Recent content by IFeelFree

It's not a user-friendly system at present. It assumes you already have a cointegrated portfolio you want to trade. (If you don't know what that means, it wouldn't be useful to you.) Various parameters have to be updated weekly, which means running optimization routines for a couple of hours on...

Cream - Tales of Brave Ulysses (1967) https://www.youtube.com/watch?v=J2CCfxiQ5QY

The Young Rascals -- Good Lovin' (1966) https://www.youtube.com/watch?v=hTI24qht3e4

I traded a couple of private messages with him. He seems like he knows what he's doing but he's very secretive about his algorithm(s). I revealed details about my algorithmic trading strategy, but the most he would say is that he uses mean-reversion. I also questioned why he doesn't just trade...

I put in my short position at the close on Friday.

My trading algorithm has me short the S&P500 for the next few days. That could change in the future, so we'll see...

If you have developed a well-defined trading strategy and you have verified that strategy with careful backtesting, then it isn't gambling. It is exploiting an edge.

Forecasting market prices is easy? Good luck with that...

So, if something is hard, we shouldn't do it? One should only take on a coding task that one has the ability to accomplish. You code it, debug it, and backtest it very carefully and thoroughly. Also, for anything more than the most basic algorithmic trading, I would not use commercial...

Instead of increasing the number of strategies and markets, which is a brute-force approach, one may also investigate more sophisticated strategies that have the potential for higher return/drawdown ratios. This would include strategies based on trading a cointegrated portfolio of assets...

Try Ernie Chan's "Algorithmic Trading: Winning Strategies and Their Rationale". The first half of the book is mean-reversion trading algorithms. He gives you the code (in MatLab) for implementing the strategies, and shows examples of their performance, as well as their rationale.

That's a good example which shows that rexlord's trading scheme won't work. It's a mug's game. There are ways to make money trading, obviously, but simply buying more as the price falls doesn't work in the long run. Eventually a point comes where you run out of money, or the stock sits near it's...

You haven't put labels on the time (horizontal) axis, so we don't know how many years of data we're looking at, or how many trades were made. Based on your monthly returns, I calculate a 28.6% average yearly return, with a somewhat large 25.76% drawdown. Depending on how many trades were made...

I would love to see a forum on automated trading/algorithmic trading. The question is whether there are enough program traders here on T2W to support such a forum. I know there are a few, but not many, I think. For now, it's probably best to post on the "Trading Systems" forum.

The key assumption you're making is that stock moves are completely random -- 50% probability that stock goes up, 50% probability that stock goes down. That's true if a stock price follows a random walk, i.e., the stock price series is non-stationary, and also that one has no fundamental or...