Systems Trading Blog
Trade versus Trader
Wednesday, August 15th, 2007What is more important - the trade or the trader?
In other words, is it more important to find a great trade, or is it more important to manage that trade efficiently. This is not something that I have the answer to, but is an interesting point to bring up none the less. Obviously both are […]
What do you mean I might lose money?
Tuesday, July 31st, 2007If I told you I had two systems that you could invest in. One has returned 30% year to date, and the other has returned 10%. Which one would you invest in?
Whichever answer you gave is wrong. Why? Because you can’t make any decision based on the performance of a system without considering the risk! […]
How to See the Future
Thursday, July 26th, 2007Live it!
Say you develop a strategy and want to check that it is not over-optimized and how it will handle itself in out-of-sample data. The best way to do that is to trade it on a demo account, going forward in real-time. Pretend it is a live strategy and that your demo dollars are real.
Walk-forward […]
The Rationality of Logic
Tuesday, July 24th, 2007It makes sense that things should make sense. I am the first to admit that there is a lot I don’t know. But there is a lot I’m ok with not knowing, mainly because I don’t need to. I don’t need to know why I’m kept alive by breathing air, why toast burns, or how […]
Gimme a D, Gimme an I…
Thursday, July 19th, 2007DIVERSIFICATION. I predict myself posting a lot on this topic. Diversification is undeniably one of the most important areas of any and all investment and trading strategies. And I’m not limiting this to my standard argument that any typical stocks and bonds portfolio needs a forex element for diversification (though it does!). I’m talking about […]
Re-Inventing the Wheel
Tuesday, July 17th, 2007So you have a simple trading system, your market maker offers an API to execute that system and you’ve done some basic programming in school. So building software to automate your trading is easy, right?
WRONG!
I can’t tell you how many traders / programmers feel that way. Building your own automated execution software is a very attractive […]
Trading At the Speed of Pips
Friday, July 13th, 2007Developing systems is difficult enough as it is. And I’m a big proponent of garbage in garbage out, i.e. you can’t rely on your results unless the data that you’re using to generate those results are accurate. So it is important to be sure that any data used in backtesting is reliable.
But where do you […]
The Fairest of Them All
Wednesday, July 11th, 2007Does the holy grail of automated trading exist? The one system that, despite all, will profit in any market environment. Is it out there? Could it be that one small idea, so basic that most have overlooked it? Or maybe it is so complex, that it involves the use of neural networks, artificial intelligence and […]
Intra-bar Fluctuations
Thursday, July 5th, 2007An area so often ignored in intra-day strategy development is the movement of the market intra-bar. By intra-bar movement, I’m referring to the exact path that the rate takes from the open to the close. . . .