Nooby McNoob becomes a quant

Hey thanks for following up!

I got something: I've built a system based on backtrader that lets me test ideas much quicker than anything else I've found. I also developed a data cleaning and standardizing process on top of BT. Basically, I can say "take these data feeds, this set of algos/indicators and give me a set of stats on the backtest."

I just transferred 50k to a IB account so I'm going to pull the trigger on the live trading soon. I didn't want to keep posting until I reached a milestone because I thought it would be too noisy (and depressing). Edit: trigger on live trading after paper trading on IB.

The only thing I've learned in my back-testing so far is that it's a pain...

Looking forward to live trading soon :)

And just FYI, this is how I operate: mull mull mull, execute. Took a date shopping some time back and she lost her mind. She also agreed to help me buy a couch. She has no idea what she's in for.
 
Sounds pretty solid. A realistic backtesting/execution engine is hard to integrate with multivariate analysis tools (like R for example). Keep going. I think you're on the right track.
 
PistolPete said:
As much as quick fills at accurate prices matter , bad fills should be balanced out by better fills over time and as such results long term should balance out pretty well . Just saying , everyone remembers the shit fills & moans but no-one remembers the better fills on slow execution which do happen , the next tick has 2 choices
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This is only true if you're not systematically mispriced relative to the market. If you're not making a market around fair value then you can expect to have bad fills consistently.
 
quant1 said:
This is only true if you're not systematically mispriced relative to the market. If you're not making a market around fair value then you can expect to have bad fills consistently.
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Only a quant would say it JUST like that.
 
nooby_mcnoob said:
Hey thanks for following up!

I got something: I've built a system based on backtrader that lets me test ideas much quicker than anything else I've found. I also developed a data cleaning and standardizing process on top of BT. Basically, I can say "take these data feeds, this set of algos/indicators and give me a set of stats on the backtest."

I just transferred 50k to a IB account so I'm going to pull the trigger on the live trading soon. I didn't want to keep posting until I reached a milestone because I thought it would be too noisy (and depressing). Edit: trigger on live trading after paper trading on IB.

The only thing I've learned in my back-testing so far is that it's a pain...

Looking forward to live trading soon :)

And just FYI, this is how I operate: mull mull mull, execute. Took a date shopping some time back and she lost her mind. She also agreed to help me buy a couch. She has no idea what she's in for.
More...

Sounds very exciting indeed, I am only starting that journey. Clearly not the "make some money fast" deal!
Just out of curiosity (and keep me motivated!) - so 50k back in January, what are we talking about now?
I am in genuine fear of this "90% of traders, lose 90% of their money on 90 days" .
 
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quant1 said:
This is only true if you're not systematically mispriced relative to the market. If you're not making a market around fair value then you can expect to have bad fills consistently.
More...
I’d imagine level of negative selection in your fills will be inversely proportional to the ratio of your target timeframes to that of the faster players and directly proportional to your volume participation.
 
sle said:
I’d imagine level of negative selection in your fills will be inversely proportional to the ratio of your target timeframes to that of the faster players and directly proportional to your volume participation.
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This is total Dilbert jargonation. I like it!
 
Sdoofy said:
Sounds very exciting indeed, I am only starting that journey. Clearly not the "make some money fast" deal!
Just out of curiosity (and keep me motivated!) - so 50k back in January, what are we talking about now?
I am in genuine fear of this "90% of traders, lose 90% of their money on 90 days" .
More...

My account has gained a minuscule amount, but I am in the process of resetting. Let me see if I can summarize my time since the initial post:

- Developed fancy ass technical system for doing stuff
- Realized I don't want to use the fancy ass technical system for doing stuff because it's not built around a real workflow, just something that I think should make sense: "I have an idea, let me see if it works"
- Believing now that I won't be able to find an edge using quantitative analysis as I do not have the experience or mentorship to make it happen (nor probably the right data).

Even though I have experience writing software to price derivative contracts, even though I have experience being on the technical side of the trading department at a hedge fund, I still feel like I'm starting from scratch. I think the lack of mentorship or someone to talk to about this stuff or even someone to just get me to help them with automating their trading while teaching me what they know is a serious hamper on my progress. While I think boards like ET and podcasts are a good approximation, I have had excellent mutually beneficial technical mentorship before and I can only imagine what the equivalent trading mentorship would be like.

I didn't count this as an end to my journey at all, it just needed to happen. So here is what I'm working on right now (thinking more like a trader than a techie):

- I've picked one FX pair to look at and watch the chart
- I have one single setup I look for (yes, just one)
- I am developing enter and exit conditions
- I am training myself to ignore things that "look good"
- I will do this until I get 25 or so trades
- Review success/profit
- If successful, automate
- If failure, figure out why

I hope to have results in a month. I have about one more week of figuring out my enter and exit conditions and then I will start the experiment.

Thank you for following this thread my friends, I hope that I do not let you down :)
 
By the way, the patience required for this setup is insane but it feels amazing knowing I can control myself to avoid anything but my setup. I'm working to see if I can create a screener.

Edit: Another thing I should mention is that I'm starting to see myself outside myself. I am "observing" myself. It's an odd feeling. It allows me to control myself better. Often, I do lose control of course, but... When I have it, it's incredible.
 
To give more information about my setup: I'm still working out what the probabilities involved are, but I think this is key. I believe the probability of my setup executing is around 70% in uptrending/downtrending/channel markets. The correct stop loss criterion is still eluding me. I can eyeball it and so far it is correct (meaning that the market does indeed go against me significantly after the stop loss is executed), but I can't create a rule for it yet.

I'll write down my rules before I start the experiment and will check every hour or so to see if my setup has developed. Then I will mechanically go through the rules while executing the trade.

The hope is that after 25 or so trades, I will have enough information to know where I'm screwing up.
 
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