Not all scripts we’re hired to write are trading strategies. Some are for data analysis or event prediction – for instance: Write me a script that calculates the likeliness of a stock market crash tomorrow. Some time ago a client ordered a script for improving the performance of their company. This remarkable script was very different to a trading system. Its algorithm can in fact improve companies, but also your personal performance. How does this work? Continue reading “Pimp your performance with key figures”
Author: jcl
The Digital River Mystery
Digital River was a popular eCommerce service, used by thousands of developers and software companies worldwide to distribute their software. oP group Germany, developers of the Zorro platform, also sold their licenses and subscriptions through Digital River. They have large clients, such as nVidia and Adobe. The first hint that something strange was going on with Digital River was an email in July to their clients. Continue reading “The Digital River Mystery”
Trading with REST
Many brokers and exchanges can nowadays be accessed online with a REST API that communicates with plain-text HTTP requests. The days of awkward proprietary broker APIs are coming to an end. This article is a step by step instruction of implementating a REST API interface in C for connecting a trading system to the Bittrex cryptocurrency exchange. It’s for the Zorro platform, but the principles are also valid for other exchanges and platforms. The C code for a basic REST API implementation is relatively short and straightforward. Continue reading “Trading with REST”
Why 90% of Backtests Fail
About 9 out of 10 backtests produce wrong or misleading results. This is the number one reason why carefully developed algorithmic trading systems often fail in live trading. Even with out-of-sample data and even with cross-validation or walk-forward analysis, backtest results are often way off to the optimistic side. The majority of trading systems with a positive backtest are in fact unprofitable. In this article I’ll discuss the cause of this phenomenon, and how to fix it. Continue reading “Why 90% of Backtests Fail”
The COVID survival calculator
Trading is obviously affected by global pandemics. Not only because markets tank whenever a new virus variant emerges. It’s also personal. After all, if you know that you have only a few months before you likely die, you might be motivated to trade a little more risky. To help you with this decision, I’m publishing here a Zorro script that calculates your average survival time depending on the COVID incidence in your country and on your vaccination status. Continue reading “The COVID survival calculator”
Monetize Alternative Facts!
After last week’s events, major social media companies made another attempt at saving humanity. Twitter and Facebook booted Trump and some of his enablers, Google and Apple cancelled Parler. But is censorship the right way to stem the swell of disinformation, postfactuality, dislocation from reality? I think not. Here’s a better solution. And you can even use it to earn some extra dollars. Continue reading “Monetize Alternative Facts!”
“Please Send Me a Trading System!”
“It should produce 150 pips per week. With the best indicators that you know. How much does it cost? Please also send live histories of your top systems.”
Although we often get such requests, we still don’t know the best indicators and can’t send live histories. We do not invent algo trading systems, but program them from clients’ specifications. And we do not trade them, except for testing. But after almost 1000 systems, we can see a pattern emerging. Which algo trading strategies do usually work? Which will fall apart already in the backtest? Here’s a ranking of all systems we did so far, with a surprising winner. Continue reading ““Please Send Me a Trading System!””
The Scholz Brake: Fixing Germany’s New 1000% Trader Tax
Would you like to read – from begin to end – a 18 page pounderous law draft titled “Law for introducing a duty to report cross-border tax structuring”? The members of the German Bundestag apparently didn’t. After all, nothing seemed wrong with a duty to report cum-ex schemes. So the new law, proposed by finance minister Olaf Scholz, passed legislation on December 12, 2019 without much discussion. Only afterwards its real content, hidden on page 15, became public. It caused incredulity and turmoil among traders and investors. This article deals with the new bizarre German ‘trader tax’, and with ways to step around it. Continue reading “The Scholz Brake: Fixing Germany’s New 1000% Trader Tax”
The Mechanical Turk
We can see thinking machines taking over more and more human tasks, such as car driving, Go playing, or financial trading. But sometimes it’s the other way around: humans take over jobs supposedly assigned to thinking machines. Such a job is commonly referred to as a Mechanical Turk in reminiscence to Kempelen’s famous chess machine from 1768. In our case, a Mechanical Turk is an automated trading algorithm based on human intelligence. Continue reading “The Mechanical Turk”
Deep Learning Systems for Bitcoin 1
Since December 2017, bitcoins can not only be traded at more or less dubious exchanges, but also as futures at the CME and CBOE. And already several trading systems popped up for bitcoin and other cryptocurrencies. None of them can claim big success, with one exception. There is a very simple strategy that easily surpasses all other bitcoin systems and probably also all known historical trading systems. Its name: Buy and Hold. In the light of the extreme success of that particular bitcoin strategy, do we really need any other trading system for cryptos? Continue reading “Deep Learning Systems for Bitcoin 1”