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  • #1,081
  • Sep 11, 2010 12:43pm Sep 11, 2010 12:43pm
Quoting markmm
How are your guys systems doing?
Back to grind city for me, past couple of months had some good volatility, but it's pretty much dead at this point. When the volatility hits, I'm killing it, when it stops, I'm going nowhere, I think this is my single biggest problem. Still trying to get some more adaptive models online (e.g. GA) but still struggling with generalization.
The breaking of a wave cannot explain the whole sea.
  • #1,082
  • Sep 11, 2010 1:35pm Sep 11, 2010 1:35pm
Quoting Craig
Back to grind city for me, past couple of months had some good volatility, but it's pretty much dead at this point. When the volatility hits, I'm killing it, when it stops, I'm going nowhere, I think this is my single biggest problem. Still trying to get some more adaptive models online (e.g. GA) but still struggling with generalization.
Sounds like you are progressing though, the volatility will come back, so sounds like a case of make hay while the sun shines. I am currently watching this lecture series to fill in some gaps in my general knowledge. Good for a overall grounding in the markets

http://itunes.apple.com/WebObjects/M...n?id=341651306

Mark
Economists have forecast 9 out of the last 5 recessions
  • #1,083
  • Sep 11, 2010 1:59pm Sep 11, 2010 1:59pm
I've made a couple of concerted stabs at getting my head around options, to the point where I can understand basically what people are talking about on NP.
There seems to be bigger arb opportunities when one throws options into the mix, however the order of complexity that ones needs to deal with is huge compared to standard directional trading.
The breaking of a wave cannot explain the whole sea.
  • #1,084
  • Sep 11, 2010 2:19pm Sep 11, 2010 2:19pm
Quoting Craig
I've made a couple of concerted stabs at getting my head around options, to the point where I can understand basically what people are talking about on NP.
There seems to be bigger arb opportunities when one throws options into the mix, however the order of complexity that ones needs to deal with is huge compared to standard directional trading.
Similar, I have ordered the Natenberg book, after reading options forum on ET where the posters who seemed to know their stuff suggested it required reading. Still lots to learn!. Been reading through the hack the market blog also, thanks for the link.

Regarding general strategies, I was reading a thread about Acrary where he talked about having strats for market themes or something similar, rather than looking for definite edges and exploiting them. Always seemed an interesting idea,.
Economists have forecast 9 out of the last 5 recessions
  • #1,085
  • Sep 11, 2010 2:37pm Sep 11, 2010 2:37pm
Yeah, Natenburg is what I have been slogging though, it's pretty dry. Both of Sinclair's books are pretty good as well (BTW Sinclair is 'filthy' on NT).

On Acrary, his posts do make interesting reading, though he does contradict himself a little, I really don't know what to make of his last series of proclamations on edge vs. character. I was talking to a couple of other traders who didn't understand why people rated him, but then again, a lot of other people do, who knows really?
The breaking of a wave cannot explain the whole sea.
  • #1,086
  • Sep 11, 2010 3:28pm Sep 11, 2010 3:28pm
Quoting Craig
Yeah, Natenburg is what I have been slogging though, it's pretty dry. Both of Sinclair's books are pretty good as well (BTW Sinclair is 'filthy' on NT).

On Acrary, his posts do make interesting reading, though he does contradict himself a little, I really don't know what to make of his last series of proclamations on edge vs. character. I was talking to a couple of other traders who didn't understand why people rated him, but then again, a lot of other people do, who knows really?
On Nuclear Phynance? Wow interesting, will look a his books also.
Yeah who knows with Acrary, I did find his thread on ET introduced me to a more rigorous way of looking at at trading, rather than the fluff on FF.

Its difficult to know what's true and what isn't. It would be good to know for sure who is making good returns and what is possible.
Economists have forecast 9 out of the last 5 recessions
  • #1,087
  • Sep 11, 2010 4:23pm Sep 11, 2010 4:23pm
Quoting markmm
Its difficult to know what's true and what isn't. It would be good to know for sure who is making good returns and what is possible.
Have a look at the P/L threads on ET, specifically EricP, lescor & Dustin (have a look at who they seem to be mates with). EricP had a $1,000,000 day in 2008, also have a look at lescor's 'grinding it out, day after day' thread. None of them give away systems, but you can get a general feel for what type of thing they are doing.
The breaking of a wave cannot explain the whole sea.
  • #1,088
  • Sep 12, 2010 3:40am Sep 12, 2010 3:40am
Quoting Craig
Have a look at the P/L threads on ET, specifically EricP, lescor & Dustin (have a look at who they seem to be mates with). EricP had a $1,000,000 day in 2008, also have a look at lescor's 'grinding it out, day after day' thread. None of them give away systems, but you can get a general feel for what type of thing they are doing.
I had read through them, will have another read for motivation. Making just under a mill in one day is the goal, wonder what he makes now! He seemed to compound his returns.
Economists have forecast 9 out of the last 5 recessions
  • #1,089
  • Sep 12, 2010 3:58am Sep 12, 2010 3:58am
Quoting markmm
I had read through them, will have another read for motivation. Making just under a mill in one day is the goal, wonder what he makes now! He seemed to compound his returns.
I think that was the peak for him, the 2008 volatility was not the sort of thing that comes around often. I remember reading somewhere, that he actually wasn't compounding anymore because he was running into scalability problems (obviously you can only be a certain % of daily volume before you start moving the market around, especially in thin stocks). But he certainly shows what is possible with automation.
The breaking of a wave cannot explain the whole sea.
  • #1,090
  • Sep 13, 2010 3:50am Sep 13, 2010 3:50am
Quoting Craig
...I really don't know what to make of his last series of proclamations on edge vs. character. I was talking to a couple of other traders who didn't understand why people rated him, but then again, a lot of other people do, who knows really?
I'm glad I'm not the only one who thought this was a rather strange concept...

Let's hope for some vol in October
  • #1,091
  • Sep 13, 2010 11:40am Sep 13, 2010 11:40am
Quoting BlackMage
I'm glad I'm not the only one who thought this was a rather strange concept...

Let's hope for some vol in October
Amen to that, watching the VIX decline is gets kind of boring.
The breaking of a wave cannot explain the whole sea.
  • #1,092
  • Sep 13, 2010 11:44am Sep 13, 2010 11:44am
Quoting markmm
Sounds like you are progressing though, the volatility will come back, so sounds like a case of make hay while the sun shines. I am currently watching this lecture series to fill in some gaps in my general knowledge. Good for a overall grounding in the markets

http://itunes.apple.com/WebObjects/M...n?id=341651306

Mark
Good stuff. Gotta grab these and watch later
  • #1,093
  • Sep 13, 2010 9:00pm Sep 13, 2010 9:00pm
Good thread and interesting discussion here, especially relating to Acrary at ET. I hadn't read his stuff until recently, but I found his last post on a thread from 5 years ago ("System Development with Acrary") particularly insightful. I'll repost it here.

"For every system I develop I use DUM.

D - Define

All systems are based on finding and pulling a fundamental truth about the market. Define what fundamental truth you'll be going after. Ex. All markets have a tendency to trend beyond random. Now you've got the definition that most technical-based hedge funds are derived from.

U - Understand

Determine the conditions under which the defined truth tends to occur. In the case of a trend tendency it could be when does the trend tendency begin beyond random? This will lead you to how do I measure a trend? Since trends can occur randomly, how do I determine if a trend is beyond a confidence level of randomness? Does the trending tendency beyond random exhibit the same degree of persistence beyond one year? two years? 5 years? If not, is there some point at which the persistence beyond random occurs every year? If so, does it also persist at the same frequency for 5, 10, 50 different markets? If so, you've discovered a fundamental truth and you now understand what you need to know about the behavior.

M - Mine

Once you understand the conditions under which the behavior occurs, you write the code necessary to map the understanding of the behavior. Is the code going to be all inclusive of many markets? or try to just go after the best of the best? Once mapped it's a mechanical process to determine how well it maps against the behavior. After you're satisfied you've developed a satisfactory method for mining the behavior, you can do an edge test to see if it happens beyond random. If not, use Monte Carlo sims to determine confidence levels for trading the method. Determine at what confidence level you'll stop trading. Examine the drawdown versus the profit. Is it worth risking any money on this? If so, allocate money using a money management scheme.

After you're done with this, you'll have your first system. Next, develop a complimentary system (non-correlated). Go through the same process for say a range bound system. Once you've gone through the mining stage, use the correlation test to weight the two systems. Apply the weights to the money management scheme and move on to your third system.

There you have it. The entire system development process...."

http://www.elitetrader.com/vb/showth...&pagenumber=50
  • #1,094
  • Sep 14, 2010 1:39am Sep 14, 2010 1:39am
Quoting PiedPipper
Good thread and interesting discussion here, especially relating to Acrary at ET. I hadn't read his stuff until recently, but I found his last post on a thread from 5 years ago ("System Development with Acrary") particularly insightful. I'll repost it here.

"For every system I develop I use DUM.

D - Define

All systems are based on finding and pulling a fundamental truth about the market. Define what fundamental truth you'll be going after. Ex. All markets have a tendency to trend beyond random. Now you've got the definition that most...
Sure beats "The trend is you friend".
Economists have forecast 9 out of the last 5 recessions
  • #1,095
  • Sep 14, 2010 7:12am Sep 14, 2010 7:12am
Quoting markmm
Sure beats "The trend is you friend".
Hahaha, sure does. The same idea still applies though - most people won't listen.
  • #1,096
  • Sep 14, 2010 8:47am Sep 14, 2010 8:47am
Quoting markmm
Sure beats "The trend is you friend".
I agree. I like his statement, "All markets have a tendency to trend beyond random" which contradicts the random walk theory to an extent. There will always be disputes between 'Is the market random or not random?', but I think acrary's take on the subject is a good one--the market can be both random and nonrandom at times. The key then is to identify when the nonrandom behavior is occurring, understand why, and exploit it. This provides a basis for an edge to a system.
  • #1,097
  • Sep 14, 2010 2:49pm Sep 14, 2010 2:49pm
@mikkom:

Perhaps I have discovered this thread too late... I certainly read the whole of it (12 hours of my life, but worth it).

I too have gone the proprietary road with my own backtesting and execution framework and I'd like to share my approach with using mt4 for executing the systems with different brokers.

I hope this will be appreciated as I've seen you struggling several times with api and mt translation of the algos you come up with.

My approach is to not replicate the systems in MT4 at all. I just use it as a dump interface for feeding quotes and executing orders. I have a single EA that just:

1. Feeds the new quotes into my framework at the begin of the start() function via a glue DLL.

2. Receives and executes "events" from the framework via a simple getevent method. Results are fed back in my framework via another call-back.

Events are things like "open/close" positions.

This has the advantage that I have total control of what happens inside my framework and there's no space for bugs introduced in translation.

Also the results in MT4 are guaranteed to match the framework.

I understand you're using Java (I'm a C/C++ beast) but I'm sure your framework can be linked to a DLL (even if you have to resort to sockets).

Thank you for a useful thread.

pvpn
  • #1,098
  • Sep 15, 2010 1:09pm Sep 15, 2010 1:09pm
Quoting mikkom
I'm looking for more sites to read - I'm mostly looking for sites about systematic/quant aspect of trading so please dump your favourite sites.

Here are some sites that I read, some frequently, some [very] infrequently - some are much more dead than others.

http://www.nuclearphynance.com/

http://www.wilmott.com/index.cfm?NoC...=Yes&forumid=1

http://www.quantnet.org/forum/

http://www.tradingblox.com/forum/
This is in response to a post from a long time ago, but I've been recently digging into the subject and came across this site which has a lot of interesting articles (at least to me). Maybe it is of use to someone:

http://www.systematic-testing.com/ev...al_testing.php

http://www.systematic-testing.com/do...FitnessFct.pdf
  • #1,099
  • Sep 16, 2010 12:50am Sep 16, 2010 12:50am
Quoting pvpn
My approach is to not replicate the systems in MT4 at all. I just use it as a dump interface for feeding quotes and executing orders. I have a single EA that just:

1. Feeds the new quotes into my framework at the begin of the start() function via a glue DLL.

2. Receives and executes "events" from the framework via a simple getevent method. Results are fed back in my framework via another call-back.

Events are things like "open/close" positions.

This has the advantage that I have total control of what happens inside my framework and there's...
That's a good way of doing things and I definitely will think about using this kind of solution in the future when I'll update to the next version.
  • #1,100
  • Sep 16, 2010 3:10am Sep 16, 2010 3:10am
Quoting mikkom
That's a good way of doing things and I definitely will think about using this kind of solution in the future when I'll update to the next version.
Thank you.

I thought GA algorithms were long forgotten. They were a big hit in the 90s when I was still programming for living, but haven't seen much talk about them lately. You certainly motivated me to dig in this field again and see how much trading AI I can squeeze using them.

I've been thinking a little about what your achievements are currently and the smoothness of the cumulative "earnings" curve you managed to obtain and the reasons behind it.

My take is that by having a large number of (profitable) algorithms you're dividing the risk among them and the resulting drawdown is just a fraction of the total possible with a single alg (let's call it individual).

In other words: you're betting a small amount on each individual. Each of them has the opportunity for a long-run (be it once a year if necessary) but a very small opportunity for a big DD (as losses are cut and affect only a single individual).

With your population based on mostly BO systems it makes sense.

In a way, this is a mechanical implementation of the "cut losers/let winners run" strategy.

Please feel free to comment or not on the above. I understand if you don't want to share knowledge in a public place.

pvpn
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