
Superalgos and the Trading Singularity - ciencias
https://hackernoon.com/superalgos-part-one-the-trading-singularity-6f66f419982f
======
westurner
Though others didn't, you might find this interesting: "Ask HN: Why would
anyone share trading algorithms and compare by performance?"
[https://news.ycombinator.com/item?id=15802785](https://news.ycombinator.com/item?id=15802785)
(
[https://westurner.github.io/hnlog/#story-15802785](https://westurner.github.io/hnlog/#story-15802785)
)

~~~
marketgod
I think there is value in a back-testing module, however, sharing an algo
doesn't make sense to me, until unless someone wants to buy mine for an absurd
amount.

~~~
westurner
I think part of the value of sharing knowledge and algorithmic implementations
comes from getting feedback from other experts; like peer review and open
science and teaching.

Case in point: the first algorithm on this list [1] of community contributed
algorithms that were migrated to their new platform is "minimum variance w/
constraint" [2]. Said algorithm showed returns of over 200% as compared with
77% returns from the SPY S&P 500 ETF over the same period, ceteris paribus. In
the 69 replies, there are modifications by community members and the original
author that exceed 300%.

Working together on open algorithms has positive returns that may exceed
advantages of closed algorithmic development without peer review.

[1] [https://www.quantopian.com/posts/community-algorithms-
migrat...](https://www.quantopian.com/posts/community-algorithms-migrated-to-
quantopian-2)

[2]
[https://www.quantopian.com/posts/56b6021b3f3b36b519000924](https://www.quantopian.com/posts/56b6021b3f3b36b519000924)

~~~
marketgod
How well does it do in production though and what happens when multiple algos
execute the same trades? Does it cause the rest of the algos to adapt and
change results? It makes sense to back-test together and work on it, but if
it's proven to work, someone will create something to monitor volume on those
trades and work against it. I'd be curious to see the same algo do 300% in
production, and if so, then my bias would be uncalled for.

~~~
westurner
> _How well does it do in production though and what happens when multiple
> algos execute the same trades?_

Price inflation.

> _Does it cause the rest of the algos to adapt and change results?_

Trading index ETFs? IDK

> _It makes sense to back-test together and work on it, but if it 's proven to
> work, someone will create something to monitor volume on those trades and
> work against it._

Why does it need to do lots of trades? Is it possible for anyone other than
e.g. SEC to review trades by buyer or seller?

> _I 'd be curious to see the same algo do 300% in production, and if so, then
> my bias would be uncalled for._

pyfolio does tear sheets with Zipline algos:
pyfolio/examples/zipline_algo_example.ipynb
[https://nbviewer.jupyter.org/github/quantopian/pyfolio/blob/...](https://nbviewer.jupyter.org/github/quantopian/pyfolio/blob/master/pyfolio/examples/zipline_algo_example.ipynb)

alphalens does performance analysis of predictive factors:
alphalens/examples/pyfolio_integration.ipynb
[https://nbviewer.jupyter.org/github/quantopian/alphalens/blo...](https://nbviewer.jupyter.org/github/quantopian/alphalens/blob/master/alphalens/examples/pyfolio_integration.ipynb)

awesome-quant lists a bunch of other tools for algos and superalgos:
[https://github.com/wilsonfreitas/awesome-
quant](https://github.com/wilsonfreitas/awesome-quant)

What's a good platform for paper trading (with e.g. zipline or moonshot
algorithms)?

~~~
marketgod
I disagree with price inflation just because everything is hedged, but it may
be true.

The too many trades is if there are 300 algos, and I look in the order book
and see different orders from different exchanges at the same price point,
then I would be adapting to see what's happening, not myself, but there are
people who watch order flows.

I don't paper trade, either it works in production with real money or not.
Have to get a feel for spreads, commissions, and so on.

Also, in my case, I am hesitant to even use paid services as someone can be
watching it, so most my tools are made by me. Good luck with your trading
though, if it works out, let me know, I'd pay to use it along side my other
trades.

