Writing your own algorithm

Brady4MVP's picture
Rank: Neanderthal | 3,175

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.