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How many systematic strategies do you run concurrently?
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<3 31 55.36%
3-5 7 12.50%
6-8 1 1.79%
9-12 5 8.93%
>12 12 21.43%
Total: 56 votes 100%
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gmst
 

Registered: Jul 2011
Posts: 3696

 

08-18-12 06:18 PM


Quote from intradaybill:

Thanks for this algorithm JCL.

By the way, I would like to apologize to you like I promised to someone for attacking you but you also have to admit that you have talked very harsh about me in this forum by saying that I talk about bizarre things.

I think you are a great guy and your knowledge of math and trading is excellent.



Bill, thanks for adopting this civil tone. Much appreciated. I suggest you approach the moderators to delete the earlier attacking posts you made in this thread. This topic of creating a portfolio of systems is a hard problem - a clean thread will make it much easier to follow the thoughts and multiple methodologies. I believe the discussion in this thread is even hard to find in many books. If you can do that, that will be gentlemanly behavior. Cheers.

Edit: I am sure jcl can also ask mods to delete any out of the character post he made in the heat of the moment. Thank you guys.

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intradaybill
 

Registered: Feb 2008
Posts: 2962

 

08-18-12 07:59 PM


Quote from gmst:

Bill, thanks for adopting this civil tone. Much appreciated. I suggest you approach the moderators to delete the earlier attacking posts you made in this thread. This topic of creating a portfolio of systems is a hard problem - a clean thread will make it much easier to follow the thoughts and multiple methodologies. I believe the discussion in this thread is even hard to find in many books. If you can do that, that will be gentlemanly behavior. Cheers.

Edit: I am sure jcl can also ask mods to delete any out of the character post he made in the heat of the moment. Thank you guys.



Thanks gmst. This has been a hard period for everyone in several fronts, from markets to weather. I think this forum is useful and we have to support the moderators in keeping it clean of attacks, etc. My apologies to all for the sidetracking. JCL is a good man I think and he knows a lot we can learn from. I will ask the moderatos to delete the posts. I hope others will do the same.

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sle
 

Registered: Apr 2003
Posts: 1609

 

08-18-12 09:10 PM

I have an interesting question. The ones of you who run multiple systems in different asset classes all by yourself - how do you handle the IT/data and other organizational aspects? How many computers do you have? Do you run your own data DB and data collection?

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jcl
 

Registered: Jan 2012
Posts: 407

 

08-19-12 11:27 AM


Quote from intradaybill:

Thanks for this algorithm JCL.

By the way, I would like to apologize to you like I promised to someone for attacking you but you also have to admit that you have talked very harsh about me in this forum by saying that I talk about bizarre things.

I think you are a great guy and your knowledge of math and trading is excellent.


Wow, people are so kind with me lately. I wonder if I've won the lottery somewhere without knowing it.

I accept your apology, and also apologize for my harsh remarks, which were not particularly directed against yourself but also against the business and advertising methods of a certain software. I am glad that future discussions can now be more civil and constructive.

Quote from sle:

I have an interesting question. The ones of you who run multiple systems in different asset classes all by yourself - how do you handle the IT/data and other organizational aspects? How many computers do you have? Do you run your own data DB and data collection?


I have all systems and assets put together in a single strategy, so I run them on only two computers - one for life trading and one for the same strategy on a demo account. The price data is collected by an event handler.

The broker API I'm using does not support several instances on the same PC - otherwise it tends to crash. Therefore, without a compound strategy or some platform that runs many strategies simultaneously, I'd need indeed 100 computers for 100 strategy/asset combinations.

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savagemp5
 

Registered: Mar 2011
Posts: 205

 

08-19-12 05:53 PM

U dun need a robust system depending on the speed and complexity of your system

For real ops, u have namely a few like:

- Market data input sys => DB sys
- DB sys => algo sys
- algo sys may contain alot depending.
- algo sys => orders sys
- orders => feedback and clearing sys

Its more of how u wan to decouple a system that does everything (its posible) or to break them up for better processing

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sle
 

Registered: Apr 2003
Posts: 1609

 

08-19-12 06:50 PM

I am just thinking - in an institutional environment, you have people doing a lot of stuff that you end up doing yourself if you are a one-man show. Just the system administration and DBA duties should be taking significant amount of your time, I am not even talking about juggling development/research with actual trading. So I wanted to hear if you came up with some organizational gimmicks to improve your life, especially guys that are gray-box traders and are not running automated systems.

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