Algo & Quant traders

[globalarbtrader]

Good Morning globalarbtrader,

Proper debate is good for the soul.

Good work buddy.

Good to see a Quant trader making money for the month. I never seen or heard of such traders.

I have absolutely ZERO understanding of statistical significance of trading profitability and I do NOT want to ever in my life understand what that means. Sounds like TOO much work and comprehension. Easier to just stare at the chart and guess and click buy and sell button.

Lets get rich!!

Trading is weird. Is there any other field of human endeavour where uneducated amateurs consider themselves superior to professionals? Except maybe politics. Amateur gamblers in other fields like poker, might think they are better than they really are if they happen to have been lucky, but do they all seriously think they could consistently beat Phil Ivey?

Imagine if there were people who played golf, but instead of using a club they used a tennis racket. They have (obviously!) never received any coaching or seen people playing golf professionally. Then they went on the internet saying:

I just did a par five birdie! It was the first and only hole I have played.

Show me a guy who uses a golf club who can do this. THERE IS NONE.

I'm the one who is swinging my racket. I'm the one in the 19th hole bar with the keys to my 2008 Lambo. As far as I'm concerned until I start seeing some tennis rackets you guys are just a bunch of blah blah losing golfers because if you can't use a racket you can't play golf whether 'club' or not.

Good work buddy.

Good to see a club using golfer hitting under par. I never seen or heard of such golfers.

Sounds like TOO much work and effort. Easier to just stare at the hole and use your racket.



GAT

 

[wxytrader]

Sure

My full list of positions is published daily here: https://github.com/robcarver17/reports/blob/master/Risk_report

My full list of 'projections' is here https://github.com/robcarver17/reports/blob/master/Strategy_report
Scroll down to 'subystem position', the figure 'combined forecast' is between -20 (strong bearish signal) and +20 (strong bullish).

I can't 'read' a chart - I use automated trading rules that take price history as an input - but I have made money. You know that around 95% of the professional funds and traders on this planet don't 'read' charts, right? They eithier use systematic strategies based around price, or price + fundamentals, or they use discretionary strategies based around fundamentals (fundies or macro). The number of discretionary technical professional traders is tiny. So on the other hand we have the vast majority of the professional trading industry, including several multi billionaires, and one the other hand we have you with your one month track record.

GAT

Cool...but where are the projections? These are basically indicator based trading rules...you are essentially playing a numbers game, but are not being capital efficient because you are being reactive not proactive.

Hey it looks like you too consider your risk exposure to be 1SD for the time you are holding the position versus the total capital in the trade...

 

[wxytrader]

Trading is weird. Is there any other field of human endeavour where uneducated amateurs consider themselves superior to professionals?

But only in trading can an amateur actually outperform the professionals.

 

[globalarbtrader]

Cool...but where are the projections? These are basically indicator based trading rules...you are essentially playing a numbers game, but are not being capital efficient because you are being reactive not proactive.

I've 100% no idea what you are talking about there. But let me try.

Of course it's a numbers game; you can't trade systematically unless you quantify everything into numbers. Last time I checked, prices were numbers. If you mean by numbers game that I trade a lot of things, yes I do, because if this thing you may have heard of called diversification which is why pros don't just trade NQ. I have no idea what you mean by 'indicator'.

They are 'reactive' in the sense they use strategies based on the history of price movements. That's exactly what you do if you look at a chart. It's the same data, just used differently.

Not sure why that isn't capital efficient. What is your definition of capital efficiency?

Hey it looks like you too consider your risk exposure to be 1SD for the time you are holding the position versus the total capital in the trade...

No, that statement makes no sense. I don't think you understand the figures, but I'm happy to explain them if you are interested.

GAT

 

[globalarbtrader]

But only in trading can an amateur actually outperform the professionals.

No. This can happen anywhere where there is luck as well as skill. Over a single month, outcomes are almost entirely driven by luck.

What is the advantage that amateurs have over professionals?

GAT

 

[wxytrader]

Not sure why that isn't capital efficient. What is your definition of capital efficiency?



No, that statement makes no sense. I don't think you understand the figures, but I'm happy to explain them if you are interested.

GAT

Basically the sharpe ratio, which I discovered before realizing it was already discovered.
Hey do I get a nobel prize too???

Anyway I would calculate risk based on a 1SD move for the duration of the trade...and some other trend related adjustments...I call it the sharper ratio.

 

[wxytrader]

No. This can happen anywhere where there is luck as well as skill. Over a single month, outcomes are almost entirely driven by luck.

What is the advantage that amateurs have over professionals?

GAT

Well, the difference with trading is amateurs are competing against the professionals from the get go, so there is a much quicker learning curve. I mean you are a professional, but I'm confident I can project future price with much greater accuracy than you. I'm also fairly confident I have a higher pnl than you on a per trade basis as I am usually aiming for 10x on any give trade. However none of that makes me the better trader as it all comes down to the relationship between pnl and overall capital expenditure.

BUT the most important aspect of trading is recognizing and seizing opportunities.

 

[globalarbtrader]

Well, the difference with trading is amateurs are competing against the professionals from the get go, so you there is a much quicker learning curve. I mean you are a professional, but I already know I can project future price with much greater accuracy than you. That doesn't mean I am a better trader...it all comes down to pnl. I'm also fairly confident I have a higher pnl than you on a per trade basis as I am usually aiming for 10x on any give trade.

Just competing against someone better doesn't automatically make you better. It might plausibly help in something like chess, but not in trading.

And by the same logic professional traders who are also competing with professionals should have equally quick learning curves, plus greater resources, information and skill; so that still that doesn't explain the advantage that you think amateurs have over professionals.

"I mean you are a professional,"
Let's say ex-pro, but I trade like a pro not an amateur so accurate.

"but I already know I can project future price with much greater accuracy than you. "
How? Based on what evidence? How many years have you been trading? What is your average risk adjusted return?

"That doesn't mean I am a better trader...it all comes down to pnl."
Well no, it would make you a better trader. Pnl is just down to luck, especially over short periods.

"I have a higher pnl than you on a per trade basis as I am usually aiming for 10x on any give trade."

Meaningless. Translated into golf terms: "I have a better score than you as I am usually aiming to score a hole in one on every hole". Someone who only bought massively OTM options would be aiming for a 100x on any given trade, would probably end up losing money, definitely as a -ve expected value, so on what basis would they be a better trader than you or I?

Bearing in mind that over 80% of amateur traders lose money, it's much more likely you are lucky than better than a professional unless you have a significant track record that proves otherwise. There are people on ET who I think fall into this category, but based on the evidence I don't think you do.


GAT

 

[wxytrader]

Just competing against someone better doesn't automatically make you better. It might plausibly help in something like chess, but not in trading.

And by the same logic professional traders who are also competing with professionals should have equally quick learning curves, plus greater resources, information and skill; so that still that doesn't explain the advantage that you think amateurs have over professionals.

"I mean you are a professional,"
Let's say ex-pro, but I trade like a pro not an amateur so accurate.

"but I already know I can project future price with much greater accuracy than you. "
How? Based on what evidence? How many years have you been trading? What is your average risk adjusted return?

"That doesn't mean I am a better trader...it all comes down to pnl."
Well no, it would make you a better trader. Pnl is just down to luck, especially over short periods.

"I have a higher pnl than you on a per trade basis as I am usually aiming for 10x on any give trade."

Meaningless. Translated into golf terms: "I have a better score than you as I am usually aiming to score a hole in one on every hole". Someone who only bought massively OTM options would be aiming for a 100x on any given trade, would probably end up losing money, definitely as a -ve expected value, so on what basis would they be a better trader than you or I?

Bearing in mind that over 80% of amateur traders lose money, it's much more likely you are lucky than better than a professional unless you have a significant track record that proves otherwise. There are people on ET who I think fall into this category, but based on the evidence I don't think you do.


GAT

It's like they say in baseball..."if you can hit they'll find you a position."

 

[taowave]

Happy to see I am not the only one sucked into these inane conversations..