Search results

Regarding the offer of implementation, testing, capital and trading of black box systems… Can someone use some of these services but not others? I.e. what kind of deal will you offer a black box designer who: 1) Has a diversity of profitable fully mechanical systems, each capable of...

I need to get a temporary replacement car ($5K budget), something for comfortable highway cruising. I've been checking VINs on Ebay motors. A lot of Ebay cars are recently acquired at traditional dealer wholesale auctions. Can anyone provide examples of wholesale auction -> Ebay...

The date range is 8/1998 through 7/2001 on about 300 CDROMs This data contains every trade and quote for every issue traded on the NYSE, NASDAQ and AMEX between 8/98 and 7/01. There is no survivorship bias. basic info: http://www.nyse.com/marketinfo/1022221393337.html retail pricing...

I agree with what you’ve read. An edge that exists across multiple markets is likely more robust and stable over time than a single market edge. Did all your initial testing and development involve that one market? Or did you test multiple markets and only find one that was profitable...

excellent advise!

Of course they will if they want capital badly enough and believe in their methods. A real time demonstration is a very small price to pay for capital. Then why bother test at all? I think the issue is validity of testing. Many don't know how to test properly. Then again many do. Disclosure...

By my calculations max drawdown is 29%. Non-compounded rate of return is 12.5% per month, 150% per year. Monthly compounding gives 389% per year. 1) Can de-leverage by a factor of 4 given enough capital and everything becomes quite reasonable. 2) Can always diversify between more systems...

There is no inherent need to disclose methods. He just needs to demonstrate real time results that are in line with historical (backtested) results. He can broadcast signals in real time over the internet. Perfect demonstration. So you admit you won’t trust us system designers, but you...

Excellent results! Do what you can to get more capital. Or if you can figure out how to lower your capital requirements it will let you delilver less risk for the same amount of capital.

8) Do your systems use constant size or variable size positions?

Sounds robust if all markets trade with the same parameters. I calculated your monthly Sharpe ratio as 0.68 which is excellent. Based on the smoothness of your equity curve on a yearly scale, a monthly or weekly Sharpe seems helpful to look at. Questions: 1) Is this a combination of...

Some people come up with great systems that by design require more capital, data or CPU resources than the designer can afford. Capital is especially critical when it is necessary to (1) trade futures, (2) diversify between 10 or more systems and (3) keep leverage under control. These three...

Everything I use is custom code, written in C and Matlab. Real time data is accessed through the IB TwsSocketClient API. There probably is 3rd party software to log real time L2 data. Sorry I don't know of any. I would guess that most who use L2 in systems write their own code to access it...

You should be able to log real time data for 2K stocks using Realtick over a T1 or from a co-located server, or maybe over a fast cable/dsl connection. I’m not sure having never done that many stocks in real time. You can also do an end-of-day download of Realtick ticks for between 8K and 10K...

I use pure Bid/Ask price levels and depth to simulate market orders. If you have bid/ask data, why use the last at all? The last price can be a very poor indication of the true market. It will lag in periods if illiquidity. Execution at the last is dependent on orders crossing the spread, and...

Ok. I understand now. Since your method is complex and can’t easily be automated, the trader must have enough discipline to follow the rules exactly instead of modifying them based on recent results. I hope you may find some automation or assistance to allow you to deploy more of your methods...

I agree on the first part. Doubt of one’s methods can kill profitability, either from lack of understanding, lack of discipline, or inability to handle drawdowns (financially or emotionally). I don’t understand your second point. Why is there any fundamental difference between manually...

And I kick myself for not automating my testing as efficiently as I do now. I'm testing some parameter aspects about 100K times faster now than one month ago. Why didn’t I do this earlier? Laziness… I wasn’t ready to take the plunge and rewrite 5K lines of code and implement a database to...

My input data is the entire message stream captured via the TWS API, compressed and logged to disk. This is converted or filtered in various ways. My indicators are all proprietary designs, mostly not connected or dependent on TWS or IB’s data stream. I originally used RealTick and NYSE TAQ...

Are you talking about spot checks? I sometimes verify backtested trades manually, kind of like spot checks. Mostly I run a 4-way automated verification on my systems. It works like this: 1) Optimizer backtests a few billion parameter combinations, reporting only daily PnL and # trades per...