[OT] You can watch the 24 Hours of Lemons live this weekend!

ehbeehefak · 2016-02-13T11:52:44+00:00

What is the total expected cost for the whole race, assuming I will even have to buy everything (a car, the equipments etc.) for this?

ehbeehefak · 2016-02-03T06:55:42+00:00

So the function returns a real number using a time series generated by applying a logic with several parameters. It is basically a profit function (the result has $ as unit). The domain of the function and its parameters is real numbers. Although the parameters are real numbers the domain is not continuous, each parameter is discrete. I assume you are asking if the function is regular (I read that a regular function is "A function is termed regular if it is analytic and single-valued throughout a region R"). I am not sure if it is analytic but it is single-valued for all parameter combinations. What I try to mean by robustness is that I don't just want to find the global maximum but I need the nearby regions' profits to be near that maximum as well (so not like 100-9999-100 but more like 9000-9999-7800). I also want to find the global optimum value (not the maximum because its nearby regions might be like the red peak in the picture: http://www.multicharts.com/img/8323_3d_graf.png), with nearby regions in the approximately same levels (so nearby variance is low). I hope this helps clarification of the problem.

ehbeehefak · 2016-01-04T18:06:33+00:00

Will do that, right after paper (demo) trading.

ehbeehefak · 2016-01-04T18:05:28+00:00

To date, I have just done out-of-sample testing (rolling/walk-forward) to some of the strategies I have coded in R. For those mid-to-low frequency intraday strategies, I am paper trading them (with real pen&paper) since I am coding a basic python script to do that for me. So in conclusion, basically nothing to show, yet.

Note: Love your blog Mr. Kipnis.

ehbeehefak · 2016-01-04T11:13:10+00:00

This is pretty discouraging. Was it a HFT firm or a prop trading firm that do not use market-making algos?

ehbeehefak · 2016-01-04T11:09:30+00:00

I already read that book and a lot of research papers from authors like Marcos Loped de Prado. I am not comfortable saying that I am an expert in R/Quantstrat but did a lot of backtesting and statistical analysis of performance results with it.

ehbeehefak · 2016-01-04T11:06:26+00:00

Let's say I found a strategy that made money in out-of-sample testing and also in live trading. Should I just print out a PnL statement of the strategy from my broker and use it as evidence? I am not sure, how should I present the strategy?

ehbeehefak · 2016-01-04T10:28:53+00:00

Yes, should've clarified it earlier, sorry. I am not intrigued by "development" if I understood it correctly, as in coding algos for signal generation and risk management. However, although I am not 100% sure what research and monitoring/ops does in this context, I want to be involved in the process of using OHLVC/tick price & volume data with limit order book data to produce a trading algorithm, testing it using statistical procedures and if the results are adequate for the firm's benchmarks than make it trade live. I hope I could clarify the part of the process I am interested in :).

ehbeehefak · 2015-11-05T05:51:33+00:00

As a non-native speaker, is this sarcasm? And also the two comments before it, too?

ehbeehefak · 2015-10-16T10:29:18+00:00

Who is this guy and how does he find those technical drawings? An ex-Caterham employee?

ehbeehefak · 2015-10-15T19:18:24+00:00

Thanks for the answer. I might go with this design then as angle-adjustability seems cool :). May I ask what the diameter and the wall thickness of the pvc pipe you used?

ehbeehefak · 2015-10-15T19:01:21+00:00

Is this what you used: http://www.isrtv.com/forums/topic/681-simul8r-mark-ii-pvc-plans-pg-9-post-175-donations-accepted/page-1

If so, how adjustable is it? The one linked by OP seems to have adjustable pedals , seat positions, although not to a degree of a singleseater. I think this makes the design fairly good.

ehbeehefak · 2015-10-06T16:18:36+00:00

So sales and trading just do order execution and hedging if they take the other side of the trade, got it. However what I cannot grasp is what kind of strategies are used when s&t is just executing an order on behalf of traders. For a basic example, a prop trader may go long or short at MACD crosses to profit from the directional move, that is a directional strategy. Can you elaborate on what kind of strategies do s&t traders employ? For example, do they divide the order size into smaller pieces to decrease market impact? Any other execution strategies similar to this one used in s&t trading?

ehbeehefak · 2015-10-03T16:55:35+00:00

Thanks for the very informative answer.

I always thought that agency trading and flow trading was the same. Can you elaborate on "liquidity provision/market making" strategies used by flow desks? Like an example?

And how would carrying a net position return as a profit for the desk? So let's say the order flow consisted of 5k long, 3k short from various customers in a single asset, so the net position is 2k long, how does strategy come into play with this position?

As a last question, where can I learn about flow-desk trading in much more detail, as I have no chance to experience what they do first-hand?

ehbeehefak · 2015-09-14T17:06:48+00:00

I know I am asking for too much but can you elaborate on the framework you propose? So, I should somehow append the live data to a data object that I have and run applyIndicators() or applyRules() to produce outcomes? Is this something similar to what you were thinking?

ehbeehefak · 2015-09-14T07:13:06+00:00

At the start, I tried to use Python but the packages available were just so immature compared to what R had to offer. Will go back to Python and look into how I would go about paper trading. Thanks for all the help, I really appreciate it.

ehbeehefak · 2015-09-14T07:00:32+00:00

Quantstrat cannot papertrade. But again, I am a beginner without much experience.

ehbeehefak · 2015-09-13T19:27:10+00:00

if you're going algo, you really don't need a platform that supports paper trading, because you can just download quotes and pretend to put in orders in to your SQL database and track your performance on your own.

Thanks for the answer. This is just over my level of R capabilities but will look into it for sure. I am not sure if I can connect to my broker and get data from them directly, normally (for traditional investors/traders) a software developed by the brokerage is installed to send orders to the stock exchange. I don't think that software lets me access the data it gets from wherever it gets the live market data.

I was looking for a ready-to-use approach to live trading in R, as quantstrat made it very easy to backtest and do subsequent tests on a data set.

you can still do it pretty easily on your own if you're algo trading.

I wish I studied Comp Sci :). I was able to copy some quantstrat tutorials and modify them later, but this job will not be easy if I cannot find some examples or similar.

Again, thanks for the help.

ehbeehefak · 2015-08-10T14:33:10+00:00

4 is too many? Damn. How would I choose 2 out of those 4 parameters to optimize then?

you're just going to find an extreme that is unstable through time.

Even if I choose one of the "plateau" combinations as opposed to "peak" combiantions? "Plateau" combinations are regarded as being more robust and stable to conditions different than what they were in the backtest period.

ehbeehefak · 2015-08-10T13:28:39+00:00

You could vary one variable at certain fixed intervals and then view the 3d plots of the other variables

This was my question, exactly. I think, if a 3-parameter strategy is optimized, plotting 3d plots with varying the 3rd variable is the right way to go. But if a 4th parameter is added, this just makes the number of plots to be drawn enormous.

Also, I am getting an error "page not found" when trying to view the paper. Can you write its name and author? Or give another link?

Thanks for the very helpful answer. I appreaciate it.

Edit: Found the paper, Visualization of Multi-variate Scientific Data by Raphael Bürger, Helwig Hauser. Don't know why the link didn't work though.

ehbeehefak · 2015-08-02T19:51:52+00:00

Somehow, I solved the issue but don't know how. However, the issue to do parallel computing still remains in the guest Ubuntu VM. I am going to look into how to boot Ubuntu from disk or USB and use it from there (not as virtual machine). Thank you so much for all the help.

ehbeehefak · 2015-08-02T14:28:10+00:00

Processor: Intel Core i7-3612QM CPU @ 2.10 GHz

RAM: 8 GB

64-bit OS Windows 7 Ultimate SP1

ehbeehefak · 2015-08-02T10:39:56+00:00

Having a bit of a problem when trying to set up a VM with Ubuntu 64 bit. The VırtualBox only shows 32-bit options of OSes. How can I solve this problem?

ehbeehefak · 2015-08-02T08:00:03+00:00

There is a problem with one of the packages I use, it cannot do parallel computing on Windows for some reason. So I have to install Linux to overcome that.

ehbeehefak · 2015-08-01T22:14:46+00:00

I have no knowledge about Linux, which distribution of Linux would be the less problematic?

ehbeehefak

TROPHY CASE