can `project_portfolio` be used for trading crypto?

[datatalking]

@joe-wojniak We worked together on mstables in the past and I've found a work around for morningstar data.

I see in your repo references to trading crypto, have you had this working in live trading or is this still sandbox only?

[joe-wojniak]

Thanks, Andrew- I've moved away from day trading and am using factor investing/trading. Coqueret & Guida's title Machine Learning for Factor Investing is pretty good but is based on R. Another side of finance I'm investigating is the fractal self-similarity properties of the time series. Paper attached.

This blog post provides code snippets that I've found to be useful: https://towardsdatascience.com/introduction-to-the-hurst-exponent-with-code-in-python-4da0414ca52e

-Joe W.

On Fri, Feb 3, 2023 at 8:53 AM Andrew Schell @.***> wrote:

@joe-wojniak https://github.com/joe-wojniak We worked together on mstables in the past and I've found a work around for morningstar data.

I see in your repo references to trading crypto, have you had this working in live trading or is this still sandbox only?

— Reply to this email directly, view it on GitHub https://github.com/joe-wojniak/project_portfolio/issues/1, or unsubscribe https://github.com/notifications/unsubscribe-auth/AEAV4CH6MGDG6JBXXHUPO2DWVUSXPANCNFSM6AAAAAARVT7ACI . You are receiving this because you were mentioned.Message ID: @.***>

-- -Joe Wojniak

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[datatalking]

Hi Joe, good to hear from you.

Getting into fractals is a deep deep dive, Benoit Mandelbrot’s work on fractals is legendary and we used many elements of his work on signals analysis for our clients. “How long is Britain’s coastline” and “Missbehavior of markets” are great reads.

https://users.math.yale.edu/users/mandelbrot/web_pdfs/getabstract.pdf

Factor investing is powerful stuff, and computationally heavy, are you also using a GPU?

The article you linked discussed the Hurst component which I though was already accounted for in RMSE or at least MSE calculations?

I’m semi fluent with R, but my mother language is Python and have been polishing my webscraping for global market data. A few years back I was a fund manager for seven years so I could help collaborate with you where I could. Or we could do a more private repo collab.

Sent from my iPhone

On Feb 3, 2023, at 8:17 AM, Joe W @.***> wrote:

 Thanks, Andrew- I've moved away from day trading and am using factor investing/trading. Coqueret & Guida's title Machine Learning for Factor Investing is pretty good but is based on R. Another side of finance I'm investigating is the fractal self-similarity properties of the time series. Paper attached.

This blog post provides code snippets that I've found to be useful: https://towardsdatascience.com/introduction-to-the-hurst-exponent-with-code-in-python-4da0414ca52e

-Joe W.

On Fri, Feb 3, 2023 at 8:53 AM Andrew Schell @.***> wrote:

@joe-wojniak https://github.com/joe-wojniak We worked together on mstables in the past and I've found a work around for morningstar data.

I see in your repo references to trading crypto, have you had this working in live trading or is this still sandbox only?

— Reply to this email directly, view it on GitHub https://github.com/joe-wojniak/project_portfolio/issues/1, or unsubscribe https://github.com/notifications/unsubscribe-auth/AEAV4CH6MGDG6JBXXHUPO2DWVUSXPANCNFSM6AAAAAARVT7ACI . You are receiving this because you were mentioned.Message ID: @.***>

-- -Joe Wojniak

CONFIDENTIALITY NOTICE: The contents of this email message and any attachments are intended solely for the addressee(s) and may contain confidential and/or privileged information and may be legally protected from disclosure. — Reply to this email directly, view it on GitHub, or unsubscribe. You are receiving this because you authored the thread.

[joe-wojniak]

Hi Andrew,

I'm trading a strategy that has promising backtesting results. I used the Hurst exponent to identify a time scale.

It'll be a year before I try to scale up to multiple positions.

It'd be great to stay in touch.

I've entered https://financial-competitions.com/ - it's amazing but that simple step changed my mindset. Kind of unreal and hard to explain.

-Joe W.

On Sun, Feb 5, 2023 at 1:35 PM Andrew Schell @.***> wrote:

Hi Joe, good to hear from you.

Getting into fractals is a deep deep dive, Benoit Mandelbrot’s work on fractals is legendary and we used many elements of his work on signals analysis for our clients. “How long is Britain’s coastline” and “Missbehavior of markets” are great reads.

https://users.math.yale.edu/users/mandelbrot/web_pdfs/getabstract.pdf

Factor investing is powerful stuff, and computationally heavy, are you also using a GPU?

The article you linked discussed the Hurst component which I though was already accounted for in RMSE or at least MSE calculations?

I’m semi fluent with R, but my mother language is Python and have been polishing my webscraping for global market data. A few years back I was a fund manager for seven years so I could help collaborate with you where I could. Or we could do a more private repo collab.

Sent from my iPhone

On Feb 3, 2023, at 8:17 AM, Joe W @.***> wrote:

 Thanks, Andrew- I've moved away from day trading and am using factor investing/trading. Coqueret & Guida's title Machine Learning for Factor Investing is pretty good but is based on R. Another side of finance I'm investigating is the fractal self-similarity properties of the time series. Paper attached.

This blog post provides code snippets that I've found to be useful:

https://towardsdatascience.com/introduction-to-the-hurst-exponent-with-code-in-python-4da0414ca52e

-Joe W.

On Fri, Feb 3, 2023 at 8:53 AM Andrew Schell @.***> wrote:

@joe-wojniak https://github.com/joe-wojniak We worked together on mstables in the past and I've found a work around for morningstar data.

I see in your repo references to trading crypto, have you had this working in live trading or is this still sandbox only?

— Reply to this email directly, view it on GitHub https://github.com/joe-wojniak/project_portfolio/issues/1, or unsubscribe < https://github.com/notifications/unsubscribe-auth/AEAV4CH6MGDG6JBXXHUPO2DWVUSXPANCNFSM6AAAAAARVT7ACI

. You are receiving this because you were mentioned.Message ID: @.***>

-- -Joe Wojniak

CONFIDENTIALITY NOTICE: The contents of this email message and any attachments are intended solely for the addressee(s) and may contain confidential and/or privileged information and may be legally protected from disclosure. — Reply to this email directly, view it on GitHub, or unsubscribe. You are receiving this because you authored the thread.

— Reply to this email directly, view it on GitHub https://github.com/joe-wojniak/project_portfolio/issues/1#issuecomment-1418258452, or unsubscribe https://github.com/notifications/unsubscribe-auth/AEAV4CB6EF77VYTQZUBQVHLWWAFJBANCNFSM6AAAAAARVT7ACI . You are receiving this because you were mentioned.Message ID: @.***>

-- -Joe Wojniak

CONFIDENTIALITY NOTICE: The contents of this email message and any attachments are intended solely for the addressee(s) and may contain confidential and/or privileged information and may be legally protected from disclosure.