

Show HN: EDW, quantitative analytics, machine learning. - a904guy
http://blog.mediafederation.com/andy-hawkins/the-edward-worthington-project/

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aothman
Looks impressive, particularly if those are real trading results.

One concern I immediately have is overfitting, particularly for claims about
how various difficult values have been optimized to be the "best possible". It
looks like the parameter space in use is truly enormous and so it would be
very easy to come up with hypotheses that perform fantastically on your
dataset but terribly in real life. This seems like it would be a first-order
concern, while the ability to run tests in a single day seems second-order if
those tests are producing garbage outputs.

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joshu
I accidentally down voted but meant to up vote. I agree.

Also, this appears to have no risk-oriented portfolio construction. You are
calculating alphas somewhere, right?

(not to belittle this or anything. I'm just not a big believer in technical
analysis, which is what this feels like. You should apply this kind of focus
to real stat arb.)

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cschmidt
Looking at the web interface, it is claiming a 92% success rate on trades.
That clearly indicates to me that those results are "in-sample". In other
words, the model was trained on some data, and then backtested on that same
data. In-sample results are essentially worthless. I used to work for a quant
hedge fund, and at least on daily trading, you could have great results with
60% correct. There's no way you can have 92%.

Finding a useful financial signal is not primarily a search problem through a
giant space of potential indicators. It is all about controlling for
overfitting, and ensuring that the signal continues into the future. Also, I
saw no mention of transaction costs for the trading strategy, which can often
turn a great strategy into a money losing one.

~~~
ajays
Yep, it's the same thing as "testing on the training set". With memorization,
one can achieve almost 100% on the training set. I'm not saying that EDW is
doing this, but I'd be very surprised if they could get 92% success rate on
real, unseen, test data. Heck, most Wall St companies would _kill_ for
anything in approaching 60%.

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benmccann
Why don't the values for year-to-date and month-to-date match? Is it a fake
mock or a bug?

Why is Liquid Equity significantly greater than Account Value? Is it another
fake mock thing or are you currently employing a leverage slightly greater
than 3x?

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copper
Since this article doesn't mention it clearly, the demo is really nice, and
worth a look: <http://edwardworthington.com/>

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michael_dorfman
Based on the headline, I was really expecting a post explaining that edw519
had been silently replaced by a bot for the past few weeks, and that we've all
been participants in a Turing Test.

For a moment there, I was seriously impressed.

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ajays
This looks interesting. Even though it's closed-source, the architecture is
interesting.

As an amateur, I'm always stymied by the lack of data. For intra-day trading,
where do you get the data?

~~~
copper
Isn't that data available if you're willing to pay enough for it? For example:
<http://nseindia.com/content/research/res_histdata.htm>

~~~
ajays
Anything is available if you're willing to pay enough for it... ;-)

As an amateur, the "enough" in the above statement is close to 0.

Plus, I don't know what I'd do with NSE data. I'm looking for NASDAQ/NYSE
data.

~~~
joshu
What about EOD only? Iirc mildew was only a few hundred a month.

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gaspard
Applying these engineering forces to build a huge "casino winning" software is
a waste. What happens if it works ? We have the over-super-rich who can build
and maintain such machines that get richer and the rest of us with debts and
taxes. I hope such experiments accelerate towards a Tobin tax: fast
speculative machines (nanotrading) will just die away and we will get back to
"investment" based trading not casino.

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b0b0b0b
When modelling hypothetical trades do you account for slippage and transaction
costs?

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spitfire
If you look at his P&L sheet he has some largish drawdowns, with a lot of
neutralish trades. I'd prefer to see smaller, but more consistent wins.

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chr15
Is this still how it works? <http://news.ycombinator.com/item?id=1946902>

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chopsueyar
Can anyone comment on their experience with OptionsHouse?

