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What's the economics of such a prop-shop? I mean, how much capital do I need to set up a prop-shop... and how much money I can make annually? (assuming I hired a bunch of loser traders)... Any insiders please shed some lights on the business model? I am seriously thinking of...

Sometimes their strategies don't have obvious numerical parameters. For example, they take NASDAQ 100 index, and change the weights of the index constituents, based on some sort of fundamental reasoning... and the result is much better than NASDAQ 100 index. Such a strategy doesn't really...

Of course they all claim that their strategies are based on fundamental reasons. And why is this: "Also look at the distribution of your pf. If the distribution isn't stationary you can get back to work"? Could you please elaborate?

What's special about commodity market?

Please don't take my "curve fitting" narrowly... How do you exploit dependencies? Using statistical data-mining, right? Then you have the danger of over-fitting...

Heard that Renaissance Technologies never hire people having Wall Street experiences... and all they hire are quants. So they are not fundamental traders. Their trading strategies are not based on fundamentals... instead, they are based on statistics... Therefore, they must have a lot...

Hi all, Suppose somebody comes to you with a strategy and with backtest results. The Sharpe ratio is good and the cumulative PNL curve looks great! But you are concerned that there might be too much data-mining/overfitting... How do you evaluate the degree of data-mining/overfitting...

Okay, we had previously already something in existence... so we went our own route. Lets not dwell on which platform to use, etc. Lets focus more on process/procedures/controls, etc.

If something goes wrong, you call those people? We of course need an in-house solution...

Thanks for the good point! We are thinking of more detailed processes/procedures, such as time-shifts for human monitoring, etc. Any thoughts/

Of course we have that. And we wanted to focus on project-management/processes/critical components about building a bullet-proof system. Any pointers? Thanks a lot!

Hi all, My friends and I have been working on building a robust automated high speed (but not super high frequency) trading system/platform. In our production test trades, we were able to buy but we couldn't sell... obviously this was a bug and although we fixed it timely we still lost...

long history and good quality for options on futures?

So the question is where to find long history of intraday data...

Hi opt789, Thanks for your invaluable contribution to this thread as a former options MM and then firm trader. It's great to have you here! I honestly admit I don't know much about options, other than a few real money trades. But when I tested a bit, I found the bid-ask spread is so...

At EOD, the spreads of options widen to a ridiculous level such that the backtest is unreliable. But we can use EOD bids and asks for first-pass tests. And then, intraday tick data will be used, but not for the purpose of high frequency trading of options. So probably a good way to go is...

How far back data does ToS have?

Yeah, that's because you are talking about the equity space... while I am thinking of FX and futures... and I will start with 1 or 2 underlying... We start simple, and later we can add a good DB. So what's a good alternative data source to BB?

At closes, MMs tend to widen their bid-ask spread, so close bids and close asks are unusable. I have a few strategies that look good using last trade prices or mid-prices, but then when I tried on real bid prices and ask prices, the results were disappointing...

Bloomberg?