cowmoo

if I had an algorithm that could perform well, why would I hand it over to Quantopian?

I'll share my algorithm here:

https://www.quantopian.com/posts/xiv-slash-vxx-pair-trade-1

"Pair-trading VXX and XIV based on the StockTwits sentiments of the SPY at market open. The backtest did really well from 2011 to 2014 with 1700-1800% return in 3 years; and flat between 2014 to present-time... would love to see what people come up to reduce the drawdown's and improve the performance from 2014-2016".

The reason I share my algorithms is trading is one of the hardest ways to make easy money. Making money due to slippage, regime change and overfitting bias is difficult, a poor investment (most hedge funds don't beat index funds) but sharing and learning about statistics, machine-learning and big data is a better investment in self.

Also philosophically, most strategies have limited shelf-life, so it is better to learn how to fish than to hold onto the fish you've got.

Hi, a shameless plug: I went to the Quantopian (the company that is behind Zipline and essentially uses Zipline as the core backend to their cloud platform) algo-trading hackathon two weekends ago and came up with this algo:

https://www.quantopian.com/posts/xiv-slash-vxx-pair-trade-1

Pair-trading VXX and XIV based on the StockTwits sentiments of the SPY at market open. The backtest did really well from 2011 to 2014 with 1700-1800% return in 3 years; and flat between 2014 to present-time,

I'd really love it if people can improve upon the algo and see what people when they clone the algo and come up with ways to mitigate the drawdown's and improve the performance!

http://changefol.io is a site that I use to set up micro-donations that's based off my daily spending, e.g., donate $0.05 for every $1 I spend at the gas pump to Sierra Club; $0.10 for every $1 I spend at the grocery store to WWF (World Wild Life Fund).

Haha, touche.

Uhh, I really hate INTJ personalities, most are so uptight centered on being judgmental. The "worker bee" personality that I see at IT/software places.

INFP ftw, feeling up and perceiving people over thinking and judging people!

Has there been a good writeup of what HFT "Is" at any point?

http://vimeo.com/6056298

What is your impression of them as a pernicious/positive force? Are they essentially market making?

Open for debate. Depends on what you mean as a pernicious/positive force. Good for retail investors, institutional investors, stability of the market, or the sell-side? All of these are conflicting sides. It is generally SEC's mission to protect the small individual investors' fair access to the market, while trying to walk the fine line of not disrupting the big institutional investors/sell-side brokers' way of doing business (and their political lobbying groups).

Pro HFT argument: HFT are virtual market makers that through the use of technology and arbitraging through multiple ECNs, are decreasing the bid/ask spread of the traditional market makers and providing more liquidity to the market. They serve as stabilizing force during irrational exuberances.

Con HFT argument: HFT are bad predators who through technology, jump ahead of institutional investors' block orders and in term pass on higher priced liquidity to retail investors that no one needs. They don't serve as stabilizing force, as they stop trading as soon as they stop making money and in fact may fan the fire by employing high frequency short selling in a flash crash.

You are right that for a individual investor focused on the long term, a algo-order probably wouldn't make a difference in comparison to a market order with your E-Trade/Schwab account (most likely, your order-flow won't go directly to the market anyways; it is either crossed internally, or re-routed to a broker/dealer that's paying retail brokers for the order flow such as Timberhill).

However, I respectfully disagree that humans are better at making trading decisions than computers. The world of algo trading can be divided into two sides, a) high frequency traders, who through fast cancel-and-replace limit orders and colo with the market centers, try to act as virtual market-makers (or scalpers, depending on your perspective), b) buy-side institutional fund managers who want to complete their orders, without HFT predators and negative market pressure. Large block orders are spliced into small lots (i.e., VWAP) and sent to the market using intentional limit price over time to hide the movement of a huge buy or sell order on the market.

Human beings might be better than machines at picking single stocks for long term investing (although most people are probably still better off investing in an ETF). But that's not how sell-side traders make money in the first place. Guys like GS/MS/Timberhill make money by having the unfair advantage of faster execution speed, more capital and specialized trading algo's against the small retail investors.

"Yes it takes practice to become a good singer, but any number of hours of practicing poor technique won't do much good."

Yes, this is true and oft-repeated mantra on YC News. But it begs the question, how does one practice the "proper" technique (I mean after all, doesn't everyone want to follow the correct form of shooting hoops/strumming a guitar chord, but most people don't have a dedicated shooting coach/guitar teacher to watch their every move or they do know the right technique by heart in theory but can't carry it out in practice for various reasons).

The best protip I've received in learning an instrument (and actually doing anything) is when you are stuck at a particular exercise, move onto the next hardest exercise anyways. When you stumble upon the simplest guitar lick on the first page of a guitar book,you might say "are you crazy? I can't even play the first exercise." But if you play the next hardest lick and stumble upon it for a couple of days, then try to play a third lick even harder than the second lick for a couple of days, and then go back to the very first lick. You might find that you can now play it pretty well, or suck much less than before.

Yes, practicing is all about hard work and all that, but it is also about momentum and keeping things fresh and new. If it's not fun, you are doing something wrong.

Yea, write a simple Python/Perl script that interfaces with TOR and force-reset your exit nodes each time you send out a new request and randomize the time interval. There are plenty of TOR exit nodes in the world to swing the vote your way.

I think your analysis is correct despite of all the self-congratulations that goes on here on Hacker News.

A couple caveats though; I think your definition of technology is too narrow, Web 2.0 is only one segment. The smartest people have moved on from IT which has already matured, and are working on green tech and genetic therapy where supposedly the next break through will come.

Also, even in software since money seems to be the biggest concern to you, consumer-centric software isn't where the money is made - it's just what appeals to be the most sexy to the young & naive. High frequency trading, e-discovery, medical informatics, Sarbones-Oxley compliance modules - there are tons of enterprise software companies in those fields make revenue more than most of the Web 2.0 startup's you listed.

Finally, I don't think what motivates programmers aren't necessarily the same that motivates a business-person. The best way I can describe this is by the musician and A&R example; there are some musician's who want to make it big and appeal to as many people as they can (i.e., Linkin Park), there are those complementary record labels who can help popular musicians by handling the business side and tailor their records to the focus groups. But there are also those musician's who care more about pushing than envelope than selling records, and if they are successful, like the early black blues & jazz musician's in the 40's and 30's, their influence will get heard in the 60's and 70's (ripped off by white musicians). Most people in IT operates on this sliding scale between craftsmen and A&R as well.

Ahh ... isn't Mint build off a platform that allows it to do all of the fancy secure financial banking login and information sharing?

There's a saying that if you start learning a musical instrument when you're an adult, "you'll always play with an accent."

I suppose you could also program or seen code programmed with an accent.

Good advice.

After you have learned the basic open chords, scales and the fretboard notes, and "Wonderwall" - and are bored with the strings. You could go always back to silicon and build

a) an Arduino interface to an software/hardware mixer such as Ableton Live for live mixing and improvisation

b) an machine-learning program that takes GuitarPro tabs of the entire catalog of your favorite band and permute MIDI compositions/new guitar tabs based on the band's style.

c) Program your own synth in Max/MSP.

d) Develop a real-time music note recognition software that tab/annotate the chord changes, drum tabs, make music sheets for live online music jamming.

Also try to play the sitar/banjo/mandolin, there's already lots of guitar players.

Thank you for your $0.02; this might be really obvious to you, but could you be kind and enlighten the oblivious engineering crowd on this forum and be more specific as to what kind of value-add does sales and marketing add to a early-stage hardware startup or any consumer-oriented tech startup in general?

Thanks for your advice and the link to the book.

Maybe someone as a musician can enlighten me, but I always have so much trouble doing rote scale at every guitar fret position, arpeggio, memorize-these-chords exercises.

I always hear two sides of the argument that a) a la Mr.Sivers, oh you need to learn how to play fast, memorize all of these scale/chord patterns, and every single guitar-player style from Blues to Jazz to Folk to Pop, or b) you shouldn't worry too much about playing or learning too fast, but concentrate on the music; enjoy yourself, find your own style and get in the zone and slowly you'll understand how to improvise, compose and tab by immersion rather than memorizing patterns. (Because if you try to learn or play too fast, you get frustrated quickly that you aren't doing well and concentrate too much on the mechanics of note perfection that it affects your performance). Some books I read recommend daily practice sessions of only 20 minutes per day, but consistent daily practice.

I'm sure I'm painting a totally false dilemma but curious as to how some of the pro musicians out there takes are.

EDIT: Since we are on a programming forum and I assume that the advice is geared towards developing for startups, IMO, the best way to learn how to program is to learn by working on your own project and ruthlessly plagiarizing off of other people's open-source code base. Because you are motivated to finish the project because it's something that motivates you and you are forced to look deep down into the stacks because you almost always have to customize/hack 3rd party code to do something your way.

Rote memorization is a problem in programming, too. Not to rag on PHP or Visual Basic, but people could get by with just memorizing certain keywords - or not solve hard problems by using a third-party plugin or googling for code snippets.

I hated my Automata and Functional Programming Language classes because I was forced to write out formal proofs to prove really obvious programs to be correct, or to demonstrate something arcane as the Turing machine. But it forced me to think about programming in a different light and find my own way to find the solution.

This reminds me to always to look under the hood of all of the web frameworks, data ORM's that I'm using and to improve my 3rd party libraries, in programming. Also in music, not to blindly play the scales or the tabs of popular music, but learn the different patterns, what makes a song tick, and composition. Also in sports, not just play or practice according to drills, but to analyze post-game what went right, what went wrong, and to apply it in future matches.

Affirmative action doesn't bother me. So what if the SAT-tutored and AP/IB class-taking kids from suburbia couldn't get into Harvard, Princeton or Yale? Boohoo! It's the end of the world when they go to the Duke, CMU, or Cornell where upon graduation, you have finally (phew!) saved the family face after all by going to medical school, law school or becoming that engineer - so that your Asian or Jewish mother has something to good to say about her son at her friends' dinner party.

Without the elite ivy league schools offering 100% financial aid (vs. middle-tier state schools that try to amp up their U.S News & Report Ranking by offering full-rides to high SAT scorers from the 'burbs, and hence could not accommodate 100% to need-based financial aid), a lot of urban kids wouldn't be able to afford college at all, not even state school. Also, schools that could afford to let down their average SAT scores often pick students based on their "narrative". A technical forum may sneer at the qualitative over quantitative, but it means that schools consider their applicants' background, what odds they had to overcome in their environment vs. say, how much money someone's parents spent for their child's Princeton Review classes.

However, I agree with you in that affirmative action have a lot of inefficiencies. For instance, a lot of under-represented minorities from the 'burbs and prep school game the system by offering a offer that colleges can't refuse: high SAT score and diversity, but haven't overcome any serious odds as an urban student would. A lot of colleges game the system by claiming diversity on their admissions broshure, when recruiting a lot of black/hispanic students to their freshman pool - but do not do a proper job of trying to graduate their minority students at all.

When I'm sixty five, I'll be playing WoW and listening to the nostalgic popular records of my day, from fine artists such as Soulja Boy Tell 'Em and T-Pain.

"Don't care if the cat is a black cat or a white cat, as long as it catches the mouse, it's a good cat."

Basically for those who are interested in the background of the quote, Deng arose to power at the end of the Cultural Revolution, at the height of Chinese communism ideology when the government was so communist that they broke away from the Soviet's and accused of USSR as "revisionist"; destroyed all of the Buddhist temples in China as "backwards and Confucius," imprisoned the sons and daughters of former capitalists (because there were no current one's left) for being "Western corrupution," and stripped intellectual's of their post in Universities and forced them to "country-side re-education camps" for being "radical leftists against communism." Before he rose to power, Deng himself was denounced and stripped of his political post, and sent down for "re-education."

In little as four or five years, in that kind of environment, Deng has reformed the former Chinese market-command economy to become more capitalistic. Liberalized the political and free-speech in China, that allowed for media/film/journalism criticize the Chinese Communist party which eventually led to the Tienanmen Incident. Deng, confronted tremendous criticism and resistance from the hardliners of the Community party when he tried enact his reform. He used this quote about "black cat" or "white cat" in a speech he delivered to the political cadres to persuade them to be a bit more pragmatic and less ideological about their communism, after 43 million people have died from Great Leap Forward and the Culture Revolution. It was also Deng who eventually issued the order to strike down the student protesters in Tienanmen.

This ambivalent character of Deng, of balancing liberalization versus stability has become a hallmark quality of the Chinese government. See how the Chinese government encourages citizens towards private asset ownership and entrepreneurship, but not towards democratic representation. See how the Chinese government agrees in principle to a Korea/Iran nuke disarmament, but they are more so wary of the stability of Korea/Iran region in the event of a international escalation - that they block the UN Security Council sanctions. Whether the current Chinese/Russian model of free markets but central strong political oligarchy without an ideological emphasis, versus the American model of free markets and free democracy with a strong ideology (leader of the free world), the viability of either models remains to be seem.

Does anyone who are pro's in music production/audio engineering wana help a wannabe out?

I'm curious as for a noobie, into computer music what kind of software/languages/theory I should get into. Do these live coding people use plugins for Ableton Live or do they write their own libraries from scratch? As for electronic music theory and improvisation, what books do you guys recommend. Do I really need to understand the theory/language well such as DSP, Max/MSP really well or could I just dive in and improvise? Thanks in advance for all the help.

Why do algorithmic trading articles pop up frequently on HN?

I understand why people are attracted to it because they think that they can beat the market by implementing their own stat arb strategy using neural networks/genetic programming etc. They think that they'll fare out better than the average day-traders because they have the know-how's to program and the quantitative skills to formulate the models and the technical skills to implement the models.

But what people don't realize is that despite of all that, you still can't beat the street because: speed and volume. All high frequency trading strategy rely on fast execution speed (get in and get out, most prop shops at investment banks and hedge funds hold their positions usually for a couple of seconds, or even less), because due to prevalence of electronic trading, the inefficiency in the market for arbitrage opportunities exists in the time-frame of seconds or micro-seconds. In arbitrage, it's no longer a matter of who can discover the treasure map; it's more like everyone already has the treasure map, whoever can get to the X mark the spot first wins.

Goldman Sachs/SAC/DE Shaw etc. all "colo" with the market exchanges, meaning they have their algorithmic trading servers hooked up directly to the same trading servers of NYSE/Nasdaq/BATS. They might be connected directly to those market servers in the same server room in NYC/Kansas, or they might be connected over a dark fiber network in Jersey City. In the matter of seconds a retail brokerage customer puts out a buy order for GOOG, or even a aspiring trading-hacker sends out a order over Interactive Broker API, these algo machines have already piped out thousands of orders and a good percentage of those orders have already been filled.

Secondly, good algo's require fast real-time information processing of the quote book, general market condition, real-time calculation of the basket of related stocks in the stat arb strategy. On an single active stock, there might be hundreds of bid/ask/trade ticks per minute from a single market center. Can an individual's machine setup handle real-time analysis of a basket of stocks and general market condition from multiple market centers? This issue is so critical and complex that there exists a sub-industry (Complex Event Processing, CEP) and technology companies (StreamBase) that created and profit from dealing with this problem for hedge funds and prop shops.

Finally, usually high frequency algo's are only profitable with high volume and low transaction cost. Typically, arbitrageurs and liquidity providers make pennies on the share per trade. But their daily volume are in the tens or hundreds of millions shares traded; their transaction cost are in the quarters of pennies or sometimes negative (meaning they are compensated by the exchanges for providing liquidity). Compare this to a retail consumer account with $10,000 and trading comission of $5 (ETrade) - $0.01/share (IB).

Still, I know of people who have IB API setup's and profit consistently. But I wanted to let would-be traders know the competitive disadvantage that they are up against the big boys before they pour out their life savings in their neural network futures arbitrage algorithm.

I'm curious how you went from squatting 1 rep max of 135lb to 10 reps of 315lb in 6 month. It's quite a transformation. According to http://www.exrx.net/Testing/WeightLifting/SquatStandards.htm..., that puts you in the advanced percentile of men who weight 140-160lb which should take roughly, "multi-years of training (more than 2 years)."

How about many rep's per set and set per session did you do? And how pound increment did you add for each week?

Does anyone know if there's any similar events at MSR, open to public for those of us who are in the Cambridge of this side of the Atlantic (Microsoft Research New England at Cambridge, MA)?

Did anyone else who is using FF3 on Windows Vista w/ Flash Debugger installed get crashes when you try to mouse-over a video preview on a music video/artist search?

I think the issue is caused by improper exception handling in the way that Bing's video preview tries to retrieve frames of preview thumbnails, but it can't find any for the source. The QA might not have caught it with a release version of Flash, but it's an issue for web dev's with the debugging version of Flash player. I know that Bing is in "preview" edition, but someone should file the bugs with Microsoft.

Why I Will Not Be Working at White Oak Technologies Inc.: http://www.washingtoncitypaper.com/blogs/citydesk/2008/08/08...

Caution: Personal bias stemming as a Chinese-born U.S citizen.

One reason for American dominance after WWII was that so much of Europe's manufacturing capability was destroyed by war. America has (about) the same manufacturing base as 2 years ago.

Currently, lots of U.S manufacturing, save for defense-related projects have been outsourced elsewhere (i.e., GM/Ford cars are only 50%, 60% made in the U.S; GM cars sold in China, are often assembled and with many parts made in a GM-Shanghai joint-venture factories; Pratt & Whitney and GE Aircraft engines out-source their engine compressors to low-cost developing countries such as Poland, etc.). Perhaps what's even more alarming, is how many industrial and high-tech companies have out-sourced their R&D to China: Intel, AMD, United Technologies, GM, MSFT all have R&D centers in Shanghai or Beijing. So Chinese manufacturing, on both low-end and high-end, I would argue is booming.

Another is the strength of American industry was fed by migration of farmers' sons and daughters into the cities .... they had a lot of practical skills

See cities like Shenzhen and Wuxi. Actually, the bulk of Chinese growth is attributed to a major migration of farmers' sons and daughters from in-land China to the coastal cities' huge factory complex. This makes for China's low-end exports. As for having practical skills, China pumps a great deal of math/science/engineering graduates, more per capita than U.S - a good percentage of whom would then later pursue post-doc or graduate work in the U.S/Europe. So I would argue, that Chinese human capital is also booming.

Finally there is the question of relative amount of freedom.

In absolute terms, yes, U.S enjoys more political, social and economic freedom. But I would argue, that Westerner's tend to overestimate the "freedom" disparity between themselves and other "authoritative regimes." In another words, U.S, IMHO is not a pure meritocracy either (corporate personnel is often determined via social connections or pedigree; political candidates are often chosen by back-room deals). Yes, there is tremendous room for China to improve on its human rights and political autonomy; but the whole Western democratic ideal/Plato's Republic is just another manifestation of the European "holier than thou" attitude, left over the colonial times.

Esplanade is also good for running too during the winter. Because if you are not dressed appropriately for the weather (i.e., in your running shorts), you are essentially forced to run the whole esplanade to keep warm 'till you get home.

Why do people like Kendall so much? Out of all the "squares" and neighborhoods in Boston, it sucks the most IMO. It's essentially the industrial park next to MIT.

If people are so inclined to be in the "tech scene", live in any other neighborhood, Porter/Davis/Central/Beacon Hill/Brookline/JP and take the T to Kendall if you have to.

Yes and no. Specialization is good for productivity on paper - but it breaks down horribly in practice. In programming, you may need to extend or re-write your framework or even web server's logic to scale your websites. In real-time trading systems and HPC programming, you need to have a good grasp of compiler and even kernel memory management to achieve low latency.

The analogy extends beyond programming to engineering/science in general. The field of molecular biology was formulated by quantum physicists interested in applying their experimental techniques in Biology. The new emerging field of Bioinformatics was conceived by statisticians and computer scientists to apply data mining techniques to genome data. Genome sequencing itself, is a blend of EE (taken from silicon waffer design) and molecular biology.

My opinion is that if everyone relegates to their own "tower," and aren't curious to drill deep into the bits of the other fields. There will only be incremental improvement to the existing towers, and no new towers. Hence the original author's point: kids are satisfied with interacting with technology on a superficial level (many in fact have a high level understanding of how cellphones work, cell phone gets signal from wireless tower), but they aren't curious enough to dig deep into the bits (program an Android game).