a beginning -

Maureen · Feb 13, 2006

Hello everyone. I've been lurking on these forums for a few days and I'm trying to digest as much as I can.

I have a few questions about writing code that applies trading strategies. I have a long way to go. Have to start somewhere.

What I want to know is:

1. Has anyone used TradingApp during their first steps? (I hesitate to use TradeStation/EasyLanguage because it doesn't seem to be very transparent: no source code or anything, plus I am handy with C++)

Do you know of any other tools that are open source that have a decent GUI front end and plug-in architecture?

2. Are there any good books on statistics as they apply to trading stocks? I am trying to formulate my own strategies and I find that my stats background is weak. I assume I should find a good C++ stats library and try to use some techniques on Yahoo data to get going....right? Or are there better approaches?

3. While I am learning to develop strategies, I think it might be good to teach myself the same stuff the professionals know. I see that socket programming, thread management, and memory management for speed are key. Anything else I should be aware of that potential employers of trading software developers want me to know? Any open source code I can study?

Thanks in advance.

--Maureen

Choad · Feb 13, 2006

With an Interactive Broker account, Visual Studio tools (can be free student version, or "free" older MSN sub discs, etc) like VB, C++, C# and free EOD data like Yahoo Finance, you can build a reliable and profitable backtesting and automated/semi-automated trading system. Excel is also extremely handy for logging trades. It can be a "free" older version too.

The free QuoteTracker quote handler can also be useful. IOW you can have a complete system for only the cost of opening an account at IB. IB is, hands down, the best broker for this kind of thing. They have an open API with sample code. There are also IB groups and YHOO groups.

For an absolute exhaustive reference on all things mathematically trading related, get Kaufman's Trading Systems and Methods. I think there is a new edition.

How long will it take to get this going, profitable, and reliable?

Well it took me a couple years...

Maureen · Feb 14, 2006

Thanks Choad. It will take me at least as long.

I'm grabbing that book recommendation asap. Anything to speed up the learning process!

Choad · Feb 14, 2006

One thing to note about the book is that it is a solid reference into trading methods, BUT I would guess that 98% of the methods outlined are probably not profitable. But which ones are?

To help answer that question (and it's a BIG question!) I have found that a competent portfolio level backtester to be a huge time saver. I would recommend Wealth-Lab, but they were bought by Fidelity, so you need a Fido account (and I believe IB is a far superior broker for auto-trading).

Search ET and you will find several backtesters, like Amibroker and Linnsoft. I also find that an EOD quote service and chart tool like Worden TC2005 to be a great help. Huge user base and a long time in the biz. And usually every day there is discussion about some ideas to test. It's about $30/month.