Writing your own algorithm

Brady4MVP's picture
Rank: Neanderthal | 3,189

Quick question for those of you at prop trading shops or hedge funds, who have written their own code for a trading model. In trying to generate ideas, did you guys primarily rely on your general market observations and/or various academic papers, blogs, etc?

My desk is still using a code that was written back in like 2006. And given the dynamic nature of the equity markets, I think it's time for me to try to work on a new model, preferably equity pairs or a basket. Right now we're doing intraday stat arb on hundreds of stock and etf pairs, but it looks like the opportunity to make money from that type of model has virtually dried up.

Comments (4)

Jan 11, 2012

Interested in hearing more about this topic.

Jan 11, 2012

Depends on the market. Equities stuff is everywhere so sometimes I'll just flesh out stuff I read in books & magazines (AAII is surprisingly good for this). For futures, forex, etc, the better ideas come from papers and specialty journals like ones on technical analysis or things like that.

Jan 11, 2012

I develop new algorithms on my desk, and the coders write them. All of my ideas I generate myself, lol no academic papers. I trade spot fx and commodity futures. I have one master algorithmic strategy that works in just about every market, I would say it is as close to alpha as ive seen so far. During my downtime, I work on new ideas and try to tailor them to the ever changing markets. I have about 5 different algos that I use, determinant on current market conditions.

Jan 23, 2012