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I'll probably open source a tiny part of my strategy backtester, just to have something to show to the corporate clueless if necessary. Anything beyond toy level / demonstrative purposes would be a net loss for myself.

I'm fine, just ranting :P

Well perhaps it made sense in the days of Linus Torvalds and later SourceForge which at peak popularity hosted some 200,000 projects. Today GitHub hosts 100,000,000 projects, so your identity was diluted a further 500 times! Think of that for inflation, in the days of SourceForge your identity...

Ok, there is some ambiguity in the described strategy. "if a profit target/stop loss has been hit." What target / stop? And "In addition, the trade will always exit at 2:30 Central time the day after its entered if the other 2 conditions have not yet been met." What conditions? But the thing I...

Allright, I'll code the strategy and run it in the backtester. May need some tweaking, we'll see. Hedging is paramount, I agree. From 2002 up until today. I do this sort of stuff for free or not at all, in your case the former :) Will be back with test results later.

It's statistical trading not HFT so it's correlated to the underlier. But I've designed it precisely with respect to a long position in the unnderlier such that: - makes more when underlier goes up - loses less or even stays profitable when underlier goes down This is because the target for...

Logically, producing a trading strategy (that makes money reliably) is a necessary condition to selling them. Now I'm starting to realize that there's "necessary" and then there's "sufficient". Like it took me =~ 15 years to complete the "production" step and come up with competitive trading...

Nowadays I see more and more job ads going like "we're looking for X (technology/systems/whatever) enthusiasts". It's no longer enough to apply to a job, you gotta enthusiastically apply to the job. "assembly line chicken plucking enthusiasts" "door opening enthusiasts" "lift button presser...

There are two steps in establishing a business: execution and selling. Execution is a sine qua non of the whole and may take years, yet it's at best 10% of the whole effort. I've pointed out before, there are 100 million executions on GitHub all worthless from a cas$hflow point of view. Selling...

Maybe later. That's something I haven't considered but will look into. There is a bit of paradox with trading strategies. Millions of people look for them and it's reasonable to conclude that the vast majority won't find anything worthwhile by their own, best they'll use some well known...

>> how profitable and stable are your strategies The default ones are standard stuff that you'd find about anyway since "everybody" knowns them. Think "the wheel". Since the strategy is well known, the qualities / disadvantages are also well known. Running such a strategy in an automated way is...

I intend to make the next step and turn what I have into a commercial product. In summary I wanna make money by selling / licensing trading strategies. The vehicle for doing so is the development and commercialization of a software for delivery of algorithmic trading strategies to paying...

Precisely. Writing something like "when condition met, trigger orders" is relatively simple. But handling error and marginal cases can get very complicated. Real orders especially large ones can be filled over time at different prices or only partially if the market moves away from your limit...

Aren't these already available, sort of, in the form of interest rate swaps? And need notionals in the $100MM to make a few bucks, since everything's near-zero when it comes to yield curve.

Like Caroy says, when you'll have this problem, you'll also know how to solve it :)

Strange thing to do, I don't see a point to it.

I started the post after a bottle of wine to get past initial inhibitions. Then since I was at it, moved to a sixpack of beers too, the 500ml version. Woke up in the morning with a horrible headache but at least content with the fact that I didn't open the second bottle of wine ... then I saw...

Covert trading strategies involving calls, definitely. In fact if someone has a very profitable trading strategy, they sometimes choose to keep it covert. This means they don't trade through a single broker so no broker has their full position. For instance if the wheel were a fantastically...

Just remembered something I've seen extensively in backtests and live trading with respect to stop losses. Especially live trading :) You buy some stock or ETF which "cannot fail" and it starts losing value. It drops 5%, 10%, 15% ... nerves get tense and it reaches 25% down from the point where...