Seeking Guidance for Low Frequency Trading

X

xtermz

Hello all,

I've been manually trading stocks using daily/weekly bars for some years now and am looking into creating a blackbox trading system for some low frequency intraday trading (perhaps up to 10 trades in a day for a given instrument). I'm not trying to compete with HFT and would like to leave a generous margin for latency and slippage.

I would like to take a very scientific approach to this as I research and come up with strategies to test. I have some questions:

1) What is the ideal data resolution for developing a system like this? Do I really need tick data or is minute data enough? What are the pros/cons of one over the other?

2) Based on (1) above, what is a reasonably priced historical data source and how many years of historical data is generally enough to thoroughly back-test a strategy on this scale?

3) Should I stick with stocks or switch to futures (or both)? I would think futures would be easier to manage for tax purposes.

Thank you!
 
Quote from xtermz:

Hello all,

I've been manually trading stocks using daily/weekly bars for some years now and am looking into creating a blackbox trading system for some low frequency intraday trading (perhaps up to 10 trades in a day for a given instrument). I'm not trying to compete with HFT and would like to leave a generous margin for latency and slippage.

I would like to take a very scientific approach to this as I research and come up with strategies to test. I have some questions:

1) What is the ideal data resolution for developing a system like this? Do I really need tick data or is minute data enough? What are the pros/cons of one over the other?

2) Based on (1) above, what is a reasonably priced historical data source and how many years of historical data is generally enough to thoroughly back-test a strategy on this scale?

3) Should I stick with stocks or switch to futures (or both)? I would think futures would be easier to manage for tax purposes.

Thank you!
More...

IMO, 10 trades / day in a single instrument is *NOT* low frequency, especially if you are talking of a single setup - but if you are thinking about multiple setups, then your first step should be to consider each setup on its individual merits, not mix them in a single strategy.

1) ideal resolution - there is no such thing, both have their pros & cons. It ultimately depends on what resolution you need to model the market. I am using primarily tick-data, even though my systems are (intraday) swing trading systems (up to a couple trades per day, on average). This allows me to be flexible in my definition of the patterns I am interested in (by flexible, I mean they don't have to be aligned with 1min bar boundaries). But many successful traders just use minute-charts - to each his own :)

2) Use TickData - they are simply the best, at least for retail traders. For stock-index futures, I would suggest 10 years, for commodities futures, you might want to check when a specific product started trading electronically 24/7, the data before that doesn't have accurate volume information, and 1min data is the best you'll get from pit-sessions.

Several thousand trades in backtesting over 10 years (on ONE market) will give you a reasonable starting point. Note that if your strategy averages 1 trade per day, you'll have 2500 trades in 10 years, so that level shouldn't be difficult to reach for intraday trading.

3) Given all the crap with internalization / resell of order-flow / sub-pennying & darkpools / HFT, I doubt the stock market is a fair market these days, and for myself I stay away from it and just trade futures.


Good luck in this endeavour, this is much more difficult that you can ever guess from the outside.

I think the next poster should be EMG :)
 
You are being trolled...

Quote from xtermz:

Hello all,

I've been manually trading stocks using daily/weekly bars for some years now and am looking into creating a blackbox trading system for some low frequency intraday trading (perhaps up to 10 trades in a day for a given instrument). I'm not trying to compete with HFT and would like to leave a generous margin for latency and slippage.

I would like to take a very scientific approach to this as I research and come up with strategies to test. I have some questions:

1) What is the ideal data resolution for developing a system like this? Do I really need tick data or is minute data enough? What are the pros/cons of one over the other?

2) Based on (1) above, what is a reasonably priced historical data source and how many years of historical data is generally enough to thoroughly back-test a strategy on this scale?

3) Should I stick with stocks or switch to futures (or both)? I would think futures would be easier to manage for tax purposes.

Thank you!
More...

Quote from gamemerlin:

Hello All,

I am completely a newb when it comes to trading. I am a software developer and am interested in programming a bot to trade. My problem is I don't know anything about trading.

So I was hoping some more experienced people can give me advice on how to start to learn about trading. How did some of you start?

Any recommendations on books and online courses would be appreciated. I am interested in mainly equities trading. I looked into forex, it is a mystery to me.

I am not in a rush I figure it will take a while before I understand the basics of how to trade successfully. Also in my research I have read 99% of traders basically drop out or break even, it is only top 1% that can do it full time as a living.

Thanks
More...
http://www.elitetrader.com/vb/showthread.php?threadid=262004

Quote from ZaRockNRolla:

I'm a part-time currency trader and while I'm quite experienced in my field, I work quite remotely around the globe and have little access and community with other traders. While most of the time forums and industry specific articles cover most of what I need to know, there really aren't any good resources on the computer/supercomputer setups used by brokers and trader(I'm talking workstation computers, not the servers.)

I'm running a fairly standard i7 rig for gaming with 4x 24" LCDs. I assembled this system myself with personal preference and cost advantages in my situation. However I am aware that there are entire product lines devoted to the sole use of business and high intensity workstations.

The ASUS P5W64 WS Professional, for example, was a workstation-class motherboard commonly known as the "Wall Street Quartet". What is its equivalent these days and what are other traders using?
More...
http://www.elitetrader.com/vb/showthread.php?s=&threadid=261981
 
Quote from NoBias:

You are being trolled...
More...

Thanks for all the research.

Do you have a working hypothesis why anyone will go about creating new ids on any anonymous forums and asking legitimate looking questions?

I mean what can such a person gain from such an exercise? Why do it in the first place? What kind of psychological reason can lead someone down this path? Any ideas...
 
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