Search results

any SIG ex trader shares your experience?

You hold the future for days? I am building my system for day auto trade future, have very few stocks now.

http://www.alexa.com/siteinfo/elitetrader.com still ranked around 20000 in the whole world which is very high, but I don't see there are any active area in ET. I think this "Trading" area is the most popular already, but still only like 5 replies/posts per day.

Very good post

Hi acary, I have read some of your posts and you are extraordinary. May I ask you some questions so I can work on my research in the right direction while all of us can learn something from you? I plan to do some backtests base on the coding in the book "Cybernetic Analysis for Stocks and...

sounds good, thanks!

I use either Java or C#.

For backtest, we can put all historical data in a big array, or having separate array to store start end start close column. Which method would let the backtest runs faster?

For personal level, you can increase the speed by buying better hardware.

Only HFT speed would request C++.

No one suggest Java? IB basically only really supports Java socket.

I like to build a hardcore one.

talk and think about what is a possible way is a step before real back test right? Most of these like it takes so much money to have a stats arbit trade is true even without backtest it.

I think about it and have this conclusion at this moment: Statistical arbitrage: pro: -normally and theoretically more reliable than momentum way, of course how much more reliable would be case by case. con: -Request multiple futures like 10 contracts to create a true pair trading...

Do you build android or iphone app? Financial lucrative developer is high stress long working hours high pay job comparing to other IT jobs, well it is very excited if you like it. Better to be not married and no kid LOL.

Sound like you are much more into programming than trading strategies:D :D :D May be getting a developer job in Investment bank is your real interest:).

Thanks for your detail, but normally (1) is really more reliable than (2), but it is hard for an individual to do (1) with multiple future contracts. Even with mini futures, normally it really needs like 10 mini futures in market at the same time to create a pair trading.

May be it would be so hard to build a live trading system with these uncommon languages. Do you have strategies on hand? The strategies are still the cord part. I think for backtest/live trade system, just pick a way to build it in shortest time is the key if making money is the goal.

No, these two can be comparable if we only consider these two factors: statistical arbitrage should be more "safe" statistical arbitrage has higher winning % but momentum like trend may has a home run kind of win sometimes while statistical arbitrage doesn't suppose to surprisingly win...

Base on my understanding, institutional HFT would have setup like this: front: C# middle: Java Backend: C++ a very well–turned Linux would let Java little bit faster than C#, while C++ faster than both C# and Java. In a default retail windows, C# would be faster than Java or C++. C#...