Adventures in Algorithms

Raphael · Feb 3, 2016

It's been a while. Thought I'd post a quick update. I've increased my account to $40k and scaled the positions accordingly. Current account value is $41.53k.

Sharpe ratio since I started trading is 1.12.

Current positions:

Code:

AUD       2016-03  -1
EDOLLAR   2017-12   2
TU        2016-01   1
NK225M    2016-03   0
ZC        2016-03  -2

StatGuy · Feb 3, 2016

Nice. I think you have demonstrated that this is possible. I am wondering, how complicated are your strategies? Are they more complex algorithms or using stuff out of the box in say scikit-learn? Right now I am trying out Clojure with Incanter for exploratory data analysis but haven't really decided yet if I would want to use python for everything or JVM.

Raphael · Feb 3, 2016

StatGuy said:
Nice. I think you have demonstrated that this is possible. I am wondering, how complicated are your strategies? Are they more complex algorithms or using stuff out of the box in say scikit-learn? Right now I am trying out Clojure with Incanter for exploratory data analysis but haven't really decided yet if I would want to use python for everything or JVM.

It's very simple stuff. Usually just a few lines of numpy. The most complex parts are pulling price data from quandl automatically and stitching the futures.

globalarbtrader · Feb 4, 2016

I've only just found this thread. I'll be watching with interest. Good luck.

GAT

botpro · Feb 4, 2016

Increasing the account does not necessarily mean made profits. Which is it?

Raphael · Feb 4, 2016

botpro said:
Increasing the account does not necessarily mean made profits. Which is it?

That's why I provided the Sharpe ratio. It's a better metric since the capital base changed over time.

The total money placed in the account is $40k. Total balance is now $41.82k. So profit is currently $1.82k.

botpro · Feb 4, 2016

Raphael said:
That's why I provided the Sharpe ratio. It's a better metric since the capital base changed over time.

The total money placed in the account is $40k. Total balance is now $41.82k. So profit is currently $1.82k.

I guess I'm not the only one here who is very curious about what happened to your first attempt where you started with $20k?

Raphael · Feb 4, 2016

botpro said:
I guess I'm not the only one here who is very curious about what happened to your first attempt where you started with $20k?

As I mentioned earlier it went well. So I scaled up from $20k to $40k. That is, I deposited an additional $20k. So profit is now $1.82k.

botpro · Feb 4, 2016

Raphael said:
As I mentioned earlier it went well. So I scaled up from $20k to $40k. That is, I deposited an additional $20k. So profit is now $1.82k.

There is a gap between Dec-1 till yesterday, so there was either no information posted or maybe a page has got lost?

Raphael · Feb 4, 2016

globalarbtrader said:
I've only just found this thread. I'll be watching with interest. Good luck.

GAT

Thanks! I was just listening to your interview on Trend Following Radio this evening. Really interesting as always.

I've been meaning to get around to diversifying the portfolio more now that the account is a little larger. Although it's nice having a bit more granularity in the trades with the current setup. Do you have any thoughts on what's more preferable, a more diversified portfolio or finer granularity for positions?