Creating own trading system

Discussion in 'App Development' started by j2ee, Apr 5, 2013.

  1. j2ee

    j2ee

    American that I knew, they need to pay "double tax", USA tax + local tax, basically only the company is willing to pay crazy many dollars would make sense for the person to work oversea.
     
    #191     Apr 19, 2013
  2. i personally find hftvol posts very much needed for this forum and being rude or not i sure appreciate what he writes on the subject of software and programming

    all these posts written about him being this or that is just plain childish ,
    if you do not recognize there is a value in his posts find other forum
     
    #192     Apr 19, 2013
  3. Magna

    Magna Administrator

    Guys, let's get back to the topic of the thread and leave the personal attacks somewhere else. Many posts have been removed and if it starts up again a few people will need to leave ET. Thanks.
     
    #193     Apr 19, 2013
  4. dom993

    dom993

    I am in regular contact with NetTecture for about 9 months now, and while I respect him for what he does, I also know that he is not the one programming his strategies, he has a couple of guys doing that for him, and who knows how good they really are? Anyway, I am the one who pointed out to him the biggest flaw in his backtests back in July of last year, not his programmers.

    But his issue with "random" results is not what it seems. He was using several PCs for backtesting, and was having different results on different PCs. There are many good reasons for this to happen:

    - different historical data on different machines
    - different rollover dates and/or offsets on different machines
    - using even slightly different start/end dates on different machines

    Anyone using any type of recursive indicator (for example an EMA, ATR, or something using an EMA) should expect different results if the entire dataseries (start date/time and back-adjustement) is not *exactly* the same.

    I am doing thousands of backtests & optimizations with Ninja, and I always get the same results if I do twice in a row the same backtest. But it appears there are many ways Ninja can mess-up the rollover database, and I suspect a bug or two when Ninja reconstruct its data cache, which can lead to different results before/after reconstructing the cache. Yes, this is annoying as a difference in results may not be related to the strategy, on the other hand I know it, and every time it happens the 1st thing I do is backtest a reference strategy, and see if its results are identical or changed. In the later case, it is a data cache issue.

    On a more general standpoint, I have been in high-tech R&D (senior) management for over 20 years, and the NIH syndrom (Not Invented Here) remains a major waste of time & money, despite all the software components available (including retail platforms). To each his own, but I guarantee spending time & money to re-develop what's already out there is a recipe for being late to market (as well as be cost-ineffective).
     
    #194     Apr 19, 2013
  5. j2ee

    j2ee

    High-tech R&D but not financial trading system related....not really help...
     
    #195     Apr 19, 2013
  6. THe problem is that NInja makes it hard to coordinate chache sync when you get something like 5+ machines doing backtests. Add to that that for some time the same problem even appeared on one machine (due to nina happily swallowing data download errors) and you are in a world of pain.

    Crazy memory requirements add to that.

    We now use less than 512mb memory for a backtest that has always a maximum of 128 parameter pairs in optimization. More parameter pairs? -> more tasks. Every task has ONE spefific parameter set that is visible - if something is unusual, a developer can pull that parameter set and repeat the task locally on his machine.

    Add to that that there is no cache sync issue per definition (one database and one file share) and things look different like hell ;)
     
    #196     Apr 19, 2013
  7. Makis

    Makis

    Out of several pages of BS posts, dom993's post was one of the most valuable and informative, and you dismiss it as "not really help" because of his over 20 years high tech R&D experience. At the same time you hang on each of hftvol's posts..... Nevermind.... Good luck with your endeavors in the field.
     
    #197     Apr 19, 2013
  8. j2ee

    j2ee

    I am just saying the truth. For example, you can be in 3M making very high tech plastic for 50 years but have no idea how to write a trading system at all.
     
    #198     Apr 19, 2013
  9. dom993

    dom993

    How about that? (2007-2012)
     
    #199     Apr 19, 2013
  10. j2ee

    j2ee

    Show us your real brokerage transaction statements. A pic with some number on it means nothing in the internet world.

    A lot of people can even make a fat lady looks like a model with Photoshop, you wouldn't believe how good is the skill.
     
    #200     Apr 19, 2013