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Saturday, December 30, 2017

Algorithmic Trading with Quantopian, Random Stuff, and More

- obviously, I've been looking at this field for a while. I've been look at Quantopian (and similar platoforms) in particular for a short while recently as well...
algorithmic trading online
alternative quantopia
- if you don't know the higher risk and volatility the more likely you can make (or lose) a lot of money in a short space of time. New asset categories such as Cryptocurrencies are interesting for this reason
selling algorithmic trading bots
I made a lot of passive income by coding trading bots for bitcoin.
- the reason why Quantopian (and similar) offerings are so interesting is that they effectively provide you with a trading platform, historical data, etc... You build algorithm and depending on whether your algorithm fits specific criteria they will fund you and provide you with a share of the profits. If you figure out what your final take may be it's not overly great even if you're chosen and your algorithm does well. Once you've 'figured things out you may actually be better off going out on your own?
- that said, there are huge problems with current platforms which basically crowd source algorithms? Key problem are investment strategies. Look at the strategies of some of these guys and they seem completely unrealistic? It feels like they have a theoretical basis in finance but not a practical grounding in trading at times? Everyone wants a way to not have to deal with broad based down turn but the way they're doing limits their exposure to the point whereby it's difficult to make a profit? Not possible? Naive thinking? Performance indicates they're very much struggling against 'tranditional quants'
Quantopian CIO departs as “crowdsourced” hedge fund’s performance disappoints
- most of the algorithms are simple. The problem isn't so much the code. It's the interface. Not enough space to see everything. A lot of jargon that is finance specific. Even if you have a background in finance there is still a lot of stuff that is highly specific to this particular field. Help varies depending on what platform you use 
quantopian algorithms sample
- learn from winners... The most interesting traders are the ones who can simply read the market over the long term as those who have the ability to 'manipulate markets'. These guys can beat beat markets over the long term. Look over most funds and most of them can not beat their own index a lot of the time for their own asset class
- correlations are critical especially in information sensitive market based mechanisms. Social media, machine learning/AI, etc... are core parts of these platforms (on top of what you create)... Often  Investment Banks, HFT, Hedge Funds, Arbs, Quants, etc... aren't pure in what they do and what assett classes they trade in...
google trends
- data varies and dependent on backtesting. Data can be both free or premium/paid. Data from social media feeds problematic because it can be false. Part of me wonders whether or machine learning, fuzzing could be better used in this particular area? We're effectively just looking for data correlations? A lot of platforms already have these capabilities built in
- some of them have 'sandbox' type environments that you often see on other trading platforms (using simulated environments. The 'real thing' is often much more difficult). It's very difficult to learn how to trade because emotion can get in the way (you need to bet a little. Even if it's only 'paper trades' it will help you understand markets. Having something on the line changes your perspective). Something that is often heard in professional gambling and trading is to 'play to the system'. As long as you play accordingly you can figure a way out. Remember you can not control the market unless you have sufficient capital or power and influence. You'll need an account to reach any 'sandbox' a lot of the time. No real chance to anonymously lurk on a lot of platforms...
- most common coding options are Python, Java, JavaScript, C++, Basic, etc... or a variation on any one of these
- quality of documentation and code samples needs to be updated on a lot of platforms. Code samples are sometimes wrong (we're talking basic stuff like syntax and compilation even. Maybe I got a few bad examples from a generally good batch though?)? You'll need to correct them yourself. Unlikely that you can just jump in and randomly change parameters to produce profitable algorithms. A lot have alternative channels. Use them
Quantopian
- get some time working for a Fintech if possible. That said their strategies and type of ones an individual with limited resources can pursue are radically different. Note that most finance firms can go through ups and downs. Even the supposed big names such as Goldman Sachs, HSBC, Optiver, Merill Lynch, UBS, etc... Note, many of these firms rely on their name and 'brand recognition'. Over the long term most of them give up on their perks and bonus structures because they are uneconomical?
- I wouldn't be surprised if Quantopian and similar platforms had backdoors with them. Why would you trade with them? Most people in 'finance' have 'an angle' of sort. Manipulators/speculators have a trade on the side (against their own clients at times), brokers take a cut or are front running/market making (HFT is basically the same as taking a commission if you're honest with yourself?), advisors take a cut/commission (and get a cut if they re-direct towards particular products), etc... Useful if you can't get finance, looking for experience in finance sector without having to get a job inside of the industry, etc... If an individual or group is making excess profits you should be asking the question, "what's the angle here?"
Optiver targets US but rules out purchase
https://www.ft.com/content/5b8f8c8e-0073-11e4-9a62-00144feab7de
- you can possibly manipulate markets from your bedroom but instances are rare. Put aside some cash if you do intend to do something like this. Most finance firms who knowingly engage in shady deals (such as money laundering) actually set aside some money in case something goes wrong. This money is then used to settle any cases that they need to dealt with with regulatory authorities
- if you haven't already figured out 'life isn't fair'. Modern capitalism and 'fairness' often have little to do with one another in spite of what regulators and governments say. Watch for major players within the markets, minor players who can come from no where, emerging markets, small/mid cap, for IPOs, new investments, bankruptcies, deliquincy rates, stress levels, insiders, drastic changes to supply and demand, new trade/commercial agreements and contracts, etc...
- be careful with regards to 'pump and dump' type strategies. The manipulators/speculators try to create bubble and have novice investors pile in so that they can pop the bubble whenever they want to and take their money. Forget about anyone being 'on your side'. Watch George Soros, Max Keiser, Mike Pento, Jim Rickards, etc... Despite what they say go enough background on them and you'll realise that they're on their own 'particular side'. Finance is a form of 'Hybrid Warfare', another way for competing for limited resources... If you just want to 'ride trades' on the way up you need to read markets and the way the 'manipulators/speculators' work in order to take advantage of their work...
- most trading strategies rely on the following: value (fundamentals good but is underpriced for some reason), growth (for some strange reason has an advantage over others and is gaining out of ordinary returns),  arbitrage (trade across markets based on moving average differentials), front-running (contrarian theory is a variation of front-running)
- capitalism is primarily about about lies, manipulation, and hyprocrisy now... Even investment is filled with it. Most trading platforms funnel you into products where they receive a 'kick back' of some sort. Despite what they say the US is 'classic economy'. It's composed of migrants, most of the reason why it became wealthy in comparison to others countries is due to slavery, colonialism, neo-colonialism, etc... The military industrial complex is 'core' to the US economy. Watch how closely GDP figures track their involvement in wars (GDP/growth rate goes up when they go to war, goes down when they're no involved in war. Hence, they're involved in conflicts all over the place?)
In an interview with the Washington Examiner on Tuesday, Paul said huge heaps of debt, inflation, and inequality could cause turmoil in the US.

“We’re on the verge of something like what happened in ‘89 when the Soviet system just collapsed,” he said. “I’m just hoping our system comes apart as gracefully as the Soviet system."
- socio-economic systems regulated methods of taking advantage of one another. Not much different animals. Regardless humans created the system that they deserve?
- modern economics is mostly 'mumbo jumbo'. At the end of the day it's all about the following. Buy low, sell high... The rest of it is just 'noise'. If you can't compete directly use 'grey areas'. Work around, up, over, and around the laws and regulations, etc... Even 'hedging theory' is gibberish/garbage. Most 'hedge funds' fail and can't compete even with market indexes over the short term. Moreover, if the past could predict the future then everyone would converge on a single theory but it would come at the cost of inflation or be a race to the finish line as we've seen in the HFT world. A single or small number of winners would take most of the spoils. 'Hedging theory' is based on the notion of a self-fulfilling prophecy. The more people embrace it/fall for it the more likely the future repeats the past as hedging theory predicts. It's almost laughable the way it works
- few if any countries are genuinely 'exceptional'. History tells us that most people are fairly similar. Most people and countries use 'shenanigans' of some type or form. They don't want to know about the shenanigans because they lose 'competitive advantage'. Watching those who can 'move and shake' things is the most interesting aspect of the whole equation. Technically, this is a geo-political game. Quants always neglect to factor in how human behaviour and psychology plays a role in finance and how big of a role it actually plays. Crypto is interesting because it upends the US/Western financial system which they created and built for their own advantage. To a certain extent those who 'embrace hyprocrisy' are lucky. It's allowed them to more easily move around in 'certain circles'?
- verify every single piece of information that you use in trading (whether automated or not) but remember it's not about what's true, it's about what people believe because that is what ultimately governs investment decisions (remember 'Big Short' movie). Most 'relevant movement' comes from unknown data or data that people want to be under wraps

Random Stuff:
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- latest in science and technology
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- latest in defense and intelligence
Spain commits to boosting military spending by 80% up to 2024
- latest in animal news
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Random Quotes:
- "The aeroplane is the nearest thing to animate life that man has created. In the air a machine ceases indeed to be a mere piece of mechanism; it becomes animate and is capable not only of primary guidance and control, but actually of expressing a pilot's temperament."
-- Sir Ross Smith, K.B.E.
National Geographic Magazine
March 1921. 
- The E-2D’s Lockheed Martin AN/APY-9 UHF-band radar is the central feature of the Advanced Hawkeye. Both friend and foe alike have touted UHF radars as an effective countermeasure to stealth technology. One early public example of that is a paper prepared by Arend Westra that appeared in the National Defense University’s Joint Forces Quarterly academic journal in the fourth-quarter issue of 2009. “It is the physics of longer wavelength and resonance that enables VHF and UHF radar to detect stealth aircraft,” Westra wrote in his article, titled “Radar vs. Stealth.”

UHF-band radars operate at frequencies between 300MHz and 1GHz, which results in wavelengths that are between ten centimeters and one meter long. Typically, due to the physical characteristics of fighter-sized stealth aircraft, they must be optimized to defeat higher frequencies in the Ka, Ku, X, C and parts of the S-bands.

There is a resonance effect that occurs when a feature on an aircraft—such as a tail-fin tip—is less than eight times the size of a particular frequency wavelength. That omnidirectional resonance effect produces a “step change” in an aircraft’s radar cross-section. Effectively, what that means is that small stealth aircraft that do not have the size or weight allowances for two feet or more of radar absorbent material coatings on every surface are forced to make trades as to which frequency bands they are optimized for.

That would include aircraft like the Chengdu J-20, Shenyang J-31, Sukhoi Su-57 PAK-FA and, indeed, the United States’ own Lockheed Martin F-22 Raptor and tri-service F-35 Joint Strike Fighter. Only very large stealth aircraft without protruding empennage surfaces—like the Northrop Grumman B-2 Spirit or the forthcoming Long Range Strike Bomber—can meet the requirement for geometrical optics regime scattering. Effectively, that means the E-2D’s AN/APY-9 radar can see stealth aircraft like the J-20 or J-31.
- The drones tested don’t have a power motor, instead they glide through the air towards their destinations. They also don’t possess onboard cameras. The drones launched using an electromagnetic pulse that caused them to accelerate them from 0-100kph within an arm’s length.

“It shot out like a bullet,” Yang Yanchu, one of the project's lead scientists, told the publication. The drones then glided towards their targets, which were more than 100km (60 miles) away, adjusting course and altitude automatically.

Furthermore, due to their small size, only a minimal trace of their presence was detected on radar – a major plus for a spy-drone. “The goal of our research is to launch hundreds of these drones in one shot, like letting loose a bee or ant colony,” Yang added.

While current near-space drones, such as the American made MQ-9 Reaper and China’s Caihong 5, cost millions of dollars to produce and can reach altitudes of only about 10km (6 miles), these new prototypes would cost “as little as a few hundred yuan.” They are small enough to fit inside a shoebox and weigh about as much as a football.
- Students attending Britain’s top public schools are 94 times more likely to join the highest ranks of society. That’s according to an analysis of Who’s Who by the London School of Economics (LSE).

The study analyzed how pupils from Britain’s nine top, fee-charging schools made it onto the country’s league of most influential people. It found that those attending Clarendon schools – including Eton, Westminster, Harrow and St Paul’s – account for just 0.15 percent of British pupils but 10 percent of Britain’s crème de la crème.
- Australia's system of political finance law is broken, open to exploitation and soft-corruption, a Senate inquiry has heard. 

"You can get a politician for $2000 a year, a party for $100,000 a year and policy for $200,000 a year," Monash University academic Charles Livingstone said in Melbourne on Thursday.  
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Saving Money (without Sacrificing), Random Stuff, and More

- use price matching when you can to get an extra discount. Note, a lot of companies advertise low prices just to get you through the door. ...