Friday, 28 June 2019
I’ve made 20% ROI in 6 months and lost it all in a single month. Then I lost 30% in 10 trades the following month. I’ve earned and lost thousands of dollars, almost blew up my entire account twice, 강원 랜드 배당금 got dozens of margin calls, tried multiple Machine Learning techniques, traded multiple markets, time-frames and instruments. I’ve made any possible mistake, but somehow I survived and learned a lot.
After 4 years in the Software Engineering industry, I realized my path was too predictable. I would always deal with Data Science related projects. Working in a small company, 강원 랜드 슬롯 머신 enterprise and a startup shaped my industry perspective but nothing was quite satisfying. My good old passion for Algorithmic Trading would never leave me alone. I wanted something else, so I decided to quit my Data Science career and pursue day trading for a living. Here is summary of mistakes I’ve made and how you can avoid them.
Machine Learning Hype
We have seen Machine Learning applications everywhere. The media loves it, people don’t understand it and investors call it “buzz words” because they will never get it. DeepMind’s AlphaGo progress is mind-blowing, 강원 랜드 슬롯 머신 이기기 and it’s only the beginning. I was always telling my colleagues that someday we will sit and think about Java classes as they appear in Eclipse in front of our eyes, and during our sleep time we will be injected with some books “read” like in The Matrix.
The problem with Machine Learning is that it’s very tough to apply in trading. It’s more of a filtering method rather than a decision making tool. Most of the paper trading tests will be awesome and will fail in real trading because they over-fit. You will fight it with cross validation and cherry pick the best models that performed best on out of sample, thinking you are safe, in a way adding bias and leaking data. This is not the way to do that.