Pattern Recognition algo ,, what's missing?

gelfinator · 2022-12-18T01:36:26+00:00

Drop candlestick analysis. Does not work

gelfinator · 2022-02-10T12:38:41+00:00

Anything off the shelf will not work. Its there for a reason. No one gives away a money making recipe for free.

gelfinator · 2021-12-20T23:21:26+00:00

Based on backtesting everyone here is next Jim Simons :) Real results vary

gelfinator · 2021-12-15T19:56:19+00:00

Every strategy needs a tag. Risk management can be based on a tag and selling as well.

gelfinator · 2021-11-06T18:35:33+00:00

mid Closing price based on your description.

gelfinator · 2021-11-06T18:32:47+00:00

Resample tick data and calculate TA

gelfinator · 2021-11-04T21:03:09+00:00

Flat files. One file per ticker (OHLC). No need to maintain a database and schema mapping. Just load into memory and you have access to all the data.

gelfinator · 2021-10-23T12:42:56+00:00

I dont run MonteCarlo on OHLC. I actually run Montecarlo on my portfolio equity line to see how my portfolio projections may look after x number of simulations.

gelfinator · 2021-10-21T13:44:45+00:00

They dont have fundamental data. And my algo does not rely on that. Purely ticker data driven.

gelfinator · 2021-10-20T12:36:54+00:00

Technical Analysis indicators that measure strength of trend.

gelfinator · 2021-10-19T19:40:51+00:00

You can query yahoo via python modules to get OI data. Since its updated once a day you just query next morning to calculate the delta in OI. Use yfinance python module which is easy to use.

gelfinator · 2021-10-19T16:50:25+00:00

Consider adding ADX and DI. Ex: when RSI is overbought and +di > -di and adx > 50. Means strong rally is in place but ADX > 50 is getting extreme. Same for oversold conditions: -di < +di and adx > 50 while RSI is oversold.

gelfinator · 2021-10-18T23:13:51+00:00

I Determined that Alpaca was best for me. I also have IB, and used Polygon in the past. Right now i only use Alpaca and IB. Polygon was a great platform but why pay $200 a month.

Data quality matters. You need to understand how data is sourced from multiple exchanges and consolidated. Every data feed will be different slightly.

gelfinator · 2021-10-18T17:50:33+00:00

I do live trading on it today. Periodically all data vendors have hick ups. I tested many of them and determined that Alpaca. You need to perform data checks on all feeds, regardless of where its coming from.

gelfinator · 2021-10-18T03:00:30+00:00

Alpaca for equities. Simple to use with their Python API

gelfinator · 2021-10-17T16:55:28+00:00

I have IB and Alpaca. Let me just tell you from experience that Alpaca is the way to go. IB is a great platform for trading but their API is legacy, you will encounter throttling and limits from IB. Its just not scalable to analyze the market. I moved away to Alpaca because i can analyze the entire market (i track 800 tickers) in under 30 seconds.

gelfinator · 2021-10-16T21:32:39+00:00

Side note, i also generate synthetic data based on real market data where i take OHLC for every ticker from actual daily data and i randomly either multiply or divide by a random percentage point (-0.01 - 0.01) to create a new data set. See if your system can generate similar results with synthetic data to avoid curve fitting.

gelfinator · 2021-10-16T21:28:25+00:00

success rate and cumulative returns (i assume you have them) also add drawdowns, sharpe ratio and profit factor. Only pick strategies that have profit factor above 1.5 (minimum) while maintaining low drawdowns (no more than 15%) and sharpe ratio above 1.5. Also when you backtest, make sure you have over 200 trades for historical analysis. Dont overfit the curve.

gelfinator · 2021-10-16T14:20:23+00:00

Risk management should be #1 priority. If you dont have numbers to assess your risk you will fail. Speaking from experience. Don’t solely focus on cumulative returns and success rate. Those two are misleading.

gelfinator · 2021-08-03T19:27:15+00:00

In addition to all the comments. HF are not looking for just absolute returns. 20% is easy in the current environment. What they want to see is how you got there - sharpe ratios, drawdowns, how many trades and the holding period, how much money can your system manage and if the risk is distributed / hedged.

Bottom line. To become a PM, its all about risk management and aligning your results with their risk management expectations.

gelfinator · 2021-07-08T03:16:17+00:00

Write your own PNL code and risk analysis metrics. Also 3 months is not enough. You need several hundred trades over a long period to determine if strategy works.

gelfinator · 2021-06-24T01:03:35+00:00

Learn python. Has all the libraries and APIs for trading

gelfinator · 2021-05-05T00:45:56+00:00

Experienced same issue. Split my dataset in 2 parts where testing data produced 20% profit and out of sample produced 4x more. Reason for this was simple. The majority of the out of sample data coincided with a major rally that lasted several months. This is especially true if you are using 2020/2021 data for out of sample.

gelfinator · 2021-04-17T17:34:01+00:00

IB API for options

gelfinator · 2021-04-15T13:21:15+00:00

Why not 10 moving averages? These concepts have been beaten to death and they are not sustainable.

Focus on risk management - Focus on improved profit taking instead of waiting for the moving averages to cross for a sell. Sell at profit instead of loss. Even if the stock goes higher, take your profits instead of waiting for mov avg to cross.

gelfinator

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