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Jrinne
Re: Renaissance Technologies

Cary,

That all sounds right. “Fundamentals does get mentioned early but in complete isolation and dropped. I would not be sure that they used no fundamentals at all. News readers gets mentioned.

What was evident is that Frey used a lot of pair training and statistical arbitrage.

Part of the reason Frey’s model did not work was errors in the code. One error I remember was using a static number (no longer accurate) for the value of the SP500.

I just started the RIEF section.

The machine learning is interesting to me.

KERNEL regression is just nonlinear regression. There should be no debate about how that could be useful. And actually we know it was useful from the book. I can confirm personally it does just what the textbooks say it will do.

Has hidden Markov models been largely replaced by Deep Learning? I will defer on this.

The book should settle all issues as to whether statistics can be useful. I would be the last to force anyone to use it, however.

The SELF LEARNING ...That blew me away. Anything I would say would be speculation.

Very good stuff!! Thanks.

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 12, 2019 9:01:03 PM       
Edit 1 times, last edit by Jrinne at Nov 12, 2019 9:02:38 PM
mmasand
Re: Renaissance Technologies

Any one using Trade-Ideas Holly and has positive experience? They show a very smooth equity curve (eyeballing it looks Sharpe of 5 or higher)

Nov 12, 2019 11:20:15 PM       
Jrinne
Re: Renaissance Technologies

Any one using Trade-Ideas Holly and has positive experience? They show a very smooth equity curve (eyeballing it looks Sharpe of 5 or higher)


Trade ideas? Hell yea.

If you ever get the ability to use Python within P123 you should try Kernel Regression.

This is one way to address the nonlinearity in the data. Read the book if you are not sure about this.

De Prado also sees great problems with methods that do not address nonlinearity. His view is that these methods are DOA.

How much it helps will simply depend on how nonlinear the data is without any need to reference RT or de Prado for support, however. This is just common sense.

If you cannot, somehow, connect your data to Python then I cannot think of anything usable from the book.

Nothing usable other than knowing retail investors (clearly not pension funds as per the book) are their revenue source. We compete with RT. We compete for profit opportunities and sometimes we are their target.

The Medallion Fund was named because of the prestigious awards the mathematics Ph.D.s had received. In contrast some at P123 literally state the math cannot be useful. Somehow they know this and may never have bothered to calculate a p-value. The p-value guides every decision regarding methods at RT, according to the book.

Maybe RT will be proven wrong ultimately—although their results are not a strong argument against their methods. I am just saying their ideas do not transfer well to P123 at this time.

BTW, it is not just Renaissance Technologies. D. E. Shaw & Co does the same things. The same D.E. Shaw & Co. for which Larry Summers served on the board. The Harvard trained Larry Summers who served in the Clinton administration (US Secretary of the Treasurey), the Obama administration and the US World Bank. Whether these methods can work (or not) is not controversial--except at P123 it seems.

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 13, 2019 3:01:43 AM       
Edit 24 times, last edit by Jrinne at Nov 13, 2019 1:12:44 PM
wwasilev
Re: Renaissance Technologies

Any one using Trade-Ideas Holly and has positive experience? They show a very smooth equity curve (eyeballing it looks Sharpe of 5 or higher)


I think the question was in reference to https://www.trade-ideas.com

I tried it back in '16 and decided it wasn't for me as it seemed geared towards day-trading. But I didn't use their AI assist feature, just the screener. However, one investment Meetup member thought it was great and claimed to be making money from it. YMMV.

Walter

Nov 13, 2019 10:13:53 PM       
Edit 1 times, last edit by wwasilev at Nov 13, 2019 10:41:41 PM
mmasand
Re: Renaissance Technologies

Thanks Walter. Curious if anyone else at P123 is using it?

Nov 14, 2019 5:50:31 PM       
Jrinne
Re: Renaissance Technologies

Thanks Walter. Curious if anyone else at P123 is using it?

Yes thanks Walter. mmssand, my apologies for missing you point. I did not know Trade-Ideas was a Web site. Interesting and I look forward to responses. Sharing the thread with an RT concern….

Does anyone think that what we are noticing could be caused by RT, D.E. Shaw & Co. and others.

I know RT said their machines are seeking-out Dentists. While Eye Doctors were never mentioned as targets my paranoia has me wondering.

In other words, have the machines noticed what—we at P123—do in aggregate. Are we big enough for the machines to notice. If not, are we, Zachs, Quantopian and others big enough to be noticed by the machines and be targeted?

Not evidence, but the cyclical nature of this seems to have gotten better just at the time JudgeTrade, Yuval, I ,and others I think, have changed their algorithms. Or said so in posts (I just said so).

I have changed too: cutting the percentage and total amount invested in my ports mainly. So not a comment on how people should handle unexpected behavior in their ports. But just wondering if the machines might be adapting and moving to easier prey now—general surgeons are slow and are easy prey. There is a lot of money controlled by these firms: enough to be responsible for some of the cyclical nature of the market?

Just my paranoia perhaps and I have not even seen that new Terminator move yet!!!

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 15, 2019 9:25:12 AM       
Edit 8 times, last edit by Jrinne at Nov 15, 2019 10:08:52 AM
yuvaltaylor
Re: Renaissance Technologies

Excellent interview with Gregory Zuckerman, author of the book, here: http://blog.validea.com/five-questions-the-ma...t-with-gregory-zuckerman/

Takeaway for folks like us:

Greg: I think the lesson here is that you don’t want to compete with them [RenTech] and you can’t. If you’re going to do this, you can’t do it short term because they’ve mapped it all out. They’re aware of what the hidden patterns are. They take advantage of you when you panic and when you get greedy. But they have never been very successful as longer-term investors, even six months out, which would suggest to me that’s where people should be focusing on. You don’t want to be run over by them or competing with them. You don’t want to be on the other side of them at the poker table.

But when it comes to the longer-term kind of stuff, I do think that there are still opportunities. It’s also the case that reinforces that you want to find some niche. As you said, you can’t really get a competitive advantage, information advantage, broadly speaking. But I think that there aresmall approaches, small corners of the market. You know, let’s say you are, I don’t know, whatever, a biotech expert, you’re familiar with a product, you’re excited about a product, or you’re skeptical about a product that’s coming. The RenTech guys can’t do that stuff. They don’t try to do that stuff. And there’s still opportunities there. And different niches, distressed debt and others, where quants like RenTech can’t really play. I think that the largest lesson to me, be it for investors or just for citizens is the dangers of believing in stories, falling in love with stories, and the importance of at least having some rules-based system that you hardly ever veer off from. And an individual can do that too. As long as you develop a system that works and you stick to it, and that’s what they do too, this is a total reminder of the importance of that approach as opposed to decision making with your gut and with your intuition, which as you know, frankly is what they do in the White House and elsewhere. So to me, it’s a reminder of the importance of developing and relying on a system.



Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 4, 2019 4:44:52 PM       
InmanRoshi
Re: Renaissance Technologies

Thanks yuval. That was my take away .. I dont play their game, and I dont want to try. I have also heard it speculated that the real Ren Tech advantage is they were the first on the market of their kind so they came along early and got exclusive rights to proprietary datasets locked up on 100 year contracts. If there was just some sort of math or ML special sauce someone would have emmulated it by now.

Dec 4, 2019 7:30:41 PM       
sthorson
Re: Renaissance Technologies

There was a brief time in the early '90's where technology, computing power, was making a breakout. You had to be aware to see it. In my case I built boxes from scratch to stay ahead of the curve, Back then you could get an easy edge by accessing data downloads few others could get to.

I had a satellite dish which delivered tick data. I ran neural networks using software that was delivered on floppy drives. For several years there was a window where if you could stay on top of the technology breakout you had an edge,

RT was there at that time. If you read the book carefully you will learn that the seed capital came from a lucky bet in the futures market...

Dec 4, 2019 10:50:14 PM       
Edit 1 times, last edit by sthorson at Dec 4, 2019 10:51:22 PM
philjoe
Re: Renaissance Technologies

The book says they have achieved a 66% gross return, and somewhere else I saw they usually have 4-5x leverage. So does that mean they have an unlevered return of 16.5% and then levered up 4x to get 66%?

Dec 5, 2019 7:09:41 AM       
Edit 1 times, last edit by philjoe at Dec 5, 2019 7:11:25 AM
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