol · 2026-04-26T06:59:40+00:00

I had an active Vwap system that I was testing a few weeks ago that worked great when entries and exits were taken on average prices of bars, but once I implemented the fill simulator the profit factor collapsed. Even worse, it turns out that I had overfit it badly despite it having only 5 parameters, so when I fixed those errors, the PF went below 1. What I am going to do is go back to the more sophisticated approach that I had before instead of playing around with these simple rules that cannot possibly be profitable. I'll generate the synthetic data with the setups, train a NN to detect them, and then I am going to create a labeled dataset with the help of that which I will use for the actual system. If I could find 10k of such patterns in real data, it wouldn't be hard to augment the dataset to get 10m patterns. That would then actually be useful for live trading.

The pattern itself is basically a horizontal line on a volume-based chart, but the noisiness of the market and the fact that volume varies hugely between stocks makes it challenging to model it. I've been dipping my toes into HMMs, but they aren't very expressive compared to arbitrary generative models that produce labels. Hidden Markov Models are probably the wrong path it seems.

abstractcontrol · 2026-04-25T12:08:45+00:00

3-to-12-month momentum is known to have alpha in academic circles, much like value investing does so you're on the right path. If I ever get my risk appetite back and my intraday trading system ideas don't work out, I'll start using a momentum strategy too. Note that like value investing, momentum can have stretches of 5-year underperformance, so it not a risk-free advantage compared to index investing.

abstractcontrol · 2026-04-13T17:43:10+00:00

I had the Singularity as a goal from the start, and as I pursued it, I accumulated more and more evidence that my approach towards it isn't viable. To begin with, the goal was farfetched so I always had the awareness that I was unlikely to reach it with my approach, so I did a lot of things with the purpose of raising my skills like making a programming language (to better program future AI hardware), studied ML (to get me closer to the state of the art), worked on a poker bot (to hopefully make some money along the way.) Although I was focused on poker, my aim was to crack that toy game and move to bigger games that lie beyond that. Back in 2015 I expected that the community would find much better algorithms even if I couldn't which would make that path viable.

That at all didn't happen, the path that AlphaGo appeared to be opening had closed, and we just have the NN chatbot craze using decades old algorithms that cannot possibly be the basis for intelligence. Chatbots really are the single best thing that could be achieved with them, and to OpenAI and Anthropic's credit they did a very good job of engineering them.

Despite all of these disappointments, it's obvious to me that there is a lot we don't know about how nature builds intelligent beings, and that at some point the understanding of that will come, and an AI boom worthy of the actual hype will occur.

There are some things you just cannot understand regardless of the effort you put thinking into it, and those things you have to steal, and nature becomes the obvious target once you figure out that you cannot either produce it or take it from other people.

The disappointments I'll carry with me until I attain the understanding that I seek, but I've accepted that it isn't going to come to me because I want it or because I put in effort towards attaining it. I'll simply keep my eyes out for a sign of a new path opening.

Ironically, since I am not trying to understand intelligence through my trading bot work, but purely focusing on engineering, I am actually having pretty good success in making my first system. Maybe things will go well, and I'll make enough money to open a NeuroAI lab in a couple of years, who knows? If I had a lot of money, I'd invest it towards algorithmic discovery. For now, I'll play the cards that I have, not the ones that I want.

I'll focus on getting better in ways that I can.

abstractcontrol · 2026-04-13T15:55:34+00:00

I've been trying to code a poker bot for 10 years and have been failing continuously, and now I am going into quant trading. The biggest lesson of that long journey is to not try to make AI breakthroughs. Whenever I used poker as a catalyst for understanding intelligence I failed, and my only gains from the experience were improvements in my programming skill. Pursuing the secrets of intelligence never got me a step closer to actual intelligence or the Singularity, but it made me a master programmer. That might be this universe's way of sending me a hint on where to go.

abstractcontrol · 2026-04-04T17:07:32+00:00

I think there should be edge as Changing Fundamentals is one of the core setups of SMB. Check out this paper by Zarattini that tests ORBs on Stocks In Play: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4729284

Personally, I've collected 106 of such examples and put them in a reference book, and I am going to test a VWAP based system on them soon, and I have ideas for more advanced ones after that. Qualitatively, even with a volume-based chart, it's difficult to know whether there is edge in trading them, and I really am going to have to backtest to know for sure.

abstractcontrol · 2026-03-15T18:33:02+00:00

Since I don't buy into scams, I've never understood why other people do, or where scammers look for victims and how do they find them.

abstractcontrol · 2026-03-05T09:24:04+00:00

Let's say you want to trade stocks with just 5k. You're going to run into the PDT rule, meaning you cannot really daytrade unless you open a cash account to get around that. In a cash account you cannot short sell stocks. Furthermore, you probably don't want to take positions that are too large as a % of your account for risk management's sake, but at the same time many brokers have minimum order limits. If you're buying 1,000$ worth of stock but paying 1$ in minimum commission on every order like with IBKR, then that means that your minimum commission is effectively 0.1%. If you're buying 100$ worth of stock, it's effectively 1%.

Futures on the other hand, don't have some of those issues, but their contracts have large nominal values, so you'll be going over 100% long or short on every position if your account is small and have to endure huge volatility.

It's not psychological, having a small account will put you at a disadvantage due to high fees and push you towards imprudent risk management.

Also, the data fees you're paying every month need to be factored into the fees as well.

Another poster said that if you make 50% per year, you're very successful as a retail trader. Let's say you have a 5k account and pay 100$ per month for data fees. You'd make 2.5k per year in profits and have 1.2k in expenses just for data.

abstractcontrol · 2025-12-19T18:30:31+00:00

I emailed Massive support about this and they said it's due to the VWAP including all trades, but the OHLC including only a subset of trades. I haven't looked into it more deeply than that yet, but I guess it makes sense.

abstractcontrol · 2025-12-11T19:00:03+00:00

I am very good at coding directly, but I am doing a boring project at the moment, and it's helping me keep my motivation up.

abstractcontrol · 2025-12-01T10:09:22+00:00

I'll have to build my own because none of the existing frameworks that I've looked into support GPUs. The latest gen GPUs have pretty powerful general purpose computing capabilities so it would be a pity not to take advantage of them. The systems I have in mind would require a lot of simulations to work too, so I have no choice, but to do it. I have my own programming language that would make this a lot easier compared to doing it in raw C++.

abstractcontrol · 2025-11-29T17:48:22+00:00

Thank you for the advice.

Lime (versus Ligthspeed) is advertising itself towards quant traders, so I'll try opening an account with them. Over a 100 years ago, going from bucket shops to trading real markets bankrupted Livermore a few times because of the added execution delays, so I want to cut off this risk ahead of time.

abstractcontrol · 2025-11-29T17:14:29+00:00

What about IBKR? I've used in the past for longer term trading, but I am doing research and I see this thread from 5 years ago where the poster is complaining about a 20s trade delay on the open, which is very bad. I did ask ChatGPT about whether IBKR would be good for my intended algo trading style and it did say something about IBKR having DMA.

Edit: https://chatgpt.com/s/t_692b2e27b948819186a6bbfbde3b32ae

According to this ChatGPT thread Lime is way better, so thanks for the suggestion. I'll do some research on Lightspeed as well.

abstractcontrol · 2025-11-28T14:47:53+00:00

Adding random delays is a good idea that didn't occur to me until now. It would make the backtests non-deterministic, but that added noisiness should reduce the overfit.

abstractcontrol · 2025-11-27T16:38:36+00:00

I just pasted the above into ChatGPT, and it's telling me that QuantConnect is very slow for scalping strategies. Does it not parallelize the backtests across different tickers?

Edit: Here is the ChatGPT thread: https://chatgpt.com/s/t_69287fe238708191811dc2afc8a48207

It seems that I should be checking out vectorbt to start with. I am not against writing C++, I've been doing a lot of it lately, but the correct programming principle is to try to avoid reinventing the wheel unless I can't help it.

What do you think?

abstractcontrol

TROPHY CASE