gray-box trading

[Kris]

Have any of you guys tried gray-box trading? Essentially the system designer gives you a tool you can tweak a bit but they don't tell you the exact math behind the signals...

just curious...

 

[nazzdack]

Don't say "gray box". Call it a "tweakable black box" instead.

 

[zgtrader]

Is it "tweak" as in adjust the length of a moving average or "tweak" as in curve fitting from optimziation?

 

[Kris]

As in they give you their proprietary tools and show you how to adjust them but not much more than that...

This is what started me thinking:

http://www.youtube.com/watch?v=RFnV-WMRSFQ

 

[rosy2]

my firm uses gray box. the "trader" turns on the algo and can change some parameters if needed.

 

[Kris]

And it works? Aren't you a bit uncomfortable not knowing the exact math behind it?

The market is pretty dynamic, I would be worried about the system hittting a severe losing streak and then not knowing what to do about it...

 

[rosy2]

Quote from Kris:

And it works? Aren't you a bit uncomfortable not knowing the exact math behind it?

we develop the algos in house. the trader is more like an operator than anything, they have no discretion