New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Get trader to profitability in at least one market #1

Open
owocki opened this Issue Mar 26, 2016 · 27 comments

Comments

Projects
None yet
@owocki
Owner

owocki commented Mar 26, 2016

One could presumably increase the margin for a classifier such that, to classify a sequence of price movements as a BUY or SELL, the predicted movement must be higher than what it is now (0.002% increase/decrease threshold)

@owocki

This comment has been minimized.

Show comment
Hide comment
@owocki

owocki Mar 26, 2016

Owner

ACK if you are interested in contributing (one could contribute in the following ways: code, servers, test capital, intros to wall st quants).

Owner

owocki commented Mar 26, 2016

ACK if you are interested in contributing (one could contribute in the following ways: code, servers, test capital, intros to wall st quants).

@NDuma

This comment has been minimized.

Show comment
Hide comment
@NDuma

NDuma Mar 27, 2016

@owocki We've recently set up a Slack group where there are a few people working on separate API angles for money management and trading; starting with Polo. One of them is working with NeuPy for MLP NNets.
Would like to help with where I can; and, see if anything they are doing might aid this project as well.

NDuma commented Mar 27, 2016

@owocki We've recently set up a Slack group where there are a few people working on separate API angles for money management and trading; starting with Polo. One of them is working with NeuPy for MLP NNets.
Would like to help with where I can; and, see if anything they are doing might aid this project as well.

@hft-singularity

This comment has been minimized.

Show comment
Hide comment
@hft-singularity

hft-singularity Mar 27, 2016

Thank you for open sourcing the project but.. lets be honest here. You only open sourced it because you couldn't make it profitable and you wait for someone that will do it for you, but even if anyone will manage to do it using your code, why share it with you? You wouldn't open source it, if it wasn't profitable yourself. That's why there is no other open sourced solution, that is profitable and never will be. Trust me i know a lot in this topic.

And most important point, profitable trading software while open sourced will become non-profitable when hundreds/thousands will start using it. Period. Every team that made profitable trading software will tell you that.

It's really a fun toy project, but nothing more. Fees are not a problem at all, doesn't matter if fee will go up or not it's just another variable and proper algorithm will adapt to new reality and you will still make money.

I can tell you what you need for profitable trading software:

  1. Minimum millions of dollars in infrastructure.
  2. Minimum millions of dollars for software engineers.
  3. Millions of dollars for ML specialists, but not someone out from school, i am talking about people which names you can see often on published papers in the ML field. You know how much research is being done on trading software and not published? you would be amazed what kind of results those research give and how top trading algorithms look like. Unfortunately that's all i can say because of NDA.

And then months of hard work of a world class team developing state of the art software that will NEVER be open sourced.

Good luck anyway!

hft-singularity commented Mar 27, 2016

Thank you for open sourcing the project but.. lets be honest here. You only open sourced it because you couldn't make it profitable and you wait for someone that will do it for you, but even if anyone will manage to do it using your code, why share it with you? You wouldn't open source it, if it wasn't profitable yourself. That's why there is no other open sourced solution, that is profitable and never will be. Trust me i know a lot in this topic.

And most important point, profitable trading software while open sourced will become non-profitable when hundreds/thousands will start using it. Period. Every team that made profitable trading software will tell you that.

It's really a fun toy project, but nothing more. Fees are not a problem at all, doesn't matter if fee will go up or not it's just another variable and proper algorithm will adapt to new reality and you will still make money.

I can tell you what you need for profitable trading software:

  1. Minimum millions of dollars in infrastructure.
  2. Minimum millions of dollars for software engineers.
  3. Millions of dollars for ML specialists, but not someone out from school, i am talking about people which names you can see often on published papers in the ML field. You know how much research is being done on trading software and not published? you would be amazed what kind of results those research give and how top trading algorithms look like. Unfortunately that's all i can say because of NDA.

And then months of hard work of a world class team developing state of the art software that will NEVER be open sourced.

Good luck anyway!

@grahamannett

This comment has been minimized.

Show comment
Hide comment
@grahamannett

grahamannett Mar 27, 2016

@hft-singularity what do you get out writing a post like that?

grahamannett commented Mar 27, 2016

@hft-singularity what do you get out writing a post like that?

@hft-singularity

This comment has been minimized.

Show comment
Hide comment
@hft-singularity

hft-singularity Mar 27, 2016

@grahamannett

You mean showing how real life looks like ? And showing what you need to expect when you try to achieve something that complex like successful trading software? or what exactly you mean by "writing a post like that" ?

Don't believe me ? You don't need to, ask anyone that worked in a team like i described. Just ask. Or we can meet here in a year from now and see if what i said was true. Which ever works better for you.

hft-singularity commented Mar 27, 2016

@grahamannett

You mean showing how real life looks like ? And showing what you need to expect when you try to achieve something that complex like successful trading software? or what exactly you mean by "writing a post like that" ?

Don't believe me ? You don't need to, ask anyone that worked in a team like i described. Just ask. Or we can meet here in a year from now and see if what i said was true. Which ever works better for you.

@grahamannett

This comment has been minimized.

Show comment
Hide comment
@grahamannett

grahamannett Mar 27, 2016

@hft-singularity where did I disagree with you? why are you being incredibly hostile and belligerent over a public github repo?

grahamannett commented Mar 27, 2016

@hft-singularity where did I disagree with you? why are you being incredibly hostile and belligerent over a public github repo?

@hft-singularity

This comment has been minimized.

Show comment
Hide comment
@hft-singularity

hft-singularity Mar 27, 2016

@grahamannett

I was harsh, but hostile? if you felt i was hostile toward you then i am sorry, it wasn't my intent.

hft-singularity commented Mar 27, 2016

@grahamannett

I was harsh, but hostile? if you felt i was hostile toward you then i am sorry, it wasn't my intent.

@amingilani

This comment has been minimized.

Show comment
Hide comment
@amingilani

amingilani Mar 27, 2016

@grahamannett oh man, I was totally looking forward to tinkering with something like this. Only, I can't do python, and my job keeps me from spending too much time on fun projects.

@hft-singularity aren't you a game theorist. Regardless, you're wrong, some people like helping others on the internet, especially for profit. Also, collaboration is the whole point of open source. Your comment wasn't constructive or helpful in any way.

amingilani commented Mar 27, 2016

@grahamannett oh man, I was totally looking forward to tinkering with something like this. Only, I can't do python, and my job keeps me from spending too much time on fun projects.

@hft-singularity aren't you a game theorist. Regardless, you're wrong, some people like helping others on the internet, especially for profit. Also, collaboration is the whole point of open source. Your comment wasn't constructive or helpful in any way.

@zenlambda

This comment has been minimized.

Show comment
Hide comment
@zenlambda

zenlambda Mar 27, 2016

A LICENSE file might help when inviting contributions, so people know what the ground rules are.

zenlambda commented Mar 27, 2016

A LICENSE file might help when inviting contributions, so people know what the ground rules are.

@kordless

This comment has been minimized.

Show comment
Hide comment
@kordless

kordless Mar 27, 2016

@hft-singularity you really should stop speaking for others. It's a bad habit and discouraged here.

Joined on Mar 26, 2016

Figures.

kordless commented Mar 27, 2016

@hft-singularity you really should stop speaking for others. It's a bad habit and discouraged here.

Joined on Mar 26, 2016

Figures.

@owocki

This comment has been minimized.

Show comment
Hide comment
@owocki

owocki Mar 27, 2016

Owner

@NDuma yes, please send an invite to ksowocki@gmail.com!

@hft-singularity Thanks for your comment. You posit an interesting question about human nature, and about motivations in open source software.

If someone gave you an half-written instruction manual and a toolkit that could turn an ordinary goose into a golden goose,
(1) Would you have a go at it?
(2) Would you share or hoard the golden eggs if you figured out the rest of the instructions?
(3) If you did share them, would the sum of the contributions compound and create more profit for everyone? Would the global markets for golden eggs come crashing down due to increased supply? And if so, how soon until that happens?

I do not presume to know the answer, but the undergraduate anthropology minor in me says that watching the 'pull requests' tab of this repo will yield some interesting clues. You are welcome to open another Issue and continue debating this there.

@amingilani python is easy to pick up. i'll happily coach you through it!

@zenlambda thanks, ill open up another issue; hopefully i can get to that today.

Owner

owocki commented Mar 27, 2016

@NDuma yes, please send an invite to ksowocki@gmail.com!

@hft-singularity Thanks for your comment. You posit an interesting question about human nature, and about motivations in open source software.

If someone gave you an half-written instruction manual and a toolkit that could turn an ordinary goose into a golden goose,
(1) Would you have a go at it?
(2) Would you share or hoard the golden eggs if you figured out the rest of the instructions?
(3) If you did share them, would the sum of the contributions compound and create more profit for everyone? Would the global markets for golden eggs come crashing down due to increased supply? And if so, how soon until that happens?

I do not presume to know the answer, but the undergraduate anthropology minor in me says that watching the 'pull requests' tab of this repo will yield some interesting clues. You are welcome to open another Issue and continue debating this there.

@amingilani python is easy to pick up. i'll happily coach you through it!

@zenlambda thanks, ill open up another issue; hopefully i can get to that today.

@ghost

This comment has been minimized.

Show comment
Hide comment
@ghost

ghost Mar 27, 2016

I have an idea related to this paper published in 2014, " http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2259133 ". I hope to post more in a bit when I finish working on it, but for now thanks for releasing this information! :) I hope to be able to contribute more in a bit.

ghost commented Mar 27, 2016

I have an idea related to this paper published in 2014, " http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2259133 ". I hope to post more in a bit when I finish working on it, but for now thanks for releasing this information! :) I hope to be able to contribute more in a bit.

@rmendes900

This comment has been minimized.

Show comment
Hide comment
@rmendes900

rmendes900 Mar 27, 2016

Hi @owocki , I was checking your code and looks very nice by the way. The problem is that you missed a major vector that is the trader strategy according to the market sentiment. Probably if your learning machine was doing the tests considering that, at this time you supposed to be with a lot more coins.
Well, I am a Trader and Coder, I can help you on that. Let me know. I will fork your code and see how can I contribute.

rmendes900 commented Mar 27, 2016

Hi @owocki , I was checking your code and looks very nice by the way. The problem is that you missed a major vector that is the trader strategy according to the market sentiment. Probably if your learning machine was doing the tests considering that, at this time you supposed to be with a lot more coins.
Well, I am a Trader and Coder, I can help you on that. Let me know. I will fork your code and see how can I contribute.

@prathik

This comment has been minimized.

Show comment
Hide comment
@prathik

prathik Mar 28, 2016

@hft-singularity Would I open source a profitable trading code? Only if I trusted the community to add more value to the code and help improve the algorithm and detect bugs. It doesn't matter if there are a few black sheep given that the overall number of contributors add value to the code, it is the I scratch my back and you scratch mine principle.

prathik commented Mar 28, 2016

@hft-singularity Would I open source a profitable trading code? Only if I trusted the community to add more value to the code and help improve the algorithm and detect bugs. It doesn't matter if there are a few black sheep given that the overall number of contributors add value to the code, it is the I scratch my back and you scratch mine principle.

@jeff-hykin

This comment has been minimized.

Show comment
Hide comment
@jeff-hykin

jeff-hykin Mar 28, 2016

Hey @owocki

Your work is pretty impressive, that many transactions while statistically breaking even shows at least some promise. If anything it seems like just tweaking the code to refuse trades more often (higher confidence threshold) would result in something closer to a profit.

I was considering something similar two days ago after talking with another machine learner (one most likely similar to yourself). We came to the conclusion that just using price data, there isn’t a successful way to beat out the market (for obvious reasons some of which @hfs-singularity discussed). I’m completely with you though on creating one for the experience and fun of it along with potential profits. I’ll definitely be looking over the code in the next few days.

jeff-hykin commented Mar 28, 2016

Hey @owocki

Your work is pretty impressive, that many transactions while statistically breaking even shows at least some promise. If anything it seems like just tweaking the code to refuse trades more often (higher confidence threshold) would result in something closer to a profit.

I was considering something similar two days ago after talking with another machine learner (one most likely similar to yourself). We came to the conclusion that just using price data, there isn’t a successful way to beat out the market (for obvious reasons some of which @hfs-singularity discussed). I’m completely with you though on creating one for the experience and fun of it along with potential profits. I’ll definitely be looking over the code in the next few days.

@cavemangraham

This comment has been minimized.

Show comment
Hide comment
@cavemangraham

cavemangraham Mar 31, 2016

@rmendes900 That was my first thought too. Perhaps adding market sentiment data pulled from news/reddit/twitter could be added to help refine the "confidence levels" of trades during certain time periods.

cavemangraham commented Mar 31, 2016

@rmendes900 That was my first thought too. Perhaps adding market sentiment data pulled from news/reddit/twitter could be added to help refine the "confidence levels" of trades during certain time periods.

@owocki

This comment has been minimized.

Show comment
Hide comment
@owocki

owocki Mar 31, 2016

Owner

@jeff-hykin @cavemangraham we're doing some discussion of this on the slack channel #23 if you guys would like to join in. i'll likely be putting some time in on this this weekend.

Owner

owocki commented Mar 31, 2016

@jeff-hykin @cavemangraham we're doing some discussion of this on the slack channel #23 if you guys would like to join in. i'll likely be putting some time in on this this weekend.

@kristerfl

This comment has been minimized.

Show comment
Hide comment
@kristerfl

kristerfl Apr 3, 2016

All I am saying is that Synergetics (the original stuff of "Bucky" Fuller) is the key; Tensegrity structures of the market, spherical hierarchy at al.

This is definatelly what that famous person; forgot his name; who became rich at NYC Stock used as analysis, no co-incidence it happened after Synergetics Vol 1. was published.

It's not so much millions of money as stated above her as millions of brain-cells understanding the 4000 pages of Synergetics Vol 1 and 2. Which when you have a project like this it becomes more apparent what kind of tool it can be. At least that's how it went for me.

You may complain Synergetics is about Energy not money but which is the the difference between the two, that is even stated in the actual books; which subtitles are "explorations in the geometry of thinking"..

Just my 2 cents.

kristerfl commented Apr 3, 2016

All I am saying is that Synergetics (the original stuff of "Bucky" Fuller) is the key; Tensegrity structures of the market, spherical hierarchy at al.

This is definatelly what that famous person; forgot his name; who became rich at NYC Stock used as analysis, no co-incidence it happened after Synergetics Vol 1. was published.

It's not so much millions of money as stated above her as millions of brain-cells understanding the 4000 pages of Synergetics Vol 1 and 2. Which when you have a project like this it becomes more apparent what kind of tool it can be. At least that's how it went for me.

You may complain Synergetics is about Energy not money but which is the the difference between the two, that is even stated in the actual books; which subtitles are "explorations in the geometry of thinking"..

Just my 2 cents.

@TheDeafMute

This comment has been minimized.

Show comment
Hide comment
@TheDeafMute

TheDeafMute Apr 5, 2016

Hi - I don't see any code?

TheDeafMute commented Apr 5, 2016

Hi - I don't see any code?

@Snipa22

This comment has been minimized.

Show comment
Hide comment
@Snipa22

Snipa22 Apr 5, 2016

Collaborator

@TheDeafMute Code's available on this github repo https://github.com/owocki/pytrader. Some basic install instructions are in the main README.md.

Collaborator

Snipa22 commented Apr 5, 2016

@TheDeafMute Code's available on this github repo https://github.com/owocki/pytrader. Some basic install instructions are in the main README.md.

@TheDeafMute

This comment has been minimized.

Show comment
Hide comment
@TheDeafMute

TheDeafMute commented Apr 5, 2016

ty

@jpramirez

This comment has been minimized.

Show comment
Hide comment
@jpramirez

jpramirez May 2, 2016

ey Guys, i have been following both the code growth and evolution and this comments, i will join the channel if it's still up. But, im not seeing any comments on Social intelligence, Bitcoin and, any other Blockchain open public distributed markets are not followed by any mathematic rules only.
Social Quantification is a must here, Blockchain prices are attached to mass sociology behavior, and in order to achieve a more certain price prediction, news outlets, and overall chatter needs to be studied...
I will be working on a separate module to add at least an index of variation that includes the rest of the sources needed to make a valid predicition.

jpramirez commented May 2, 2016

ey Guys, i have been following both the code growth and evolution and this comments, i will join the channel if it's still up. But, im not seeing any comments on Social intelligence, Bitcoin and, any other Blockchain open public distributed markets are not followed by any mathematic rules only.
Social Quantification is a must here, Blockchain prices are attached to mass sociology behavior, and in order to achieve a more certain price prediction, news outlets, and overall chatter needs to be studied...
I will be working on a separate module to add at least an index of variation that includes the rest of the sources needed to make a valid predicition.

@owocki

This comment has been minimized.

Show comment
Hide comment
@owocki

owocki May 2, 2016

Owner

@jpramirez #75 is the latest on the social data front. we've got the system pulling social data, but nothing open source that puts it into the model yet.

Owner

owocki commented May 2, 2016

@jpramirez #75 is the latest on the social data front. we've got the system pulling social data, but nothing open source that puts it into the model yet.

@jpramirez

This comment has been minimized.

Show comment
Hide comment
@jpramirez

jpramirez May 3, 2016

Ok, i will work something out and throw some ideas in there. Will be fun, thanks!

jpramirez commented May 3, 2016

Ok, i will work something out and throw some ideas in there. Will be fun, thanks!

@kristerfl

This comment has been minimized.

Show comment
Hide comment
@kristerfl

kristerfl May 3, 2016

Don't forget this?

https://github.com/kylehg/sentiment-analysis

łł-ĸkĸĸxĸxĸ

Krister Lilleland
kristerfl@operamail.com

On Tue, May 3, 2016, at 02:20 AM, Juan Pablo Ramirez wrote:

Ok, i will work something out and throw some ideas in there. Will be
fun, thanks!

You are receiving this because you commented.
Reply to this email directly or view it on GitHub[1]

Links:

  1. #1 (comment)

kristerfl commented May 3, 2016

Don't forget this?

https://github.com/kylehg/sentiment-analysis

łł-ĸkĸĸxĸxĸ

Krister Lilleland
kristerfl@operamail.com

On Tue, May 3, 2016, at 02:20 AM, Juan Pablo Ramirez wrote:

Ok, i will work something out and throw some ideas in there. Will be
fun, thanks!

You are receiving this because you commented.
Reply to this email directly or view it on GitHub[1]

Links:

  1. #1 (comment)
@photonherder

This comment has been minimized.

Show comment
Hide comment
@photonherder

photonherder Jun 13, 2017

Maybe trade on more than one exchange and go for arbitrage?

photonherder commented Jun 13, 2017

Maybe trade on more than one exchange and go for arbitrage?

@nickwilliamsnewby

This comment has been minimized.

Show comment
Hide comment
@nickwilliamsnewby

nickwilliamsnewby May 9, 2018

so you start at 1 btc the net(in reference to fees not tax) profit is 2.441 (200+%), so actually your able to predict with a great deal of accuracy your just getting literally eaten alive by fees, since its polo you change the granularity of the time series in your api call so maybe trying longer ticker lengths and cherry picking the coins that have enough history to support the same levels of accuracy with an equally scaled forcast you should be able to profitable by basically training to hit bigger, longer spreads with more capital to avoid fees, idk just my two cents

nickwilliamsnewby commented May 9, 2018

so you start at 1 btc the net(in reference to fees not tax) profit is 2.441 (200+%), so actually your able to predict with a great deal of accuracy your just getting literally eaten alive by fees, since its polo you change the granularity of the time series in your api call so maybe trying longer ticker lengths and cherry picking the coins that have enough history to support the same levels of accuracy with an equally scaled forcast you should be able to profitable by basically training to hit bigger, longer spreads with more capital to avoid fees, idk just my two cents

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment