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Talking stocks, trading, and investing in general

Discussion in 'Business, Careers & Education' started by mikeman, Feb 2, 2011.

  1. HgaleK

    HgaleK Senior member

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    I don't buy long term, so I'm not that worried about business models. Hell, none of them are sure buys to me at the moment- I'm just looks for a solid breakout on volume for a swing. Right now the SPX is making a bear flag/channel (check the weekly or daily), and it's got me sketched out on going long at the moment. I have no clue whether it will resolve the pattern or not, but I'm looking for confirmation one way or the other before I make something longer than an intraday move.
     
  2. NameBack

    NameBack Senior member

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    I guess high frequency, and yeah it uses different time frames.

    The basic idea is that instead of using one algorithm/strategy, you have a "portfolio" of strategies that vary around certain parameters (maximum length of time the position is maintained, indicators used to make decision, thresholds, etc), and then an overarching heuristic that chooses between the strategies dynamically based on which are winning and which are losing at any given point in time. So I've got currently 288 different strategies that are basically variants of one another, including ones that are essentially complete inversions of one another, and then a rule that picks between them to always pick the one that's winning.

    From 06/05 to 01/10 on the S&P it returns about 250%, but that's because of the '08 crash.
     
    Last edited: Sep 10, 2011
  3. HgaleK

    HgaleK Senior member

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    How much do you know about price action?
     
  4. NameBack

    NameBack Senior member

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    I sort of vaguely know what it is, but that's about it.
     
  5. HgaleK

    HgaleK Senior member

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    You're unlikely to get very far with an algo system as a retial investor. An understanding of the indicators that you're most comfortable with, mixed with an understanding of price action and volume, as well as a lot of actual time trading are more likely to do it for you.

    Edit: essentially, use your algo setup, but have man made support and resistance levels as stops and entries to help with money management. It'll increase the profitability and minimize loss on false signals or lagging signals.
     
    Last edited: Sep 10, 2011
  6. NameBack

    NameBack Senior member

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    So far I haven't found an equity or time-period that this thing loses money. I'm actually looking to refine it further with an eye towards starting an investment business with it, should it reach a certain level of robustness and average yield. It's in a basically proof-of-concept phase right now, but the results are encouraging enough to merit further refinement. I'm starting to drag more of my friends with advanced degrees in math into this, so I think it'll get there.
     
  7. HgaleK

    HgaleK Senior member

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    Good bull, my man
     
  8. Swag22

    Swag22 Senior member

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    Fair enough, but you're moving from the premise that people can call top and bottom...the can't. I'm sure given Europe's cluster fuck there will be move speculative rallying in gold, but eventually it will stop and people will come back to their senses and realize that it's a shiny piece of metal with no functional utility aside from psychological.

    I'm also long JPM.
     
  9. javyn

    javyn Senior member

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    Last edited: Sep 13, 2011
  10. linds_15

    linds_15 Senior member

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    hey guys been following the thread for quite some time and got a q of my own
    in one of my classes today we were told today we will be opening and managing a simulated portfolio that we can trade anything in. were encouraged to take risk and learn lessons and report on them. the top 4 students will getmarks added on to their final grades. apparently last year the top kid got a 3000% return over the 3 month simulation, im obviously not striving for that. i closely follow alot of tech companies but not the futures market close enough to really not any big risks that could pan out, anyone have any direction i could be steered in?
     
  11. HgaleK

    HgaleK Senior member

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    The other kid got lucky timing. Leverage + bull market + volatile stocks = big money. There's no clear direction right now, and there may not be for weeks. Unless you can nail some wicked intraday scalping, you're unlikely to pull anything major. Even scalping right now is a huge cunt. A rumor that China was going to be buying up Italy's debt ran a ton of stops and broke a strong intraday trend over the course of something like a minute. Whoever dropped the rumor probably made a killing.
     
  12. javyn

    javyn Senior member

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    Getting excited about the Rodman & Renshaw conferences. GPXM speaking at the investor conf, and ACTC at the Healthcare today (this morning I think, already happened).

    Me, Monaco, and Slopho should be getting pretty happy soon I'm imagining.

    GLUU looks like it's trying to rise again, but probably trader's head fake and will give up whatever gains by mid-morning tomorrow. It's going to take a big PR, earnings, a Zynga IPO or any combo of those events to get this sucker moving. I'm salivating over the potential short squeeze.
     
    Last edited: Sep 13, 2011
  13. Contingency Plan

    Contingency Plan Senior member

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    Sold ARM today for a tidy profit: Intel are riding right up their ass with their low power roadmap and imminent Android collaboration.
     
  14. NameBack

    NameBack Senior member

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    Just sent off a spreadsheet to my friend for modeling the optimal way to dynamically switch between investment strategies (the heuristic). I'd just been using simple linear slope calculations of the yield curves of the various strategies to select between them before, but we're trying to make it more sophisticated. Did a little test run and got dog-doo output -- so I cut the variables down by 6-fold and upped the number of data points to work with from 330K to 167MM. Feeling good about seeing some nice results. A lot of the shit I threw in there seemed to have strong predictive properties.
     
  15. HgaleK

    HgaleK Senior member

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    Predictive properties aren't special. The MACD, Stochastic, etc. all are predictive. The problem is cutting out the false signals, and identifying targets.
     
    Last edited: Sep 15, 2011
  16. javyn

    javyn Senior member

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    Heh yeah technicals are great until you get to the right edge of the screen then all bets are off.

    Aside from simple moving averages for trending stocks,

    or Bollingers with RSI for ranging stocks,

    I leave them alone.

    Using Bollinger Bands in a range though does kick very much ass I have to admit.

    Seems like the best traders only use a ruler and marker to draw channels anyway
     
    Last edited: Sep 15, 2011
  17. Slopho

    Slopho Senior member

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    Oh, NFLX is in the toilet?? Who saw that coming?
     
  18. NameBack

    NameBack Senior member

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    Er, not predictive of stock price, predictive of the yield curve of the portfolio of strategies that the heuristic is choosing between.
     
  19. NameBack

    NameBack Senior member

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    Here's an example using a graph of six strategies from a very early version of my modeling process (two notes about the graph: read from right-to-left, and the y-axis values need to be divided by 10 -- this was just something I was looking at for my own uses, so it wasn't exactly well-formatted).

    [​IMG]

    This is the yield of 6 different investment strategies over a 10-year period on the S&P 500 (from 2001 to 2011). As you can see, some perform better than others, and some tend to move in opposing directions, lead/lag each other slightly, etc. What I do is then layer a heuristic on top of these, that attempts to stitch the best sections of each yield curve together, to get a consistent, stronger upward trajectory.
     
  20. HgaleK

    HgaleK Senior member

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    Ah. That looks pretty cool,
     

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