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Thought I'd share some more about this. Here is a high level view of the sequence of events. Next time I'll post the architecture, as in what services do these things and what platforms and tech I am using. To remind you, this is my attempt to build a backtesting and automated trading system...

Thanks shriekpurser. I hope myself and maybe others can learn something from it. If only what not to do!

Hi cafeole on your rec I just listened to a podcast interview with him - seems worth paying attention to so I'll get that book. Thanks.

Thanks HobbyTrading. Just so I understand it right, do you mean you generate signals to trade based on EOD from the previous trade day, and you buy the shares the next day just before close? Or are you just talking about rebalancing position sizes?

Right I haven't got to the order handling yet. Mainly because I haven't found the right broker. No rush though because I have a whole heap of strategy backtesting to do. After that ideally I will have a broker with an API that hooks you up to a paper trade account. Interactive Broker is the most...

Interesting fan27. So what was the problem with your DIY efforts? Too much maintenance? Or not enough flexibility? Also, 2003 - presumably you were running it off your own on-prem kit? Did you try doing stuff later in the cloud?

Thanks Dazz. I'm not looking at ready made systems, I just want to build something for myself. Like I said, it's helping me to learn this whole area from the bottom up. It may turn out that I don't end up using what I'm building - I'm enjoying the process anyway.

Anyone heard of Talend? It's an open-source java-based data manipulation tool and I'm using it to build a trading system. I have messed around with python for a couple of months but just don't click with it, especially when I know how easy it is to code EXACTLY what I want from scratch. Also I'm...

Hi Mark Brown. Re your volatility comment, do you mean perhaps a look at the volitility of the index might be a better regime check than average price?

Hi all. Do you guys put a regime filter in your algorithms? I looked into this, with the idea being to avoid the damage of bear markets. The most common one I see is "if the SPY price < its 200 day moving average, bear market. No trading!" But when I run it in backtest it peforms poorly compared...

So ETFs are comprised of a basket of stocks representing an index. So the price of the ETF is meant to reflect the index. Does how does volume affect the price of the ETF? E.g. if no one trades the ETF for several weeks, but there is plenty of trading of the underlying stocks, does the price go...

Thanks for the replies. To be fair I have not got around to the testing bit. I need to dig a lot more into the weeds. I have been using ProRealTime so far but can't really see what value the backtest thing has. Looking into QuantConnect now.

Hi. If I trade stocks based on EOD data and I want to post a trade for the next day, should I wait until the market opens before doing this? I *think* so, because the price could be subject to overnight adjustments (are they always to the downside?) But are there other reasons? Basically it's...

What setup did you end up going with CocaColaKid?