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    Automated Trading Needs

    I don't know if you necessarily are swapping IT costs for network admin and interprocess/inter-server communication. A year ago, maybe. But EC2 now allows you to use static IP endpoints, multiple locations, and persistent storage. Plus, since you use Xen machine images, you can also upgrade...
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    Automated Trading Needs

    I am starting to work on some strategies that would be trading markets in a fairly fast paced fashion 24/7. This means that my previous strategy of 'human back-up' will no longer work. I am in need of some serious advice, preferably from people who have experience with hardware systems for...
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    High Speed Trading Unfair To Retail Traders

    It's the same argument day-traders have been making for years when long-term investors ask "why do we allow them to exist when they seem to cause so much volatility?" But just like the investor who needs to get rid of shares quickly is glad day traders exist, day traders who need to get out of...
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    A move from XP to Windows 7, not so easy.

    7 is a fantastic system. You can get the release candidate, and a temporary activation key, for free from the Windows 7 homepage. If you have a spare box lying around, I highly recommend installing it. It seems very stable, looks good, and takes a lot of the features I liked on my Mac and...
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    The one thing I never understood...

    Off the cuff, you can normally identify diversity through: 1) Asset Class 2) Strategy 3) Time frame 4) Geography For example, a short-term reversion to the mean strategy running on US futures would be non correlated with mid-term break-out of chinese equities would be non correlated with...
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    The one thing I never understood...

    Well, this post is from quite a while ago ... but so far, my results have shown that this concept seems to work well. I don't even bother trying to figure out the market condition though. I just find a lot of uncorrelated (both mathematically, and fundamentally) systems that work reasonably...
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    Strategy Categories

    Hey all. I am working on diversifying my strategy portfolio to try to include a broad spectrum of strategy types. I am trying to compile a list of different categories of strategies and was wondering if you guys would chime in on anything I missed. -- Trend Following -- Reversion to the...
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    Will Google Chrome challenge Windows?

    And imagine that, the only word processing documents you will really have access to are ... Google Docs! How convenient. I think a lot of us saw this coming a mile away. There has been a lot of talk of Google trying to make the browser the new operating system, while Microsoft was trying...
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    What are your Trading Breakthroughs?

    Don't predict, just recognize change in behavior.
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    Multivariate regression library for C++ under Windows

    I second the recommendation for GSL.
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    Journey from investment bank to independent automated trader

    No, the point of a black swan is that most people don't think they exist, until they do. Taleb brings them up because just because you haven't seen one doesn't mean you won't. Just like seeing a chicken alive for 1000 days in a row doesn't mean the farmer won't cut its head off tomorrow...
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    Journey from investment bank to independent automated trader

    Or is that just a trend? :D I suppose the definition of a black-swan depends on your time-frame? A 20% drop in a day for a long-term trader is a black-swan. If I looked at a 20 year chart, would a 200% run-up in two years be a black-swan as well? Maybe it would...
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    Journey from investment bank to independent automated trader

    At least you can recognize the first point: the lack of black swans can be a black swan itself. And I don't necessarily disagree with your methodology or your reasoning behind it. But as Taleb would say, your personal results are nowhere near statistically significant. So even if you are...
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    Journey from investment bank to independent automated trader

    Perhaps you, yourself, have been fooled by randomness?
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    Journey from investment bank to independent automated trader

    But what HE is saying is that he is capitalizing on market microstructure inefficiencies, which only last a very short amount of time. In fact, he may take advantage of an aspect that only exists for a month or two before it disappears. If he is lucky, it will work going forward. In this...
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    Journey from investment bank to independent automated trader

    As long as he knows what his edge is, there are statistical tests he can perform to see if a <a href="http://en.wikipedia.org/wiki/Structural_break">structural break</a> has occurred... Carry on.
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    Spread/Pairs Trade Between ETF and futures

    This is why economists never pick up money from the ground. "If it was actually there," they claim, "someone else would have already picked it up."
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    High Probability ETF Trading

    List of trading strategies in the book, from Afraid To Trade blog: Introduction (Background) The 3-Day High/Low Method RSI 25 and 75 R3 Strategy The %b Strategy The “MDU and MDD” (Multiple Days Up/Down) Strategy The RSI 10/6 and RSI 90/94 Strategy An Introduction to TPS Think...
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    A stock trading system that works!

    What do you want us to discuss? You didn't really give us a whole lot of detail and didn't really post any questions for discussion...
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    The Ivy Portfolio

    Yale and Harvard got creamed in their non-liquid alternative assets. The basic idea was that by using alternative assets with 'stock-like' returns, they could further diversify their portfolio. Unfortunately, when correlation went up and they couldn't get out of their holdings, their...
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