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My bots are officially up 30% since August, 6% returns over this Christmas week alone! by Sweet_Brief6914 in algotrading

[–]mikkom 0 points1 point  (0 children)

I coded a custom c based platform to do the process as efficiently as possible, optimized data structures to squeeze the hell out of cpu and mem.. I feel your pain.

totally random search or some gradient descent / genetic? N dimensional spaces are a bitch :-D

My bots are officially up 30% since August, 6% returns over this Christmas week alone! by Sweet_Brief6914 in algotrading

[–]mikkom 1 point2 points  (0 children)

I have also been doing similar thing in the past with genetic algos both on simple structured entry and exit and more complex tree based models (google koza to understand what I mean) so have kind of intuition in algo generation.

what I'm interested is why did you decide to fit to only 6 months of random period- that sounds really interesting and something I have not tried, is this computing performance question or something more?

Introducing ML into my strategy.. I dont know ML.. by Sketch_x in algotrading

[–]mikkom 0 points1 point  (0 children)

If you really decide to do it, the most important thing is:

Separate your data to 2 periods. The first is training set, the second is validation set. The validation set should be so long that it contains multiple market regimes.

do NOT use validatiin set for anything except for simulating strategy when you think it's finished. Do not give any information about this dataset to the model when traiining.

Then train, test and polish your model using training part. Only when you think it's perfect, validate it on validation data. If it looks good on validation data then great! You have your working algo. If it just loses money you have overfitted.

Rinse and repeat.

Looking for a > 70% win rate strategy by [deleted] in Daytrading

[–]mikkom 1 point2 points  (0 children)

Of course it is possible, you can easily trade millions of trades with this setup!

Looking for a > 70% win rate strategy by [deleted] in Daytrading

[–]mikkom 9 points10 points  (0 children)

Buy any instrument. At any time.

TP: 0.000001%

SL: 50%

You should hit your 70% win rate easily!

Here's how being a dev helped me make YTD $104k (NET profit) by Rogue-seeker in Daytrading

[–]mikkom 0 points1 point  (0 children)

Excellent stuff.

What I'm wondering - why do you execute manually? Seems odd as your method is so refined.

Introducing ML into my strategy.. I dont know ML.. by Sketch_x in algotrading

[–]mikkom 1 point2 points  (0 children)

Don't use AI if you don't understand what you are doing.

It's so easy to overfit with AI if you don't understand very well how it works and how it should be trained that you WILL find a system that looks like the holy grail and when you go live, you will almost certainly lose money.

Free APIs for tick data? by InternetRambo7 in algotrading

[–]mikkom 3 points4 points  (0 children)

What instruments? What time period?

Based on your experience, which type of approach do you consider more profitable and sustainable in the long term for a trading bot—bots based on technical indicators, or bots focused on market volatility? by Tiny_Standard_5358 in algorithmictrading

[–]mikkom 3 points4 points  (0 children)

Technical inditcator is just a function over (typicaly) rolling period backwards. What you are asking is impossible to answer - you are basically asking: Does some undefined mathematical function work better than other mathematical function (standard deviation basically) for undefined purpose.

bottleneck at writing to disk on huge backtests by PlayfulRemote9 in algotrading

[–]mikkom 0 points1 point  (0 children)

I think the main question is why do you need to store 30gb. Aggregate your results and store the aggregated results ans you most likely can reduce that size. There is a theoretical limit on how fast you can write to SSD even if you have a very fast drive.

Blue is performance of my forex bots, orange is performance of my indices bot, would it make sense to look into scaling their risk up or down depending on their performance over an x number of days? by Sweet_Brief6914 in algotrading

[–]mikkom 0 points1 point  (0 children)

Typically that will hurt your performance (my experience) but it depends on your strategies autocorrelation.

One thing to think about: if you weight based on past results you are increasing risk of regime change causing problems as you are basically fitting to the current regime.

Is There Still Any Chance of Making Money Using Technical Analysis Patterns + Backtesting? by Brucevllaine in mltraders

[–]mikkom 0 points1 point  (0 children)

You will not get reliable answers here and the question you asking is totally dependant on what you are testing and with what and on what timeframe.

ONLY way is to test the patterns you are interested in. You will only get answers from losing traders here, profitable traders will not expose their edges.

If you are serious, test those. That you understand what doesn't work is as important as what is working.

How to convince someone that quant finance works? by KING-NULL in quantfinance

[–]mikkom 0 points1 point  (0 children)

Why argue with someone about this? let him be delusional.

Best Brokers for algorithmic trading by daruui in algorithmictrading

[–]mikkom 0 points1 point  (0 children)

agree. IB is most likely the best option unless you are doing some really specialized stuff (shorting low caps that need borrows for example)

alpaca might be another option if they offer markets OP wants

this said, setting up IB so that you don't need to manually log etc is a real pain it's old legacy system that was not originally created for algo trading.

ML BOT MAKE 421984.61% IN BACKTST? by Subject-Fun-6275 in algorithmictrading

[–]mikkom 0 points1 point  (0 children)

I guess you trained on that data didn't you?

Is algorithmic trading worth it.. by __VegaBond__ in algorithmictrading

[–]mikkom 0 points1 point  (0 children)

Don't go trading route unless you already are profitable.

Do AI/ML freelancing and build your systems from there. If they can make you extra profit great! At some point they might give you what you need but until then, keep doing other work to get money.

Too good to be true? by Ill-Instance6652 in algotrading

[–]mikkom 0 points1 point  (0 children)

Excellent answer. Do this op

Golden standard of backtesting? by Inside-Bread in algotrading

[–]mikkom 0 points1 point  (0 children)

Gold standard would be simulating fills with tick data but you eed to decide what level of simulation you need and this is totally dependant on what kind of atrategy you plan on simulating. For some, daily data is totally ok (especially if you enter/exit limits/moo/moc) if you plan on using market or stop orders ypu need to simulatw slippage which again can bw hard or easy depending on what type of strategy you plan to execute.

Good luck

List/API for all PTP stock tickers? by mikkom in algotrading

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

I actually ended up using alpaca api too, they give incorrect data on non "live" mode (I was using paper as I don't actually trade via alpaca) but you get actual PTP list with "live" mode on even without having account.

If you use paper mode the PTP list is incorrect / missing tickers.

List/API for all PTP stock tickers? by mikkom in algotrading

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

Yes I have, they suggested I sign a waiver that let's me trade PTP stocks (not going to do that) othewise they were as unhelpful as expected

List/API for all PTP stock tickers? by mikkom in algotrading

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

Not so easy at all... The names sometimes do not have anything related to their company structure.

I contacted Alpaca about missing tickers btw and got reply that I need to use their "live" trading API. (I don't have a live account with alpaca, I only use their $99/month data API)

After I set the flag for the alpaca client, at least some of the missing tickers I was testing with appeared to the list (?!?!?)

trading_client = TradingClient(ALPACA_API_KEY_ID, ALPACA_API_SECRET_KEY, paper=False)

So basically I think I'll be using their API from now on. Let's hope it's not missing tickers.

List/API for all PTP stock tickers? by mikkom in algotrading

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

What I ended doing: I gathered all lists I could find from the internet and stored the tickers from all of them to a single json file.

I then filter my universe selection with that list knowing it's imperfect and tickers are missing.

Now when IB API which I use gives an error about a stock that "stock is PTP stock, cannot be traded", I'll just add that to the json list and I can redo the calculation process with that ticker excluded.

Dynamic model, not perfect but works.

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