tag:blogger.com,1999:blog-35364652.post389093680987686968..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: High frequency trading ideasErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger57125tag:blogger.com,1999:blog-35364652.post-28824904951520516032016-04-26T19:17:49.805-04:002016-04-26T19:17:49.805-04:00Hi Danil,
I haven't tried, so I don't know...Hi Danil,<br />I haven't tried, so I don't know. But it does seem plausible.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-16634201945902522422016-04-23T13:06:04.065-04:002016-04-23T13:06:04.065-04:00Hi Ernie,
Is it possible now to do quote matching ...Hi Ernie,<br />Is it possible now to do quote matching without ultra hft (about half a second delay) in slow illiquid stocks with wide spreads?Anonymoushttps://www.blogger.com/profile/05452586474394636469noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-48025378030102784222014-08-07T15:25:36.206-04:002014-08-07T15:25:36.206-04:00Hi Amin,
Have you backtested your mean reversion s...Hi Amin,<br />Have you backtested your mean reversion strategy on high frequency data?<br />Or have you paper traded this strategy using live data?<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-26816800224705190812014-08-07T15:12:04.583-04:002014-08-07T15:12:04.583-04:00Hi Ernie,
I have an enquiry about mean reversion s...Hi Ernie,<br />I have an enquiry about mean reversion strategy. I have developed a program to detect Mean Reversion. But I do not know where to start applying this strategy to HFT. thanks for your help.<br />AminAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-527119157473125652013-08-05T15:56:19.524-04:002013-08-05T15:56:19.524-04:00Hi Anon,
Yes, your example of a Bollinger band com...Hi Anon,<br />Yes, your example of a Bollinger band computation is similar to what I have in mind. In both of my books, I have given numerous examples of Bollinger band strategies.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-6715628891905001482013-08-05T15:20:16.999-04:002013-08-05T15:20:16.999-04:00Hi Bernd,
A generic breakout method can be, for e....Hi Bernd,<br />A generic breakout method can be, for e.g., whenever the price breaks above the upper Bollinger band, we buy. The Bollinger bands can be computed based on previous days' prices at some specific time.<br /><br />Hi Ernie,<br /><br />Could you give an example of how you compute Boll bands as mentioned above? Do you take one price (say at 9:00 GMT) per day, over say a month and then figure out the st dev and moving averages using those 20 closing prices?<br /><br />thx<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-53143873787957524312011-04-08T14:20:55.361-04:002011-04-08T14:20:55.361-04:00This comment has been removed by the author.spritrighttps://www.blogger.com/profile/00537882876868707497noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-45419192932203153292011-04-08T14:20:40.537-04:002011-04-08T14:20:40.537-04:00The advantaged of a robot simulating a stop and en...The advantaged of a robot simulating a stop and entering a market order is not giving your adversary prior information about your next move. <br /><br />Stop orders could be used as bait. Close your position and cancel your stop before the price gets there. <br /><br />Muahahhahaa!spritrighttps://www.blogger.com/profile/00537882876868707497noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-78962015698169604772011-03-29T13:54:59.503-04:002011-03-29T13:54:59.503-04:00The strategy of gunning stop orders, strictly spea...The strategy of gunning stop orders, strictly speaking illegal market manipulation. SEC recently fined high-frequency shop for this type of thing.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-65225046351432221542011-03-14T05:42:01.287-04:002011-03-14T05:42:01.287-04:00Hi Ernie
The book "Ben Graham was a Quant&qu...Hi Ernie<br /><br />The book "Ben Graham was a Quant" is available as a Kindle ebook in certain regions.<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-20297794104540841112011-03-13T09:28:28.775-04:002011-03-13T09:28:28.775-04:00fdax,
I have written about an index arb strategy i...fdax,<br />I have written about an index arb strategy in the Premium Content area of my website:<br /><br />http://www.epchan.com/subscription/IndexTracking.pdf<br /><br />Subscription info is here: http://www.epchan.com/subscriptions.html<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-36761466054320863342011-03-12T17:26:41.125-05:002011-03-12T17:26:41.125-05:00sure,
i'm just trying to bring another idea o...sure, <br />i'm just trying to bring another idea of HFT, i've heard index arb is the main activity in the HFT field, <br />do you have any experience with that type of trading ?<br /><br />fdaxfdaxnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-41112217132671210352011-03-12T08:27:52.318-05:002011-03-12T08:27:52.318-05:00fdax,
Yes, theoretically index arb seems an attrac...fdax,<br />Yes, theoretically index arb seems an attractive HFT idea. In practice, it is not easy to make it work, especially for independent traders, due to brokerage latency and other problems.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-14261052267398258322011-03-12T04:18:25.344-05:002011-03-12T04:18:25.344-05:00and what about about cash vs futures or cash vs et...and what about about cash vs futures or cash vs etfs ???<br /><br />i guess this is the perfect topic for a frequency trading idea ...<br /><br />fdaxfdaxnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-82571620347711106472011-03-09T20:38:22.346-05:002011-03-09T20:38:22.346-05:00Hi Anon,
Thanks for telling us about "Ben Gra...Hi Anon,<br />Thanks for telling us about "Ben Graham was a Quant". From what I see, the book isn't published yet. But I will keep an eye out for it.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-49675690996180926532011-03-09T06:36:43.712-05:002011-03-09T06:36:43.712-05:00Hi
I required
Perry Kaufman New trading system...Hi <br /><br />I required <br /><b> Perry Kaufman New trading system and methods </b> <br /><br />Please someone give me download links for that <br /><br />If u have this book or any link please send me on my email-id<br /><br />its <b>rahul.dhawan09@gmail.com</b><br /><br />thanks in AdvanceRahulhttps://www.blogger.com/profile/15849049119738468437noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-7763749083506923822011-03-09T02:55:23.254-05:002011-03-09T02:55:23.254-05:00Hi Ernie
This is a somewhat off-topic post, mainl...Hi Ernie<br /><br />This is a somewhat off-topic post, mainly because I didn't know where else to post it.<br /><br />Have you read "Ben Graham Was A Quant" by Steven Greiner? I was looking forward to your review on the book.<br /><br />Thanks<br /><br />http://www.amazon.com/Ben-Graham-Was-Quant-Intelligent/dp/0470642076/ref=sr_1_1?ie=UTF8&qid=1299656959&sr=8-1Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-65077723082514880432011-03-08T21:06:49.305-05:002011-03-08T21:06:49.305-05:00The question is... what percentage of the time wil...The question is... what percentage of the time will your stop loss order be executed before the sell at the ask? Even if you have a potential 5* profit with the spread, if the stop loss gets executed 95%t of the time it's a losing strategy.<br /><br />Intra-day price data coupled with intra-day level II data, back tested will answer this question.<br /><br />Read my quantitative investing blog at<br /><br />http://thequantinvestor.blogspot.com/Dr. Troy Lauhttps://www.blogger.com/profile/05244925646438512339noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-82245089952856202182011-03-06T09:11:14.617-05:002011-03-06T09:11:14.617-05:00Bernd,
Since I don't know anything about mql, ...Bernd,<br />Since I don't know anything about mql, I can't comment on whether it is better or worse than Matlab. But one thing I know: I can implement any strategy with Matlab, whether intraday or not, and for any market. Also, many equities strategies (as opposed to futures/FX strategies) cannot be reduced to technical indicators, and so they cannot be handled by many standard trading software. Using Matlab does not tie to you a brokerage, as long as you can write a Java-to-Matlab link. <br /><br />But if trading FX is the only concern, and if mql is easier to learn than Matlab, then I am all for it!<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-83698448944845687072011-03-04T12:24:41.126-05:002011-03-04T12:24:41.126-05:00Thanks for the tip Ernie!
Another thing I would l...Thanks for the tip Ernie!<br /><br />Another thing I would like to ask you..why MatLab and not mql?<br /><br />Isnt the use of matlab "tying" you to specific brokers who offer the API to interact with their platform?<br /><br />MQL would tie you to brokers using metatrader, as far as i know, but you would still earn some power in case things go wrong with your specific broker.<br /><br />Matlab obviously has much more math power inside, but for short term strategies (intraday), it is mostly a matter of finding the right strategy using standard indicators,right? mql would be really fast for this i think.<br /><br />For intraday trading do you also use matlab? or would you recommend any other tool?<br /><br />PS: I think that if you posted about " developing an intraday strategy 101" with hands-on examples, it would raise a lot of interest for a lot of ppl.<br /><br />thanks ;)Berndnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-58869293978101612011-02-27T13:49:10.527-05:002011-02-27T13:49:10.527-05:00Hi Bernd,
A generic breakout method can be, for e....Hi Bernd,<br />A generic breakout method can be, for e.g., whenever the price breaks above the upper Bollinger band, we buy. The Bollinger bands can be computed based on previous days' prices at some specific time.<br /><br />As with most momentum strategies, I also find that both profit caps and stoplosses are needed.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-83710649667005362112011-02-26T22:13:57.732-05:002011-02-26T22:13:57.732-05:00Hi Ernie!
thanks for the feedback!
when you say:...Hi Ernie!<br /><br />thanks for the feedback!<br /><br />when you say:<br /><br />"generic volatility breakout methods for momentum trading"<br /><br />I dont really know what you mean, could you put an example or point me to some place where i can learn that? or elaborate the concept a little bit?<br /><br />thanks in advance!Berndnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-39582202619639872332011-02-26T21:49:50.492-05:002011-02-26T21:49:50.492-05:00Hi Ernie:
"generic volatility breakout metho...Hi Ernie:<br /><br />"generic volatility breakout methods for momentum trading"<br /><br />when you say this are you talking about any matlab tool to help you do this? or is it the basic approach of buying @ highest high , waiting to a channel breakout, etc.<br /><br />I remember i tried the later approach (with paper money) buying/selling with technical indicators/chart patterns...0 sum game for me. Many people claim they are able to do this on many forums, but i find their approach quite subjective, sometimes they use fibo channels, sometimes trendline ruptures, sometimes MACD... so they do not have a system that is easily automated.<br /><br />If you could elaborate a little bit more it would be nice, i dont really care about the money, but the problem solving itself.<br /><br />Do you need to get that "intuition" to operate manually? my logic says no, but maybe i just need more training...<br /><br />thanks for the light!!Berndnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-85725245736288807962011-02-26T14:36:30.604-05:002011-02-26T14:36:30.604-05:00Bernd,
I could not make the London Breakout strate...Bernd,<br />I could not make the London Breakout strategy work using the trend lines as I described.<br /><br />However, I found that it does work well using generic volatility breakout methods for momentum trading, entering at around 9am GMT as in the original description, and holding a maximum of 3 hours. So I consider this strategy verified!<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-62784156685594907062011-02-24T17:50:09.719-05:002011-02-24T17:50:09.719-05:00Thanks, Paul, for clearing things up!
ErnieThanks, Paul, for clearing things up!<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.com