“It should produce 150 pips per week. With the best EAs and 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, don’t believe in best EAs, and don’t sell top systems. We do not sell algo trading systems at all, but only program them for clients after their specifications. We do not trade them, except for testing. But after programming almost 1000 systems, we can see a pattern emerging. Which 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!””
Category: 3 Most Useful
The Cold Blood Index
You’ve developed a new trading system. All tests produced impressive results. So you started it live. And are down by $2000 after 2 months. Or you have a strategy that worked for 2 years, but revently went into a seemingly endless drawdown. Situations are all too familiar to any algo trader. What now? Carry on in cold blood, or pull the brakes in panic?
Several reasons can cause a strategy to lose money right from the start. It can be already expired since the market inefficiency disappeared. Or the system is worthless and the test falsified by some bias that survived all reality checks. Or it’s a normal drawdown that you just have to sit out. In this article I propose an algorithm for deciding very early whether or not to abandon a system in such a situation. Continue reading “The Cold Blood Index”
Hacker’s Tools
For our financial hacking experiments (and for harvesting their financial fruits) we need some software machinery for research, testing, training, and live trading financial algorithms. There are many tools for algo trading, but no existing software platform today is really up to all those tasks. You have to put together your system from different software packages. Fortunately, two are normally sufficient. I’ll use Zorro and R for most articles on this blog, but will also occasionally look into other tools. Continue reading “Hacker’s Tools”