How to create an Automated Trading System

Questions:
1. Have you traded your system successfully for a while?
2. Have you backtested it and performed other tests to ensure that you aren't being "fooled by randomness?"

If the answer to either of those is "no," then go back and do that first. Once you have done those tasks, other folks have given you lots of good answers for where to go to learn to program, or, as others have stated, it's easy enough to hire somebody else to do your programming for you.

IMO, too many people jump into the "how do I program an automated system?" end of the pool without first learning to swim. If your system isn't solid and you haven't traded it successfully by hand, odds are if you automate it, you're just going to lose a lot of money faster than you would have otherwise.

As an example, I've been working on a system for the last year or so. I did all the statistical analysis using Excel. I've been trading it daily by hand using Excel for the last three months and it's working quite well. I'm now at the stage where I have a reasonable amount of confidence that I've got something real that it makes sense to automate and take the drudgery out of the day-to-day operations. But with all that background, the task ahead of me is merely automation, not system development, and I have manual experience that I can use to help debug and tune the automated system. Once I automate it, the next step will be to create automated statistical tests to ensure that it performs within statistical expectations and to alert me if it detects that its performance deviates more than a reasonable amount.

So, never forget that you can do a LOT with Excel and manual trades. If you're running a daily system, it may be painful at first, but the experience is invaluable.

The only reason to go straight to automation is if your system is something like an HFT system where automation is one of the fundamental performance principles. In other words, without automation, you have no system. But if that's the case and you're asking "Where do I learn to program a system?" you're pretty much screwed. It's sort of like somebody who's never held a football asking how they can play in the NFL.
 
What is NFL? Is that the sport where pussies team up to go to the sports shop together and buy themselves helmets, elbow and knee protectors so their moms don't scold them when they come home with wounded body parts? Sorry I could not help it after having attended the HK Rugby Sevens just this past weekend :)

I agree with most all your points made above. +1

ReadyTrader said:
Questions:
1. Have you traded your system successfully for a while?
2. Have you backtested it and performed other tests to ensure that you aren't being "fooled by randomness?"

If the answer to either of those is "no," then go back and do that first. Once you have done those tasks, other folks have given you lots of good answers for where to go to learn to program, or, as others have stated, it's easy enough to hire somebody else to do your programming for you.

IMO, too many people jump into the "how do I program an automated system?" end of the pool without first learning to swim. If your system isn't solid and you haven't traded it successfully by hand, odds are if you automate it, you're just going to lose a lot of money faster than you would have otherwise.

As an example, I've been working on a system for the last year or so. I did all the statistical analysis using Excel. I've been trading it daily by hand using Excel for the last three months and it's working quite well. I'm now at the stage where I have a reasonable amount of confidence that I've got something real that it makes sense to automate and take the drudgery out of the day-to-day operations. But with all that background, the task ahead of me is merely automation, not system development, and I have manual experience that I can use to help debug and tune the automated system. Once I automate it, the next step will be to create automated statistical tests to ensure that it performs within statistical expectations and to alert me if it detects that its performance deviates more than a reasonable amount.

So, never forget that you can do a LOT with Excel and manual trades. If you're running a daily system, it may be painful at first, but the experience is invaluable.

The only reason to go straight to automation is if your system is something like an HFT system where automation is one of the fundamental performance principles. In other words, without automation, you have no system. But if that's the case and you're asking "Where do I learn to program a system?" you're pretty much screwed. It's sort of like somebody who's never held a football asking how they can play in the NFL.
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volpunter said:
What is NFL? Is that the sport where pussies team up to go to the sports shop together and buy themselves helmets, elbow and knee protectors so their moms don't scold them when they come home with wounded body parts? Sorry I could not help it after having attended the HK Rugby Sevens just this past weekend :)

I agree with most all your points made above. +1
More...

Heh. For what it's worth, if I remember it correctly, the statistics actually show that NFL players are more likely to suffer large injuries. The pads cause them to get over confident and the hits are then harder. They don't have as much blood on them at the end of the game as do rugby players, but when the injuries happen, they can be huge. So, I wouldn't go so far as to call rugby players little girls, but there you go. :) But none of that has much to do with trading. Feel free to translate my "I don't have a clue how to program, but I want to write an HFT system because I read about them in Flash Boys and they seem like a way to make easy money" characterization into your favorite professional sports analogy. Maybe: "I don't yet have my drivers' license, but I where would I buy a car to race in F1/NASCAR next week?"
 
one could also argue the other way around: When you protect a little school boy from any sort of scuffle or beatings then the first time his future wife slaps him he needs to be taken to hospital. For what its worth if you want a full contact sport then do it full contact and don't wrap the little princesses into blankets and protective gear.

And yes, I agreed with your trading related points. Too many embark on skill level III challenges when they have not even mastered level I.

ReadyTrader said:
Heh. For what it's worth, if I remember it correctly, the statistics actually show that NFL players are more likely to suffer large injuries. The pads cause them to get over confident and the hits are then harder. They don't have as much blood on them at the end of the game as do rugby players, but when the injuries happen, they can be huge. So, I wouldn't go so far as to call rugby players little girls, but there you go. :) But none of that has much to do with trading. Feel free to translate my "I don't have a clue how to program, but I want to write an HFT system because I read about them in Flash Boys and they seem like a way to make easy money" characterization into your favorite professional sports analogy. Maybe: "I don't yet have my drivers' license, but I where would I buy a car to race in F1/NASCAR next week?"
More...
 
Actually, in the NFL, the recent kerfuffles all seem to be about players hitting their wives. I think I'll leave it there, though. I know when I'm beaten.
 
What did one quant ask another quant.

How many innings are there in a football game?

Thank you.....Thank you....Please now Com'on.
 
Chris Paciello said:
What would be the best approach to creating an automated strategy with zero coding experience? Anything that can work with Lightspeed, NinjaTrader, etc?

Any advice would be greatly appreciated!
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Chris,

For NinjaTrader, you could look at something like BloodHound from SharkIndicators. It's visual programming so no programming language experience required. Still, it's a steep learning curve. When you know how to program, your patience will wear thin dealing with some of the hoops you have to run through when they would be one-liners in C# code.
 
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