Comments for Hack the market

Comment on basic economics of an algorithmic trading startup by tito

tito — Tue, 09 Mar 2010 14:48:26 +0000

Thanks, Aman – glad you find it interesting.

Comment on basic economics of an algorithmic trading startup by Aman

Aman — Tue, 09 Mar 2010 14:17:12 +0000

I stumbled across this blog. I think its going right up in my bookmarks list..

Great Job, lots of information.

Comment on basic economics of an algorithmic trading startup by tito

tito — Mon, 08 Mar 2010 16:34:44 +0000

@Matt It's not a bad question and pursuing its answer is interesting. Take a look here (table 7.2 on p 78 of Aldridge's High Frequency Trading) for an example of maximum possible sharpes over a variety of trading frequencies for a specific example. I suspect almost any such example would yield similar results. This is offset by research like that of Kearns, Kulesza and Nevmyvaka in "Empirical Limitations on High Frequency Trading Profitability" as well as my own less formal observations that the space is getting rather crowded. Your own idea of a lower frequency strategy makes perfect sense if you can bear the inevitable draw downs. (Though for people like 'Sean' it's not possible to trade even like this due to restrictions imposed when you work for a broker-dealer.) Certainly, the degree of difficulty of implementing strategies goes up non-linearly as you increase frequency. Best,

Comment on basic economics of an algorithmic trading startup by Matt

Matt — Sun, 07 Mar 2010 07:31:16 +0000

Very interesting, thanks Tito and “Sean”. The business model I personally am attempting to pursue while working a day job is longer time frame trading: systematic end of week. This fits very easily into most any schedule. I don’t know if this is right for everyone but it seems to me that if you can design a 30+ % intraday system, why not try to build a longer time frame system which also has high return? So I built the model(s) and now I am waiting for the compounding in my personal account…

Sorry for the naive question, but I am curious if high frequency trading offers higher return, better risk profile, or something else key that makes it worth babysitting trading servers every day?

Comment on multi-strategy trading with regimes by The Edge » Blog Archive » link feast 3-3-10

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Comment on basic economics of an algorithmic trading startup by tito

tito — Wed, 03 Mar 2010 23:39:42 +0000

@Friend of Sean I've interacted with Ernie Chan and he's a thoughtful and polite individual. You're right to look to him as a positive example. Good luck with your venture. @Jack Thanks, Jack - appreciate it.

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Comment on basic economics of an algorithmic trading startup by Jack

Jack — Wed, 03 Mar 2010 22:45:38 +0000

Such a great article!

I found this blog late, but better late than never.

Your regular reader from now on…

Comment on basic economics of an algorithmic trading startup by Friend of Sean

Friend of Sean — Wed, 03 Mar 2010 17:50:44 +0000

also I agree 100% on FOCUS as being key…

some people are better able to focus outside of a negative work environment…see Ernie Chan for example who has stated publicly he achieved much higher Sharpe ratios while working out of his home office than he ever did at Millenium or in an institutional surrounding…just fyi…