Hello all,
I decided to open this thread to discuss about systematic trading and development of strategies in "quantifiable" way.
At this moment I have decided to move away from metatrader that I have primarily been using for my trading strategy testing and development [silly, yes I know]. I have been reviewing all kinds of platforms and all of them seem quite not what I'm looking so I'm going to build my own testing platform during the thread and discuss the process [more about it during the thread].
I'm going to go a bit different route than most of the people [well most of the retail folk at least] and use a database to store all the data. At the moment I already have a solid schema with 1 minute data since 2001 stored for all majors so if anyone wants to have some insight into daily ranges etc, feel free to ask It's going to take about 5 seconds to see a statistical table of london opening ranges for example. I'm also going to use database a bit differently than most people but again, more about this later.
I'm also going to discuss how to separate elements from a system and what really makes a system [hint: there are three elements that can be divided to smaller elements] and hope to get some ideas on how to clarify this even further.
I also hope we can find some quantifiable edges during the thread but that's still something that's totally open and I hope to get some ideas from the people following the thread.
I plan to add automation to automatically discover additions to systems I plan to test but this is kind of advanced stuff and maybe I should talk about this after the groundwork is done [?].
I want to warn people, I have background in tech and I have been doing programming for 15 years [and trading a bit less than 10 more or less actively, on some years I didn't trade at all] so sometimes I totally underestimate how hard the tech stuff is for some people, feel free to ask anything.
That's about it.. Let's see where I should go first..
If you want to get some statistical data about majors, feel free to ask, I might post some details without asking.. I have only basic stuff right now, I have to complete the framework to get to more advanced stuff
Some links to other sites related to systematic trading
I opened this for everyone to post interesting links or browse past ones
Systematic trading subreddit
http://marketsci.wordpress.com/
http://www.nuclearphynance.com/
http://www.wilmott.com/index.cfm?NoC...=Yes&forumid=1
http://www.quantnet.org/forum/
http://www.tradingblox.com/forum/
http://www.elitetrader.com/vb/forumd...?s=&forumid=32
http://www.maxdama.com/
http://intelligenttradingtech.blogspot.com/
Material related to systematic trading
http://www.cis.upenn.edu/~mkearns/projects/plat.html
Open source software related to systematic trading
http://www.marketcetera.com/site/
http://quantlib.org/index.shtml
http://groups.google.com/group/jsystemtrader
I decided to open this thread to discuss about systematic trading and development of strategies in "quantifiable" way.
At this moment I have decided to move away from metatrader that I have primarily been using for my trading strategy testing and development [silly, yes I know]. I have been reviewing all kinds of platforms and all of them seem quite not what I'm looking so I'm going to build my own testing platform during the thread and discuss the process [more about it during the thread].
I'm going to go a bit different route than most of the people [well most of the retail folk at least] and use a database to store all the data. At the moment I already have a solid schema with 1 minute data since 2001 stored for all majors so if anyone wants to have some insight into daily ranges etc, feel free to ask It's going to take about 5 seconds to see a statistical table of london opening ranges for example. I'm also going to use database a bit differently than most people but again, more about this later.
I'm also going to discuss how to separate elements from a system and what really makes a system [hint: there are three elements that can be divided to smaller elements] and hope to get some ideas on how to clarify this even further.
I also hope we can find some quantifiable edges during the thread but that's still something that's totally open and I hope to get some ideas from the people following the thread.
I plan to add automation to automatically discover additions to systems I plan to test but this is kind of advanced stuff and maybe I should talk about this after the groundwork is done [?].
I want to warn people, I have background in tech and I have been doing programming for 15 years [and trading a bit less than 10 more or less actively, on some years I didn't trade at all] so sometimes I totally underestimate how hard the tech stuff is for some people, feel free to ask anything.
That's about it.. Let's see where I should go first..
If you want to get some statistical data about majors, feel free to ask, I might post some details without asking.. I have only basic stuff right now, I have to complete the framework to get to more advanced stuff
Some links to other sites related to systematic trading
I opened this for everyone to post interesting links or browse past ones
Systematic trading subreddit
http://marketsci.wordpress.com/
http://www.nuclearphynance.com/
http://www.wilmott.com/index.cfm?NoC...=Yes&forumid=1
http://www.quantnet.org/forum/
http://www.tradingblox.com/forum/
http://www.elitetrader.com/vb/forumd...?s=&forumid=32
http://www.maxdama.com/
http://intelligenttradingtech.blogspot.com/
Material related to systematic trading
http://www.cis.upenn.edu/~mkearns/projects/plat.html
Open source software related to systematic trading
http://www.marketcetera.com/site/
http://quantlib.org/index.shtml
http://groups.google.com/group/jsystemtrader