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by martijn_himself 4021 days ago
Tangentially related question. As a relative newbie to (automated/ algo) trading systems, it seems most of posts here focus on systems that deal with large volumes of trades in very short timeframes.

I'd be interested in writing an automated system that would focus on trading (investing) over longer timespans (shares, options), with (average) returns. Are there any resources you would recommend to get into this? Or are automated systems really only employed in HFT?
1 comments
dagw 4021 days ago
What is a "longer timespan"? Minutes instead of seconds? Days instead of minutes? Month instead of days?

Automated trading systems only really make sense when you are trading a pace that is too fast for humans to reliably execute. If you have time for human intervention it is much better to produce a system that simply spits out reports and recommendations that you can act on (or not), rather than having a system trade automatically. If nothing else it can save you from losing all your money due to an unfortunate off-by-one error or something.

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martijn_himself 4021 days ago
In terms of timespan, I was thinking days/ months. So it would take the aspect of human intervention and analysis/ research out of it (perhaps the system could still prompt the user for input, the user would just not have to monitor markets and positions actively). I don't know if this makes sense.
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dagw 4021 days ago
The problem with most HFT/algorithmic approaches is that it relies on large volumes to make profits. If you're averaging a very tiny profit pr. trade (with a large variance) you're going to have to make a lot of big trades and be able to sustain large temporary losses to make money.

That's not to say that computer assisted trading isn't a good idea for smaller time investors, but the focus is on assistance, not automation. You can write models that produce a shortlist of stocks and options that match certain criteria and you can write risk and portfolio models that try to model what might happen if you add or remove a certain asset from your portfolio, then you can combine these and run some sort of optimization algorithms over the whole thing. But at the end of day, the choice should be made by a smart informed human and should be heavily biased by your reading of the news and other external sources.

All that being said, if you decide to go into this, approach it first as a hobby rather than a job, with the assumption and acceptance that most hobbies cost, especially in the short run. If you just want to do something smart with your money, buy some index funds.

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