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

[SimpleMeLike]

So, as soon as it's discovered bigger players will actually trade against it, effectively turning their winning strategy into a losing one.

Thanks trdes,

Do you think big players will start trading against me if my trading system is using 2-3 contracts per trade? What size contracts do the big players normally look for to trade against.

Thanks

 

[trdes]

Thanks trdes,

Do you think big players will start trading against me if my trading system is using 2-3 contracts per trade? What size contracts do the big players normally look for to trade against.

Thanks

well I am by far an expert, so anyone with more expertise will hopefully correct me. But no, not that small. It wouldn't make sense for them to go out of there just to get your 2-3 lots, I mean doesn't mean you wont get stopped out just due to the normal fray of the market ofc, but it wouldn't be because they are targeting you or your strategy specifically.

I mean even 100-150 lots in a market like ES, you would probably be fine. Even than if you're worried about it, you could break up your entry to try and get averaged weighted price (if your strategy allows for this) and buy at different times / different sizes.

But I have no clue what the magic number is per each market.

 

[trdes]

Thanks trdes,

Do you think big players will start trading against me if my trading system is using 2-3 contracts per trade? What size contracts do the big players normally look for to trade against.

Thanks

Let's put it this way, if we find a strategy that good and trading so large that bigger people want to take advantage of us, it's safe to say we probably already made it.... and have fair amount of money.... lol

 

[SimpleMeLike]

Let's put it this way, if we find a strategy that good and trading so large that bigger people want to take advantage of us, it's safe to say we probably already made it.... and have fair amount of money.... lol

trdes,

lol, Agreed, if i am trading 100 lots, I think I can afford to bigger people to try and beat me.
Do you manually back test or program and then automate the back testing?

Thanks,

 

[trdes]

trdes,

lol, Agreed, if i am trading 100 lots, I think I can afford to bigger people to try and beat me.
Do you manually back test or program and then automate the back testing?

Thanks,

na, everything i do is manual. all the successful traders I know currently only manually trade, but some of them do code and have the ability to do automated back testing or automate there strategies, but they haven't yet.

 

[R1234]

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?

I use the GFortran compiler with the Codeblocks IDE. Definitely a big improvement over the mainframe based Fortran77 I used in college (a long time ago).

 

[Butterball]

fail to understand the hype for R.

R is great to get a very quick prototype for an idea. What makes it great? It has a vast array or tools available in the public domain that I can apply to vast vectors of data without having to code everything myself.

Sure you can code something like this in VisualBasic or Java, but how long will it take just to replicate something like Quantmod and Blotter from R?

 

[kent]

Can you give me an example on R where it is better than MQL4. I am exposed only to that as a language in trading. For any trading system development, the main/core is mostly same unless it uses too many computational functions or routines which are hard to code.

 

[sle]

Simple examples - you want to calculate principal components for a large stock basket and project the current levels. Standard statistical arbitrage thing to do. However, it is literally a two-liner in R, while it would take a fair bit in almost any other language.

 

[kent]

oh ok. What if my programming requirements are just based on the technical studies/indicators and current or past (recent past) of price levels. Is there any significant advantage of R over MQL4? Also can the R based ( I believe it is a script), product is not portable to other language calls? Can I call an R language based finished program where I pass parameters to get the input for my C++/C/MQL4/Tradestation language based indicator/trading system?