R Programming for Traders, Helps small traders compete with Hedge Funds

[SimpleMeLike]

@SimpleMeLike technically speaking, EMAs should calculate based on the completion of a bar/candle/whatever, so it will always lag. That may or may not impact your execution.

if you don't know basic data structures, nested loops, and etc, yeah it's going to be difficult to code it up. Go take the intro programming class.

Alternatively, you could pay a programmer to do so.

Thanks jj90,

Yes, I will take a programming course for sure, just cause I may have to eventually move in the automation trading arena soon.

EMAs want impact my excursion, i want for bar to close and enter on limit orders. The EMAs will be there to just for price direction (e.g., if 30 ema is above 50 ema , 50 above 70, etc, long after bar close, etc.)

No way I will pay a programmer to code a system that can make me money. What happens if programmer takes my system, review the performance, and trade his/herself? Or better yet sale my system? I pay coder all this money, and system has poor performance. Then i pay him again for another idea, it fail as well. All while trading business is making no money. Better to build my self, less hassle this way and cost me nothung but time.

 

[Murray Ruggiero]

Maybe that system developer is not that good. I know many of them that have come up with one good idea in their life. I will give you a more detailed answer in a few days and explain this to you. If I want to answer the question right it will take some time.

 

[Murray Ruggiero]

Thanks jj90,

Yes, I will take a programming course for sure, just cause I may have to eventually move in the automation trading arena soon.

EMAs want impact my excursion, i want for bar to close and enter on limit orders. The EMAs will be there to just for price direction (e.g., if 30 ema is above 50 ema , 50 above 70, etc, long after bar close, etc.)

No way I will pay a programmer to code a system that can make me money. What happens if programmer takes my system, review the performance, and trade his/herself? Or better yet sale my system? I pay coder all this money, and system has poor performance. Then i pay him again for another idea, it fail as well. All while trading business is making no money. Better to build my self, less hassle this way and cost me nothung but time.

First of all in all honesty, the only issue really is them selling the systems. If you go to a company, then they won't do that because of the risk. I been doing this for a long time and even have done very limited NDA's. In all my years I only seen 1-2 ideas as good as any of mine. The reason for a programmer is so you can code your real idea not some hack of it. For example , If your ideas is chart pattern based , you might not be able to do that yourself. A expert might use , machine learning to define pattern recognition.

The truth unless your build system for very illiquid markets , a few more users won't matter. I could sell 1000 copies of a ES system before it would have any slight effect on performance.

 

[SimpleMeLike]

Maybe that system developer is not that good. I know many of them that have come up with one good idea in their life. I will give you a more detailed answer in a few days and explain this to you. If I want to answer the question right it will take some time.

Thank you Murray for response,

You can explain on this thread or this one (https://www.elitetrader.com/et/threads/how-many-strategies-do-you-test.306749/#post-4406361) I just created so others can read and comment as well.

I think the questions I ask are good for a newbie thinking of entering the algorithmic trading arena.

 

[Murray Ruggiero]

Here are some links for some material that might help

1. Murray Pod case , better system trader
2. Making Trading System real

 

[SimpleMeLike]

Here are some links for some material that might help

1. Murray Pod case , better system trader
2. Making Trading System real

Thank you Murray,

I really appreciate your time and effort for find those links for me.

So what recommendations do you offer to people like me who has put time into manual back testing strategy? It seems to me like manual back testing is not the best option for time sake and mistake free.

 

[Murray Ruggiero]

You can use things like TradeStation and TradersStudio. If you are developing a basket system trade TradersStudio , which I developed is a good option. The language is a cross between TradeStation and VBA. There are many other platforms but , TradeStation has a lot of code out there as samples for free to see how to do things.

 

[ajensen]

I've written R programs and run them daily as one of the steps in trading my systems.
Despite the hype, it's not the be-all and end-all for this type of application. I find it very slow for very large data sets even when using multiple core processing.

I have started to program my workhorse applications in Fortran now. I know it is considered a stone age language but it is super fast - it is a low level language like Assembly that is 'close to the hardware'. And none of the memory leaks, pointer complications like in C.

I am a heavy Fortran user also. One can think of it as a sort of compiled Matlab, and there are plenty of quant traders using Matlab. I use the gfortran compiler, and to a lesser extent g95. What compilers do you use?

 

[SimpleMeLike]

You can use things like TradeStation and TradersStudio. If you are developing a basket system trade TradersStudio , which I developed is a good option. The language is a cross between TradeStation and VBA. There are many other platforms but , TradeStation has a lot of code out there as samples for free to see how to do things.

Thank you Murray,

I appreciate your recommendations.

 

[trdes]

Thanks Murray,

Well, I want statistical confidence for every trade I take. The Only problem/concern I have right now is that for the strategy I now paper trade, i have limited (about 300 trades) amount of back testing data to confidence say this strategy will make money in the future and all have to do is click buy and sale like robot. No emotional attachment is what I want via manual or automated trading. The 300 trades show good performance metrics.

But is 300 trades enough for me to trade with confidence.

One of the reasons me and few others shy away from automated trading is because noone talks in simple terms. All this advance modeling stuff. I can barely make money manually trading a support and resistance line, all this machine learning stuff.

I reckon all the advance trading people work at Goldman Sachs.

Just the other day I was listen to a webnair with an experienced algorithm system developer talking and he said it normally takes programming and backtesting of 200 trading ideas before finding 1 system to trade live.

Then he said that 1 you find, may stop making money in X amount years.

I'm just a simple minded Texas boy, but when he said that, it made 0 sense to me. And I have an engineer degree, but I enjoy trading as well.

Please explain, why spend time develop system that may not work and was tested for the past 10 years and 2008 to 2009 market crash is within that 10 years?

The reason whatever they found stops working is because people and other firms are picking up on what they are doing(due to these guys likely trading fairly large size). So, as soon as it's discovered bigger players will actually trade against it, effectively turning their winning strategy into a losing one.

Day trading is mainly about supply and demand with temporary imbalances. This is why some people say news isn't that important and rightfully so. That's why sometimes good news makes things go up, as well as bad news and etc. It's all about the temporary imbalance.

IE: Let's say everyone is expecting bad news in something, so tons of people are short. If someone can detect an imbalance, they will buy up supply effectively leaving shorts with no supply room to cover. This causes a short cover rally, now as these shorts cover new buyers come into the market, because they see price going up fast. Now that buyer can sell into the short covering plus all the new buyer supply. Than often(not always) price falls right back to equilibrium or even lower. Nothing really happened here except weak shorts lost their money.