Automated Trading systems
I am looking to get more involved in quantitative trading. I have worked on fundamental and technical strategies and would like to incorporate what I have learned into a medium frequency strategy that covers several different asset classes. I would appreciate any feedback from members regarding my questions.
Are there any vendors providing a one stop solution for integrating all of your work flow components effectively? For example data feeds, Matlab/R, API/FIX engine and certified FIX lines, data visualization tools, backtesting tools and/or black box strategy.
you'll have better luck asking about quant stuff at one of these sites:
quantnet.com wilmott.com nuclearphynance.com
thanks!
Questions about automated trading systems (Originally Posted: 05/06/2013)
So I have a background in programming and have done a lot of studying about technical analysis. I have started to put these parts together to build a basic automated trading system. My system so far catches most major trends and rides them out well, but is very vulnerable to false breakouts. The positions created from false breakouts are closed quickly, but the accumulation of many of these positions has a large effect on my profit.
For those who have successfully done this before, which markets are best to start in? Right now my system is used to trade currencies, but I am wondering whether it would be better to start in a commodity futures market (possibly less efficient that currencies). I am not looking to try this with equities, but I feel as though the system could be applied to pretty much all markets. Which might be best to start out?
A second question I have is which trading program or broker would be best to use? The program should preferably have a language based in C#, but this is not a requirement. As far as a broker goes, I am looking for one that will allow me to trade in many markets and gives reliable test data.
Also for those who have done this before, any tips/tricks would be greatly appreciated.
Tradestation has a great library of historical data to back-test with.
I recently visited this site for backtesting: https://www.quantopian.com/. It uses Python and at a first glance it looks good.
Thanks for the suggestions. I was definitely in need of reliable data.
Does anyone have an opinion on a market to start in?
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Hey MindOverMonkey!
Good questions. Also complicated questions.
The answer to all of those broad inquiries is always: it depends. How new are you? Have you been regularly investing and/or trading for a while? Do you currently have a brokerage account? If so, how much?
Clean data is always going to be a challenge to find, even if you're paying for it. So you should start thinking about and coding in some data validation procedures.
If you want access to futures and to have a nice API to code into, I would consider Interactive Brokers.
Keep in mind that no matter what route you take, you're going to spend 4 - 6 months just learning the ropes about how to reliably program your system into a feed and order management system.
As far as strategies go, if you have a strategy that is good but sensitive to certain environments, just get more strategies. Trading a portfolio of strategies can be treated similarly to trading a portfolio of stocks.
Cheers
Automated trading systems (Originally Posted: 03/01/2012)
I am looking to get more involved in quantitative trading. I have worked on fundamental and technical strategies and would like to incorporate what I have learned into a medium frequency strategy that covers several different asset classes. I would appreciate any feedback from members regarding my questions.
Are there any vendors providing a one stop solution for integrating all of your work flow components effectively? For example data feeds, Matlab/R, API/FIX engine and certified FIX lines, data visualization tools, backtesting tools and/or black box strategy.
Your question is probably better suited to the trading forum. Most quant HFs have their own sophisticated platforms.
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