About Me and My Philosophy:
**Me at a recent wedding**
Hi! My name is David and I’m the guy behind TradeMyAlgos.com. I am a quantitative trading developer at a high frequency trading firm in beautiful South Florida. I research, develop, test, and implement my own, and some of my employer’s, algorithmic trading strategies using C++, Python, R, and even TradeStation’s EasyLanguage (like the algorithms on the website, TradeMyAlgos.com). Below is some information how I got started as well as some of my thoughts on trading, such as: what I’m researching, what I’m trading now and a few pictures of the smiles trading has brought to my life. It is always good to remember why we do this.
**some recent photos from a trip to Europe**
When I was younger, roughly 23, I luckily found the dream job of a life-time. I grabbed the opportunity by the horns, packed up all my things, and moved to South Florida in pursuit of a better career and life. This was all made possible by my boss and mentor (a life-savior and changer), a storied trader that has milked the markets for more than you could ever imagine. Working under my boss has provided me with one-on-one support from a trading genius. Prior to setting up his own shop, he worked at some of the most prestigious firms out there, for example, Salomon Brothers and Citadel. Under his direction, I have learned how to program, trade, think like the big guys, and compete with the algorithmic and HFT programs he helped design back in his Wall Street and Whacker Drive days. So my professional trading career has taught me the ways of the secret “market-maker” and highly tight-lipped HFT industry! So I won’t say a word – I’m sworn in. Here is a quick post explaining an example of high frequency trading (HFT) in the stock exchanges: HFT_Example_Blog_Post
However, don’t be mistaken by how easy this has all sounded; I could only wish my trading career was that simple. Honestly, I started like every other trader, reading thousands of books, studying millions of charts, pouring over every forum and blog, reaching out to people, and watching countless webinars. And just like everyone else, the growing pains were real. Everything I learned led me to make small sums of money, and eventually give back most of the money to the market, if not all, every time my strategy fell out of favor. At best, I was marginally profitable, but nowhere near the yacht, Lambo, or peace of mind I sought when I got into the business. So, let me tell you how my boss and new network of successful trader friends molded my thought processes and changed my life…
**a collage of my latest trip to Vegas**
My Basic Ideas Toward Trading
It is imperative to innovate and create. Every success in history (trading or other field) was preceded by innovation. In trading that could be as simple as looking at the data in a way that no one else does. That being said, creating your own techniques/indicators/data stands at the forefront of all that I do. At this point, it is mostly trivial to use popular technical analysis, OHLC, and volume data as textbooks, trading books, and websites would advise. Do you really think you can distinguish yourself from the big boys or come up with a new idea that has not already been thought of with all the artificial intelligence, machine learning, and computational power in the markets these days? I do not and that is why the first sentence of this paragraph should be tattooed on me!
If you do not believe me what does your PnL tell you? It took me a while to get over this thought: the pretty trend-lines, oscillators, and everything else only work marginally. The old cliché, “I would rather make money than be right” is very fitting here; at least it was for me. The market is always speaking to you, but are you listening? And are you listening to the correct things at the correct time? This is more advanced, but by creating your own data and indicators, and through relentless study, you will soon see how the market tips its hand ahead of re-pricing events. There are ways to KNOW what the market will do before it does it–at least probabilistically.
**some smooth equity curves trading just one contract, non-compounding**
Where Do Most System Traders Go Wrong
1. Static vs. Dynamic. Most traders do not adjust for shifting markets. For example, most of my consulting clients tell me they use a hard dollar stop like $500 per day. However, does $500 mean the same thing during the summer lulls as it does during periods of high volatility? Make your inputs or system characteristics dynamic and allow them to change as the market does; using the market as input to your model. Like I said it is always speaking to you!
2. Market Regime – what are the market conditions right now? Have we been here before? Is THIS market environment or set of conditions common place or not? What are your probabilities of some objective occurring given this set of conditions? How have they changed over time? What is likely to happen next given this set up/market conditions?
3. People think in paramters instead of non-parametric ways; although it is widely accepted market data is non-stationary and non-normal.
4. No risk:reward filter. I do consulting and programming for some firms and individual traders and often times they will forget to add a risk:reward filter even though they will admittedly use one when manually trading. Seems simple, but often forgot for whatever reason.
5. There are obvious pitfalls like over-fitting, back testing mistakes, design flaws, etc. but there are too many books on this topic for me to even waste my and your time. These are basic level mistakes with sufficient literature, in my opinion.
6. A lot of system traders never stress test their models. I don’t even mean out of sample data, but feeding it crazy data or bad data. For example, what if there is a wrong print at $0.01 or a negative price like $-55.75 from your data feed? Can your system withstand this? Does your system have protocol if data feed is disconnected? Again, simple but often overlooked for whatever reason.
**Example of an Email Alert**
What I’m Currently Trading/Researching
I’m currently trading a few high frequency strategies, the Algos on this website, as well as a few other intra and interday algorithms that range in frequencies from a few minutes to a few day holding periods. Of course I will manually hedge at times (i’m only human) and naturally keep a Stock Portfolio of investments. I believe manually hedging helps get to know how your system acts in real-time. It builds a connection that often cannot be found through the raw data, but propels emotions while in a trade. This has often allowed me to discover new programmable things to add to an existing model and improve its performance.
Currently, I am obsessed with how basic strategies interact with one another. For example, you have strategies A, B and C. What does it mean when A and C are long compared to when B and C are long or even when all three are long? How about when A goes long then B goes long or B goes long first then A goes long?
I am also fascinataed with different position sizing and leveraging techniques. I think this can really grow an account; even using the popular and “industry standards” such as optimal f and kelly criterion with certain limitations. Knowing when to bet and when to bet big have been life changing for me and my systems’ performances. However, they won’t help a subpar idea.
**Some pictures of the office**
Long-story short, many system traders struggle for the same reasons. I currently offer consulting services to assist with overcoming shortfalls, testing ideas, etc., but often find my client’s time to be too stretched to truly design a working strategy or set of strategies the correct way. That is why I created this site and offer subscriptions to some larger capacity trading algorithms I currently trade. If you have any questions about the algorithms, their performance, how I can assist you with your strategy development/implementation, etc. please don’t hesitate to contact me. I’m currently running FREE trials to both the Pro Elite Package (Investors) and Active Trade Package.
If I am not in front of my trading work space I’m at the beach – iPhone and iPad in hand I’m sure.
Thanks for taking the time to get to know me,
David – Founder of TradeMyAlgos.com