Building a systematic trading system part 3 - deciding positions

globalarbtrader

globalarbtrader

This is the third post in a series giving pointers on the nuts and bolts of building systematic trading systems.

A common myth is that the most important part of a systematic trading system is the 'algo'. The procedure, or set of rules that essentially says 'given this data, what position do I want to hold or trade do I want to do?'

To some extent this is true. Any 'secret sauce' that you have will be in the 'algo'. All the rest of the code is 'just engineering'. There is no alpha from having a robust database system (though there might be from optimal futures rolling).

However the 'just engineering' is roughly 95% of my code base. And although there is no alpha from engineering, the consequences of screwing it up are enormous - there's an awful lot of potential negative alpha from say wrongly thinking your position in BP.LSE is zero, when you want it to be 100 shares, and then repeatedly buying 100 shares over and over again because you still think you don't have any shares at all, and who knows you might end up famous.

Because things always go wrong we do need to have the 'engineering': checks and balances when data isn't perfect.
....

Rest on my blog

GAT
I can't see any messages from trolls, so only respond if you enjoy talking to yourself. Read my policy on trolls, here
 
get your moronic Python code right (there are lots of online courses where you can brush up) and above all be able to post a simple web-link else everything else you try to sell comes across as being highly questionable.

globalarbtrader said:
This is the third post in a series giving pointers on the nuts and bolts of building systematic trading systems.

A common myth is that the most important part of a systematic trading system is the 'algo'. The procedure, or set of rules that essentially says 'given this data, what position do I want to hold or trade do I want to do?'

To some extent this is true. Any 'secret sauce' that you have will be in the 'algo'. All the rest of the code is 'just engineering'. There is no alpha from having a robust database system (though there might be from optimal futures rolling).

However the 'just engineering' is roughly 95% of my code base. And although there is no alpha from engineering, the consequences of screwing it up are enormous - there's an awful lot of potential negative alpha from say wrongly thinking your position in BP.LSE is zero, when you want it to be 100 shares, and then repeatedly buying 100 shares over and over again because you still think you don't have any shares at all, and who knows you might end up famous.

Because things always go wrong we do need to have the 'engineering': checks and balances when data isn't perfect.
....

Rest on my blog

GAT
I can't see any messages from trolls, so only respond if you enjoy talking to yourself. Read my policy on trolls, here
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And the reason why I keep on arguing about your whole setup (I know you blocked me but I address newbies not you, the OP) is because your whole architecture is highly flawed. You may or may not have a workable strategy algorithm but the platform you created is highly flawed in that it violates pretty much every fundamental programming principle there is. Not that I am a stickler for principles (well, yes I am am actually) but those principles serve a purpose, which is to provide various features such as the ability to easily extend code, to more easily debug errors and bugs, to not outright run into run time errors, thread contention, race conditions, deadlocks, what have you. And I keep on talking about it because you display an extremely arrogant mindset in that you simply cannot admit fault or weakness or mistakes. Not one, ever. You block or shoot down anyone who criticizes you, whether with constructive feedback (which I have initially provided) or not.

Guys, if you want to successfully trade algorithms then an off-the-shelf-solution will NEVER get you there, and equally will a system fail that was glued together by someone with zero programming experience. It takes work to be successful in this space, it is after all one of the most competitive industries. The programming code that can be seen at OP's website is not even worthy of a first year CS undergrad major. It is guaranteed to break at any time and will behave unpredictably at times. And please do not believe the claim that OP has nothing to sell and is just providing a favor to others. If he had nothing to sell then he would not spend his time positing here. I am posting because I want to warn people to be realistic and prudent in their assumptions and expectations. This is a message throughout all my posts on this site.

The OP's blog is a fun read but please think twice, three times or more before you adopt any of his suggestions. He displayed in earlier posts that he possesses zero finance experience, he has no clue how to correctly cleanse and prune historical data, how to adjust futures data, how to correctly convert higher frequency data into compressed time series data. Read for yourself but do it critically. Thats all I have to say in this thread of "shameful code"

globalarbtrader said:
This is the third post in a series giving pointers on the nuts and bolts of building systematic trading systems.

A common myth is that the most important part of a systematic trading system is the 'algo'. The procedure, or set of rules that essentially says 'given this data, what position do I want to hold or trade do I want to do?'

To some extent this is true. Any 'secret sauce' that you have will be in the 'algo'. All the rest of the code is 'just engineering'. There is no alpha from having a robust database system (though there might be from optimal futures rolling).

However the 'just engineering' is roughly 95% of my code base. And although there is no alpha from engineering, the consequences of screwing it up are enormous - there's an awful lot of potential negative alpha from say wrongly thinking your position in BP.LSE is zero, when you want it to be 100 shares, and then repeatedly buying 100 shares over and over again because you still think you don't have any shares at all, and who knows you might end up famous.

Because things always go wrong we do need to have the 'engineering': checks and balances when data isn't perfect.
....

Rest on my blog

GAT
I can't see any messages from trolls, so only respond if you enjoy talking to yourself. Read my policy on trolls, here
More...
 
For 60 minutes unless i am missinformed. For that reason I would recommend any of the uninitiated to tripple check OP's code before running it. Someone who cannot even get a website link right seems to suffer from lack of attention to detail...

debitspread said:
Maybe I'm misinformed, but I thought ET posts were editable only for a brief time.
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