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GTAT and LAKE are on the radar at the moment.

This is still a vol arbitrage strategy so you can't really say there's no prediction necessary. PNL seems to have some correlation with asset prices.

Not sure it's really possible to profit off of a random walk as it is technically both random and mean reverting. Free of friction I believe the pnl would be exactly zero

In my experience when you route to a dark pool they usually print finra adf immediately just like the lit exchanges.

All lot of retail bd's conflate data but it's is not exactly what you described. Conflation is when they send you data every say 100 milliseconds. So say 50 prints happen in that period of time, you get all 50 prints, but you don't get them until the data is distributed in 100 milli intervals...

The software is made in house. The whole market really isn't that big if you're ignoring illiquid and low range symbols. Usually 1,000 symbols at the most. The third segment was live trading (starting about 7 months ago until now) compared to the first which was backtest(24ish months starting...

I have no idea how many trades per individual stock. I'd bet there are a lot of symbols it has only traded once. I guess its more relevant in futures trading when people are looking at only a few markets, which behave very differently. Basically the algo watches the nearly the whole stock...

It's all intraday equities. I do think there's a lot of potential in swing trading though

Here's a pnl chart I thought I'd share. The first segment was the in sample backtest which the strategy was developed using(25 months). The middle was an out of sample backtest results tested after the majority of the curve fitting (2 months). The last is live trading for the past 7 months...

I understand where you're coming from but I feel like you are neglecting single names. Try adding something as benign as YHOO or WMT just to get some uncorrelated moves in your portfolio.

I feel like you should be trading less correlated assets. There's no reason to be trading both TNA, TZA or VXX, UVXY. Looking through most of the symbols on the bottom it appears as if most of what you are trading moves in lockstep with one another, most of which can be accomplished by just...

I think your question applies equally to automated/discretionary traders. They really aren't in a different position compared to discretionary traders. Everyone is going through the same process of analyzing the previous results, but with backtesting/automation it's a little more cut and dry...

Yes Dustin it's very beneficial to new guys. Our firm has put a handful of guys who new next to nothing about trading on backtesting software and they were able to create strategies that were/are profitable in live trading. I was skeptical of backtesting in general mostly because of what I had...

In my experience/opinion, no it's not a concern. Here's the scenario that CNBC is painting. The market is 10.05 x 10.07. You put in a market order to buy, expecting to get 10.07. HFT sees a print on the fastest exchange, buys all of the 10.07s and offers 10.08. You then get filled on one...

I figured you caught a piece of that one. Reminded me of CBE from last year.

All of the HFT is evil crowd was saying that the trades are actually front run. In my experience they just cancel their quotes at the other end points to avoid adverse selection rather than buy/sell ahead of you. But I don't know, maybe people who've never traded a share know what they're...

This strategy looks very much like a volatility trading strategy. Saying you're aren't trying to predict volatility is naive.

You shouldn't have been stupid enough to trust the software. It's not real until it's in propreports

We can get into more depth later but you are synthetically creating the pnl of volatility trades by adding convexity through layering into and out of positions. Your term, bias essentially refers to adding a delta component to your volatility bets. I do it and I've seen others do it all the...

Continuing the volatility arbitrage discussion... Never typed this out before, so my thoughts might be a little jumbled. Your basic strategy of layering bids and offers to capture these endless moves up and down is essentially a synthetic short volatility position. That can be concluded...