“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 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 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!””

Petra on Programming: The Gann Hi-Lo Activator

Fortunately I could write this article without putting my witch hat on. Despite its name, the ‘Gann Hi-Lo Activator’ was not invented by the famous esotericist, but by Robert Krausz in a 1998 article in the Stocks&Commodities magazine. In a recent article, Barbara Star combined it with other indicators for a swing trading system. Will an indicator with the name ‘Gann’ work outside the realm of the supernatural? Continue reading “Petra on Programming: The Gann Hi-Lo Activator”

Petra on Programming: The Compare Price Momentum Oscillator

Vitali Apirine, inventor of the OBVM indicator, presented another new tool for believers in technical analysis. His new Compare Price Momentum Oscillator (CPMO), described in the Stocks & Commodities August 2020 issue, is based on the Price Momentum Oscillator (PMO) by Carl Swenlin. Yet another indicator with an impressive name. But has it any use? Continue reading “Petra on Programming: The Compare Price Momentum Oscillator”

Petra on Programming: Truncated Indicators

Cumulative indicators, such as the EMA or the MACD, are affected by a theoretically infinite history of candles. In finite backtests, these indicators return slightly different results depending on the test period. This effect is often assumed negligible. But John Ehlers demonstrated in his July S&C article that it is not so. At least not for some indicators, such as a narrow bandpass filter. We have to truncate the indicator’s ‘internal history’ for getting consistent results. How do we do that in C? Continue reading “Petra on Programming: Truncated Indicators”

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”

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”

Algorithmic Options Trading 3

In this article we’ll look into a real options trading strategy, like the strategies that we code for clients. This one however is based on a system from a trading book. As mentioned before, options trading books often contain systems that really work – which can not be said about day trading or forex trading books. The system examined here is indeed able to produce profits. Which is not surprising, since it apparently never loses. But it is also obvious that its author has never backtested it.  Continue reading “Algorithmic Options Trading 3”

Hacking a HFT system

Compared with machine learning or signal processing algorithms of conventional trading strategies, High Frequency Trading systems can be surprisingly simple. They need not attempt to predict future prices. They know the future prices already. Or rather, they know the prices that lie in the future for other, slower market participants. Recently we got some contracts for simulating HFT systems in order to determine their potential profit and maximum latency. This article is about testing HFT systems the hacker’s way. Continue reading “Hacking a HFT system”

Bye Yahoo, and thanks for all the fish

Just a quick post in the light of a very recent event. Users of financial functions of R, MatLab, Python, or Zorro got a bad surprise in the last days. Scripts and programs based on historical price data suddenly didn’t work anymore. And our favorite free historical price data provider, Yahoo, now responds on any access to their API in this way:

Continue reading “Bye Yahoo, and thanks for all the fish”

Dear Brokers…

Whatever software we’re using for automated trading: We all need some broker connection for the algorithm to receive price quotes and place trades. Seemingly a simple task. And almost any broker supports it through a protocol such as FIX, through an automated platform such as MT4™, or through a specific broker API. But if you think you can quickly hook up your trading software to a broker API, you’re up for a bad surprise. Dear brokers – please read this post and try to make hacker’s and coder’s lifes a little easier! Continue reading “Dear Brokers…”