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Systematic trading

  • #1,541
  • Oct 10, 2013 12:24pm Oct 10, 2013 12:24pm
Perhaps I am late and missed everything in this thread. As a half season programmer, I can do just a lil bit of coding, though reading many docstoc, pdf arxiV or the likes re systematic/automated/algo trading. I know that I can't make sound with only one hand. So I hope I'll find a group of coders interested in same topic to join for getting something out of nothing.

If you know that sort of team/project, could you recommend?
TIA.
  • #1,542
  • Oct 11, 2013 4:24am Oct 11, 2013 4:24am
Quoting mikkom
This might be interesting to some of you.. http://queue.acm.org/detail.cfm?id=2534976
Thanks buddy.
I'm not insane; my mother had me tested.
  • #1,543
  • Oct 12, 2013 5:25am Oct 12, 2013 5:25am
Quoting surfeur
{quote} Thanks, mikkom you orient you in HFT ?
Nope and at the moment I'm quite happy that I'm not :-) This article describes quite well why.
  • #1,544
  • Dec 1, 2013 11:17am Dec 1, 2013 11:17am
Interesting article once again, does anyone have any insider comments that he wants to share?

http://www.economist.com/news/financ...e-hoping-fresh
  • #1,545
  • Dec 10, 2013 6:25am Dec 10, 2013 6:25am
Again a link, this is a must thing to know if you are interested in training any model

http://edinburghhacklab.com/2013/12/...hine-learning/
  • #1,546
  • Dec 13, 2013 12:11pm Dec 13, 2013 12:11pm
Quoting mikkom
Interesting article once again, does anyone have any insider comments that he wants to share? http://www.economist.com/news/financ...e-hoping-fresh
well this is close to my nook of woods... my opinion is the hayday of basic trend following are over. The market is more evolved now and players composition at different time frame is much different now than 5 years earlier. So these funds who could make money earlier will have to adapt as well.

But this doesnt mean returns are zero / negative. Just that you have to be slightly more smarter now and combine more methods to get decent sharpe. Also managed futures (large trend following segment) works best in crisis situation so in some sense this is a hedge against long only stock portfolios.

anyhow for smaller players, trend followning generated money this year.
Think : Trade : Live Life
  • #1,547
  • Jan 24, 2014 3:33pm Jan 24, 2014 3:33pm
I'm not sure how many people here will appreciate this link but here it comes.. It's kind of eye opener when you understand what the paper says.

http://www.ploscompbiol.org/article/...l.pcbi.1003411
  • #1,548
  • Jan 24, 2014 4:38pm Jan 24, 2014 4:38pm
I don't consider myself stupid, but I have no idea what that paper is about, can I make money with it?
The breaking of a wave cannot explain the whole sea.
  • #1,549
  • Jan 24, 2014 5:37pm Jan 24, 2014 5:37pm
Quoting Craig
I don't consider myself stupid, but I have no idea what that paper is about, can I make money with it?
This is about amplifying noise in a complex markovian network (a stock market is one), so basically about volatility causing volatility without any external stimuli. What this means (IMHO! I haven't done the full research yet), you could model noise causing noise in the network and predict [extreme] volatility especially at those moments when there is no clear reason for the volatility (VIX might come to mind on the money making side..)
  • #1,550
  • Jan 24, 2014 7:13pm Jan 24, 2014 7:13pm
Well, predicting volatility with any accuracy would make you money.
Can you short the VIX? I'm not sure, but I'm sure there are other volatility tracking ETFs.
Actually, while I'm here, this is worth a read (if you haven't already).

http://papers.ssrn.com/sol3/papers.c...act_id=2043061
The breaking of a wave cannot explain the whole sea.
  • #1,551
  • Jan 26, 2014 3:33am Jan 26, 2014 3:33am
Quoting mikkom
{quote} This is about ...volatility especially at those moments when there is no clear reason for the volatility (VIX might come to mind on the money making side..)

Market makers have no obligation to anyone to report reasons behind price movement....reasons are on them ...timing is on them...
The Market pays you to be disciplined
  • #1,552
  • Jan 26, 2014 11:49am Jan 26, 2014 11:49am
Quoting mima
{quote} Market makers have no obligation to anyone to report reasons behind price movement....reasons are on them ...timing is on them...
What are you trying to say, that doesn't make any sense.
  • #1,553
  • Apr 17, 2014 4:40pm Apr 17, 2014 4:40pm
This might be a wrong forum for this question but has anyone tried using restricted boltzmann machines to predict time series data? PM me if you don't want to post to thread.
  • #1,554
  • Apr 18, 2014 5:53am Apr 18, 2014 5:53am
By the way if someone is interested in more basic systematic stuff, here is some really excellent stuff

http://www.oxfordstrat.com/rd-blog/
  • #1,555
  • Sep 12, 2014 6:42am Sep 12, 2014 6:42am
Here is some really interesting research stuff from Bundesbank

http://www.bundesbank.de/Redaktion/E...ublicationFile
  • #1,556
  • Sep 12, 2014 10:11pm Sep 12, 2014 10:11pm
ive traded systematically for years

thats why i know its more important to know why a currency is moving in a particular direction

the tech behind what makes you pull the trigger the same way each time is the only thing that matters

that way your sample of trades gives you a hint on what to do next
  • #1,557
  • Dec 3, 2015 9:10pm Dec 3, 2015 9:10pm
Quoting poopyguy
ive traded systematically for years thats why i know its more important to know why a currency is moving in a particular direction the tech behind what makes you pull the trigger the same way each time is the only thing that matters that way your sample of trades gives you a hint on what to do next
any trader have their own technique to make a profit.
i think its work for u, but its hard to me to make a profit by using this technique.
  • #1,558
  • Feb 11, 2016 4:24pm Feb 11, 2016 4:24pm
This is so excellent paper and probably so interesting to people reading this thread that I'll post it after a looong silence in this thread. Enjoy!

101 Formulaic Alphas

Abstract:
We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas. Their average holding period approximately ranges 0.6-6.4 days. The average pair-wise correlation of these alphas is low, 15.9%. The returns are strongly correlated with volatility, but have no significant dependence on turnover, directly confirming an earlier result by two of us based on a more indirect empirical analysis. We further find empirically that turnover has poor explanatory power for alpha correlations.

http://papers.ssrn.com/sol3/papers.c...act_id=2701346
  • #1,559
  • Feb 12, 2016 8:13am Feb 12, 2016 8:13am
Thanks for sharing.This guy (Zura Kakushadze)has some interesting papers but some are involved with heavy math( FeynmanKac Formula with Local Time and Derivative bla bla)
  • #1,560
  • Nov 13, 2016 9:16am Nov 13, 2016 9:16am
Very interesting! Thanks for sharing...
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