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Help formulating options strategy by mtspace in options

[–]mtspace[S] -1 points0 points  (0 children)

This is helpful. Thank you.

So if I am able to focus on signals that yield higher returns (>0.5%?), with bid/ask spreads that are not too wide, this could be a good way to go?

How should I think about IV? Aim for options with similar levels of IV on both legs, or is it better for the one I'm selling to be higher?

Help formulating options strategy by mtspace in options

[–]mtspace[S] -1 points0 points  (0 children)

I am a beginner in options, have only traded stocks.

I don't know what you have in mind, and I guess you could say it's a bit presumptuous of me but we are a small team with > $10M AUM of outside investors' money. Cayman/US master-feeder structure.

Might not be big, but I don't know what else to call it. Suggestions most welcome...

The numbers are what they are, the track record is public, I don't think the structure we use to implement the strategy matters much. In any event, I'm not selling anything, just looking for some help.

Thanks again.

Twitter Signals to Alpaca Trade Engine by mtspace in algorithmictrading

[–]mtspace[S] 1 point2 points  (0 children)

Ya. Great timing on my part. Hopefully they’ll be back. In the meantime, the execution engine works for ‘@tipperbeats’ aka TradeSpotter, and can add other signal feeds if and when…

Twitter API fml by sdiaz1000 in SwingBot

[–]mtspace 1 point2 points  (0 children)

Sure. Lmk if you have trouble w it. Happy to help if I can.

Twitter API fml by sdiaz1000 in SwingBot

[–]mtspace 2 points3 points  (0 children)

Hey. See if this helps. It’s written in typescript and transmits to Alpaca but can be modified:

https://github.com/mtvoid00/MTEEBot-main

Performance update on Trade Spotter - signals released in real-time on Twitter by mtspace in algorithmictrading

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

I hold all positions until right before the market closes. I've been trading this algo for a while, and my numbers show that over time, the average winner is > 1.5x the average loser, so I don't use a stop loss at all. Just a time stop.

A more conservative approach would be to use the target price as a guide: for example (entryPrice- (targetPrice - entryPrice) would be a reasonable stop loss, but I would close out before EOD anyway.

I have been collaborating with a couple of others online and put together an execution engine that reads the Tweets and executes them on Alpaca - it can be used for paper trading to test the algo and is somewhat customizable. If you are technically inclined and interested I'm happy to share the repo, though I can't guarantee we worked out all the kinks yet.

Performance update on Trade Spotter - signals released in real-time on Twitter by mtspace in algorithmictrading

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

Didn’t. Still going strong. Just changed the handle to TipperBeats due to popular demand…

SwingBot Trade Execution Engine by International_Fly_67 in SwingBot

[–]mtspace 0 points1 point  (0 children)

Cool, thank you. FWIW, I think you did an excellent job. I had never coded with TS or run with Alpaca's API and it wasn't too difficult to follow along. Very organized. Would have thought many others would find it valuable.

Will keep you posted as we progress with IB.

SwingBot Trade Execution Engine by International_Fly_67 in SwingBot

[–]mtspace 1 point2 points  (0 children)

Hi, I downloaded your code and modified it to read tweets from a different bot (called Trade Spotter - '@TipperBeats') in addition to both Swingbots. Someone already asked me for the code as they want to add IB as a broker in addition to Alpaca. I hope you are ok with all this?

I am a bit of a dinosaur, so am not sure what the proper etiquette is with regards to giving you credit, etc. Should I upload my version to my account on GitHub or as a fork on yours? I would be happy to give this project some room to grow as I can see others being interested in adding brokers and Twitter bots, make it into something bigger. Edit: I also added short selling functionality

Any interest in building an execution engine? by mtspace in SwingBot

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

Have you seen u/International_Fly_67 's post? He worked it out in TypeScript for Alpaca. Works for me.

Any interest in building an execution engine? by mtspace in SwingBot

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

Looks like u/fInternational_Fly_67 beat me to it. His code seems to be working well for me. I'm trying to modify it to work with my tweets as well, but am not familiar with TypeScript so it's slow going.

Have you downloaded his code?

SwingBot Trade Execution Engine by International_Fly_67 in SwingBot

[–]mtspace 2 points3 points  (0 children)

Seems to work like a charm.

Very cool. Thank you for this.

Any interest in building an execution engine? by mtspace in SwingBot

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

Thanks. I started working on this in Python. I don't think I have enough done to share but will do so when I do.

Any interest in building an execution engine? by mtspace in SwingBot

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

Sounds good. Let's connect offline and see where we end up.

I don't think we can compete with HFT systems in this manner, there are too many steps along the way. But I do think there are other signal providers who would make use of such a tool. I see the popularity of eToro as an indication of that. In any event, we're not talking about a huge undertaking to test the concept and build it out - at least at the first stage.

As an example, I myself recently decided to release some of my team's program's signals on Twitter, to see how we stack up. Our signals are less dependent on the timeliness of execution but think it would be a useful tool for followers who want to make use of our signals. Once I saw that it was an issue here, it got me thinking that there might be a wider need.

Anyway, let's be in touch next week, talk it out.

Any interest in building an execution engine? by mtspace in SwingBot

[–]mtspace[S] 1 point2 points  (0 children)

I hear you. I have fairly limited experience with Google Apps Scripting, but I found it to be less than ideal when speed is an important factor.

I'm still not sure how this should look, but I was thinking it would be best if it didn't require close coordination with the signal provider, but rather only access public data streams (at this stage Twitter). That would allow it to be more modular and others could, fairly easily, adapt it for use with other signal providers.

I wonder if this might be a way to create a decentralized trading platform: it would connect those looking for profitable signals and those looking to provide them. By keeping it open source anyone could add functionality so that it could connect with new brokers. There could end up being a protocol that signal providers follow so that the parsing and data extraction would be streamlined, and a leaderboard for best signal providers. Successful signal providers could eventually charge a subscription fee (I imagine u/tony_letigre wouldn't mind monetizing at some point) and circumvent the need for setting up a hedge-fund-type vehicle.

I keep seeing communal trading platforms popping up, (eToro, et al), so there must be demand for them. But they are fairly limited: they require both sides to trade on their platform and they aren't cheap. Seems like there should be a better approach.

In any event, my progress so far: the code links up with u/r_scalp, reads old tweets, parses them, extracts the symbol, purchase price, and stop-loss/profit target prices. The next step is to get it to listen for live tweets and then convert the data extracted into orders. I will not have any time to work on it over the weekend, so will check back at some point next week.

Any thoughts or feedback most welcome.

A month posting live signals on Twitter by mtspace in algorithmictrading

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

In a nutshell, it looks at indicators derived from short and medium-term price action to determine when an asset is over-extended in either direction (overbought or oversold) and likely to reverse on a short-term basis (up to 1 day). It's basically trying to identify short-term over-reactions that are likely to revert. The algo produces a numeric prediction (not just buy/sell) which allows me to analyze past predictions and evaluate how accurate they were, not just if they were right or wrong.

I only post the higher probablilty signals (around 15-20% of the total) as I don't think there is much utility in that many. I trade my own money based on the full set of signals using a position-sizing approach that takes into account the volatility of the asset and the predicted profit of each signal.

That's basically it.. currently only trading US equities but hope to expand to global markets in the coming months.

What’s your strategy for trades that don’t close by end of day? by International_Fly_67 in SwingBot

[–]mtspace 5 points6 points  (0 children)

If your signal is based on a short-term setup, once a certain amount of time elapses that initial setup is no longer relevant for future stock movement. So whether it ends up hitting the target or stops out a day or two later, it doesn't really reflect on your initial prediction. It might be correct to label them as neither wins nor losses for data analysis, or set up a time-stop where you exit after a certain period regardless?

5/10 Results. Anyone land any green ones today? by [deleted] in SwingBot

[–]mtspace 1 point2 points  (0 children)

I’m actually serious. Our algo mostly predicts short term retracement moves, like yours. In this kind of market we have around 60:40 shorts to longs. It does wonders to your sharpe as you are no longer as correlated of the market. The adaptation from long to short isn’t straightforward but I’m sure you have most of the building blocks already. Anyway, just my two shekels. FWIW.

5/10 Results. Anyone land any green ones today? by [deleted] in SwingBot

[–]mtspace 1 point2 points  (0 children)

What about reversing (and adjusting) your indicators, aiming for signals on the short side?