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0 points_benj1y ago0 comments

I mean... algo trading is a huge field. The thing with algo trading is that software people think is as a programming problem. I thought that too... is not at all! I think that one needs to learn to trade in order to then be able to observe the markets with some understanding and then start seeing patterns and behaviors and forming ideas.

I also started with the idea of doing algo trading, my tests results looked amazing! then I learned about slippage, commission, over fitting my stuff to my test data... trading is not a computer problem, is a market problem and once one understands those building an algo makes more sense. I use some tools I coded myself but I still have no idea how to quantify what I see on a chart, why one "signal" I'm fine trading, and another is a no inspite of being the same signal (think stuff like SMA crossing)

Good luck!

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riku_iki1y ago

> about slippage, commission, over fitting my stuff to my test data

this all kinda solvable, you add slippage, commissions to the profit calculations, and use separate eval data split(or 1, 2, 3, 4) to check how model is overfitting?

_benjOP1y ago

Yes, all of it is solvable. I think my point is that is my impression (at least from the algo trading subreddit) that many approach it as a computer problem, which it is if one is doing what Jane Street is doing and has that kind of execution in the ns scale… but for retail traders I think one needs to learn what trading actually is, what market inefficiencies are there, usual behaviors of markets, money managements, psychology of trading, etc. in order to do algo trading well.

Props to whoever can work that out by themselves.

There’s a guy that supposedly has a couple of live trading bots trading live money on YouTube. I’ve watched his stuff and don’t really have reason to not believe him since I can look at the charts myself and see that they are indeed live. His tutorial of mql5 is also very interesting. Algo bot programming is kind of just event programming. When a bar closes or on a tick… buy? sell? do thing? That’s all it is! The trick is in when to buy/sell/do nothing.

https://www.youtube.com/live/QfDysU5eyM4?si=mvjN8dj6IHMlODR6

riku_iki1y ago

My hope is that I have good enough skills to build machine/deep learning model which will be able to recognize patterns base on historical data.

I am more wondering how big is opportunity for solo trader and if I should try to do this or work on some other ideas.

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0 points_benj1y ago0 comments

Good luck!

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riku_iki1y ago

> about slippage, commission, over fitting my stuff to my test data

this all kinda solvable, you add slippage, commissions to the profit calculations, and use separate eval data split(or 1, 2, 3, 4) to check how model is overfitting?

_benjOP1y ago

Props to whoever can work that out by themselves.

https://www.youtube.com/live/QfDysU5eyM4?si=mvjN8dj6IHMlODR6

riku_iki1y ago

My hope is that I have good enough skills to build machine/deep learning model which will be able to recognize patterns base on historical data.

I am more wondering how big is opportunity for solo trader and if I should try to do this or work on some other ideas.

1 more reply

j / k navigate · click thread line to collapse