Good news, 10th place and first place made essentially no progress in the past week. Hell yeah for the rest of us! Those top ranked people better turn their programs back on cause DT2009 has them in the cross hairs!!
Monday, February 9, 2009
IB Olympiad 2009 Day Twenty + Rankings
Closing Liquidation Value: $1,055,611.59 +$25,402.87 (+2.5%)
Good news, 10th place and first place made essentially no progress in the past week. Hell yeah for the rest of us! Those top ranked people better turn their programs back on cause DT2009 has them in the cross hairs!!
Good news, 10th place and first place made essentially no progress in the past week. Hell yeah for the rest of us! Those top ranked people better turn their programs back on cause DT2009 has them in the cross hairs!!
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5 comments:
Do you really think that these top 10 guys' programs are trading or they are manually executing their trades?
Hey Chintan, there is only one way to know and that's to be IB. In the past they have quietly removed players from the top ten (disqualified) at the end. I don't think they enforce the rules until after the competition is over so we will have to just wait and see who is in the final rankings that was not in the weekly rankings. If those people made truly "manual" trades (using TWS) they will get DQ'd. On the other hand, if they made semi-manual trades, that is wrote a line of code that said "BUY XYX calls." I'm not sure if IB can or will bust them.
Certainly the "spirit" of this competition is to have your program figure out what to trade and to autonomously trade it. Mine does that. But you have to wonder if some of these players who made 100's of % in a few weeks didn't just see BAC under 4$ and max out on BAC Feb 10$ calls then sell them a few days later for +300%. Or something of the sort.
One thing I am certain of, those returns are not sustainable in the long term. All of top tier competitors must have taken a huge risk that paid off, this time. Its far beyond Madoff to expect this kind of return consistently. IB had talked about factoring risk into the competition somehow but I imagine this would have been tough to fairly implement.
That being said, this year I am regretting to not have taken a much more aggressive posture just for the sake of the money. I already know my strategy works (see my returns the past two years), so I should have amped it up at the risk of quickly loosing everything (something I wouldn't ever do with real money). In other words, I feel like for this competition I should have been buying options instead of selling them. For no other reason than that I want the big $$$.
You are right.But I guess this kind of competition make no sense as they are not looking for people who can make money with good risk/reward controls but they want bunch of lucky guys who made big bets and got lucky.No Recruiter would like to recruit trading talent in this way so I guess IB is running this so they get popularity and they get good mouth to mouth publicity and their brokerage buisness may grow even more.Otherwise now a days every Brokerage firm offers APIs for trading.So its not a big deal.I guess we are just wasting our time in this kind of competition.I have made some "do or die" bets in FX with great leverage.As noone is going to know how an individual made money.I saw your past 20 days returns and your algorithm is great which I guess even can handle real money if it has good risk/reward ratio.But thats not made for IB.I guess its all about getting lucky in 8 weeks and cash in.
Major financial intstruments are so correllated and now a days markets are having lot of uncertainity.So I guess Long straddle might have been best bet.I saw you are short straddle and have made 3% but I guess that is very risky bet.Your Algo's view on market is neutral or it wants to make money by short vega?
Yes, my strategy is risky by most measures but not compared with the top performers in this competition. I basically short volatility in equities with outlying vega. You could argue that my program has a slight bias towards going long since vega tends to spike most on the downside. In practice there is no bias because stocks go up and down even if they have high implied volatility from a significant downtrend. What can be said is that my program usually gets involved with stocks near their 52 week lows, but it does so both ways. My hope was that it would be market neutral but it hasn't quite played out that way.
Personally I think this competition is more about the experience of building an automated trading system from the ground up. The money is nice if you get lucky or if you really know how the markets will behave during the competition and you develop an aggressive strategy around that.
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