Wouldn't framing this problem as a reinforcement learning (RL) task be more fitting than using LSTM or other predictive models? The challenge lies in determining the appropriate output (target) for the LSTM (tomorrows increase? next week? next month?).
Your videos are great but one question remain, you are a DSP proffessor, how is it that you are not super rich if you could even get 51% success constantly ?
This questions gets asked all the time, so I will entertain it here. First of all, being "rich" in the sense of the balance of your bank account (which is what you mean) is really a narrow-minded and sad perspective of the word "rich". I will not get philosophical here, but there are so many aspects of life much more important and meaningful. Second, my personal finances are just personal. Third, finally getting to the answer you were after, let's do a simple calculation. Say you can save X dollars in one year, after having paid all your daily expenses (rent/mortgage, food, taxes, utilities, medical expenses, kids' expenses, etc.), and fully invest it in your fantastic trading strategy. Further suppose you can make a profit of 25% per year with that amazing trading strategy. Then it would take you roughly 3 years to earn an additional X from the strategy. After that, it would take you roughly 2 more years to earn another X. That puts you already 5 years after your initial investment. Have you become rich after 5 years trading? Not really. You simply have been able to earn some kind of extra salary on the side. You still cannot even quit your job. The only way to really become rich, apart from having a good strategy with an acceptable profit, is to have a huge initial investment. So you basically you need to manage other people's money. At this point, not only you need to keep your original job while you do this trading job on the side in your free time, but you also have to do PR among potential rich investors to raise the initial capital. I hope my answer sheds some light.
@@danielpalomar thank you for your answer, but i find it far from reality. I have free 80k to invest, and having free 50k to invest is not rare these days. If you have a winning strategy, even a small one, you should be able to make 10% a month ( since you can send many requests with 0 commission using API), that means 8k a month. Even 4K a month with 5%. Now, claiming that money is "not everything in life" has 0 new information here, because money indeed is not everything, but having 10k a month without spending TIME, gives you freedom to do what YOU see as important. There is something about academic that rub people's mind by teaching them to sort of "hate" money, not understanding that money is energy to do what they find important. If you heard about a DSP expert named Nir Kalkstein, he built algo company named Final, using DSP they know from Engineering, and the company made 1M$ a day for 10 years. He became a multi billionair, and today he uses the money to built more medical companies that predict diseases and bring value.
@@rantg Let me try to address some of your unrealistic points: 1) Having a strategy that makes a consistent 10% a month is science fiction. The best hedge fund in history, Renaissance Technologies, with its top fund Medallion, can provide about 40% per year (per month it would be less than 3%). For details, see en.wikipedia.org/wiki/Renaissance_Technologies. 2) Executing orders is not for free at all. There is something called transaction cost (fees plus slippage among others) which can easily eat any profit. 3) Running a strategy definitely requires time. The idea of having a strategy that runs itself without constant work refining it, adapting it, fixing it, improving it, etc., is again science fiction. Hope that helps.
@@danielpalomar Thanks again, the way you speak by the way is very fascinating. I guess it would be hard for you to believe a random guy online but, 1. Using Crypto instead of stocks, there are MANY that have 10% a month these days. I talked with many that provide salary to their families for months now, since crypto is much more volatile. 2. Transaction fees are 0. Companies like Alpaka, and even IB, provides 0 commission. I use them personally and pay 0 for buy/sell. 3. I made 300% just by trading manually in the past 3 years. I know, there is no real statistical proof here, but still, intuition cant be measured on historical data to proof strong Sharpe. I also made 7% a month using a not complicated algorithm in Python for a few months in a row. Again, might fail next month, but still. 4. As you said in your lecture, those who makes money will never tell you. I suggest you read about Nir Kalkstein, a secretive hardware engineer that made 4 billion out of thin air. This is not using only DSP, but machine learning and data sceince. 5. The word "algo-trading" would not even exist if the maximum possible is 3% a month. Thank you for your time, if I where you with all this knowledge, I would put all my efforts to come up with a Python bot. I only have B.S.c Thank you again ! you are great. and good luck!
@@rantg The crypto market is still an emergent market with a huge volatility and indeed it is possible to make huge returns, as well as huge negative ones (like most traders during the past week). In fact, if you choose the right moment, just using buy&hold with btc (or some other alt coin) is enough to make huge returns, so I definitely believe that you have made 300% or more. No doubt about that. But this is not the same as saying that one has a consistent strategy that will endure bull and bear markets (risk control is key in this sense) like Renaissance Technologies has. And, by the way, one always has transaction costs. A big part of it is slippage. Even if your exchange doesn't charge you fees, you will most likely pay even more indirectly in slippage. Be careful with that. Many experience traders will warn you to avoid such presumably zero fees. Nothing is free in life. Having said all that, I am happy you are enjoying the emergent and volatile crypto market. It is indeed a fascinating area with so many things to learn. Keep it up!
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Wouldn't framing this problem as a reinforcement learning (RL) task be more fitting than using LSTM or other predictive models? The challenge lies in determining the appropriate output (target) for the LSTM (tomorrows increase? next week? next month?).
Too bad there is no sharpe ratio of the RNN/LSTM
Your videos are great but one question remain, you are a DSP proffessor, how is it that you are not super rich if you could even get 51% success constantly ?
This questions gets asked all the time, so I will entertain it here. First of all, being "rich" in the sense of the balance of your bank account (which is what you mean) is really a narrow-minded and sad perspective of the word "rich". I will not get philosophical here, but there are so many aspects of life much more important and meaningful. Second, my personal finances are just personal. Third, finally getting to the answer you were after, let's do a simple calculation. Say you can save X dollars in one year, after having paid all your daily expenses (rent/mortgage, food, taxes, utilities, medical expenses, kids' expenses, etc.), and fully invest it in your fantastic trading strategy. Further suppose you can make a profit of 25% per year with that amazing trading strategy. Then it would take you roughly 3 years to earn an additional X from the strategy. After that, it would take you roughly 2 more years to earn another X. That puts you already 5 years after your initial investment. Have you become rich after 5 years trading? Not really. You simply have been able to earn some kind of extra salary on the side. You still cannot even quit your job. The only way to really become rich, apart from having a good strategy with an acceptable profit, is to have a huge initial investment. So you basically you need to manage other people's money. At this point, not only you need to keep your original job while you do this trading job on the side in your free time, but you also have to do PR among potential rich investors to raise the initial capital. I hope my answer sheds some light.
@@danielpalomar thank you for your answer, but i find it far from reality. I have free 80k to invest, and having free 50k to invest is not rare these days. If you have a winning strategy, even a small one, you should be able to make 10% a month ( since you can send many requests with 0 commission using API), that means 8k a month. Even 4K a month with 5%.
Now, claiming that money is "not everything in life" has 0 new information here, because money indeed is not everything, but having 10k a month without spending TIME, gives you freedom to do what YOU see as important.
There is something about academic that rub people's mind by teaching them to sort of "hate" money, not understanding that money is energy to do what they find important. If you heard about a DSP expert named Nir Kalkstein, he built algo company named Final, using DSP they know from Engineering, and the company made 1M$ a day for 10 years. He became a multi billionair, and today he uses the money to built more medical companies that predict diseases and bring value.
@@rantg Let me try to address some of your unrealistic points:
1) Having a strategy that makes a consistent 10% a month is science fiction. The best hedge fund in history, Renaissance Technologies, with its top fund Medallion, can provide about 40% per year (per month it would be less than 3%). For details, see en.wikipedia.org/wiki/Renaissance_Technologies.
2) Executing orders is not for free at all. There is something called transaction cost (fees plus slippage among others) which can easily eat any profit.
3) Running a strategy definitely requires time. The idea of having a strategy that runs itself without constant work refining it, adapting it, fixing it, improving it, etc., is again science fiction.
Hope that helps.
@@danielpalomar Thanks again, the way you speak by the way is very fascinating. I guess it would be hard for you to believe a random guy online but,
1. Using Crypto instead of stocks, there are MANY that have 10% a month these days. I talked with many that provide salary to their families for months now, since crypto is much more volatile.
2. Transaction fees are 0. Companies like Alpaka, and even IB, provides 0 commission. I use them personally and pay 0 for buy/sell.
3. I made 300% just by trading manually in the past 3 years. I know, there is no real statistical proof here, but still, intuition cant be measured on historical data to proof strong Sharpe. I also made 7% a month using a not complicated algorithm in Python for a few months in a row. Again, might fail next month, but still.
4. As you said in your lecture, those who makes money will never tell you. I suggest you read about Nir Kalkstein, a secretive hardware engineer that made 4 billion out of thin air. This is not using only DSP, but machine learning and data sceince.
5. The word "algo-trading" would not even exist if the maximum possible is 3% a month.
Thank you for your time, if I where you with all this knowledge, I would put all my efforts to come up with a Python bot. I only have B.S.c
Thank you again ! you are great. and good luck!
@@rantg The crypto market is still an emergent market with a huge volatility and indeed it is possible to make huge returns, as well as huge negative ones (like most traders during the past week). In fact, if you choose the right moment, just using buy&hold with btc (or some other alt coin) is enough to make huge returns, so I definitely believe that you have made 300% or more. No doubt about that. But this is not the same as saying that one has a consistent strategy that will endure bull and bear markets (risk control is key in this sense) like Renaissance Technologies has.
And, by the way, one always has transaction costs. A big part of it is slippage. Even if your exchange doesn't charge you fees, you will most likely pay even more indirectly in slippage. Be careful with that. Many experience traders will warn you to avoid such presumably zero fees. Nothing is free in life.
Having said all that, I am happy you are enjoying the emergent and volatile crypto market. It is indeed a fascinating area with so many things to learn. Keep it up!