Professional Documents
Culture Documents
Quantitative Finance
Sign up
Anybody can ask a question Anybody can answer The best answers are voted up
and rise to the top
But until now it seems that, at least at the intraday level, the
market is just a stochastic process! I have also read a few
articles available online and found a couple of errors on them
(using lagged data or indicator values, for example), which leads
me to believe that most of the literature is just junk, I mean it's
impossible if everyone that tries to create a trading algorithm
that generates positive returns is successful, right?! I won't even
talk about the ridiculous articles using technical analysis with the
supports and resistances, I generated a Geometric Brownian
Brow
Motion plot and I also see those hypothetical supports and
resistances, but there is no rational behind them, just people's
imagination of things that don't exist.
brow
brownian-motion algorithmic-trading machine-learning stochastic
U
https://quant.stackexchange.com/questions/25176/is-it-really-possible-to-create-a-robust-algorithmic-trading-strategy-for-intrad 2/8
11/5/2018 brownian motion - Is it really possible to create a robust algorithmic trading strategy for intraday trading? - Quantitative Finance Stack Exchange
Users exploitable by any individual investor. In any case I think your
question is offtopic here. – phdstudent Apr 1 '16 at 11:53
Unanswered
I'm not expecting people to post their strategies here, I'm just curious
If the research I'm doing is worthless or not! I hear that there are
hedge funds using these types of algorithms but I've never seen/read
anything in detail... – user3142983 Apr 1 '16 at 11:57
1 Yes, they use. But at such high-frequency only computers can trade
in a profitable way. So for you is pretty much worthless. You are
better off in finding a strategy for the long-run. Read about Navinder
Singh Sarao and also why you will never beat the trading algorithms
of wall street:
telegraph.co.uk/finance/newsbysector/banksandfinance/10736960/
…' – phdstudent Apr 1 '16 at 12:00
3 Answers
Geometric Brownian
Brow Motion (GBM) will not typically work to aid
one finding strategies based on technicals, as the pursuit of the
technical trader is to find market deviations from a random walk.
https://quant.stackexchange.com/questions/25176/is-it-really-possible-to-create-a-robust-algorithmic-trading-strategy-for-intrad 3/8
11/5/2018 brownian motion - Is it really possible to create a robust algorithmic trading strategy for intraday trading? - Quantitative Finance Stack Exchange
Note:
By using our site, you I'm not suggesting
acknowledge they
that you have use
read and"technicals" in the typical use
understand our , , and our .
of the word. They might, or not. I've no idea what they use, but I
https://quant.stackexchange.com/questions/25176/is-it-really-possible-to-create-a-robust-algorithmic-trading-strategy-for-intrad 4/8
11/5/2018 brownian motion - Is it really possible to create a robust algorithmic trading strategy for intraday trading? - Quantitative Finance Stack Exchange
Thanks a lot for the answer and for the link, I really enjoyed watching
the talk! This was what I was looking for. Based on the talk I suppose
they use a lot more than just technicals and fundamentals, they were
talking about the weather and other date, basically they try to
incorporate all the information that may influence human errors or
judgement decisions. Now it starts to make sense ;) – user3142983
Apr 1 '16 at 23:24
My pleasure, I'm pleased you enjoyed it, and I for one would be
fascinated to see your thesis! Good luck with it, and may you find
some non-randomness ;) – Steinwolfe Apr 2 '16 at 2:16
https://quant.stackexchange.com/questions/25176/is-it-really-possible-to-create-a-robust-algorithmic-trading-strategy-for-intrad 5/8
11/5/2018 brownian motion - Is it really possible to create a robust algorithmic trading strategy for intraday trading? - Quantitative Finance Stack Exchange
KarolisR
563 1 3 14
Thanks for the answer, I'll read the article it seems very interesting!
Sorry I can't up vote yet... – user3142983 Apr 1 '16 at 23:30
I have been through your confusion myself for the last five
years. Until recently, my account started to get some consistent
performance.
I hope this can shed some lights to people who are still
struggling alone.
Thank you very much for your answer, it seems like I'm going
through the "normal" path to finding a profitable trading
strategy/model since I'm almost 2 years into this. As you said
sometimes It's a struggle and seems that the market is just pure
randomness but I've recently developed a very promising asset
allocation (and stock picking) model that beats the benchmark index
every year so I'm starting to see the light! I'm still struggling with the
By using our site, you acknowledge that you have read and understand our , , and our .
https://quant.stackexchange.com/questions/25176/is-it-really-possible-to-create-a-robust-algorithmic-trading-strategy-for-intrad 7/8
11/5/2018 brownian motion - Is it really possible to create a robust algorithmic trading strategy for intraday trading? - Quantitative Finance Stack Exchange
trading model itself, I think that if I could join both models I'd have a
winner! – user3142983 Dec 19 '16 at 10:14
By using our site, you acknowledge that you have read and understand our , , and our .
https://quant.stackexchange.com/questions/25176/is-it-really-possible-to-create-a-robust-algorithmic-trading-strategy-for-intrad 8/8