Discussion in 'Automated Trading' started by newbie2006, Sep 28, 2006.
it is (to me) the same as "how good is your system?".
and i think people who go fully automatic
usually know it, even if they don't think it is the single
most important figure.
but easy, no offense whatsoever intended ...
Robustness is the only property that a system needs to have to make it worth while to automate.
Automation is mostly about getting better faster, executition. It also provides easier diversification by allowing a trader to trade more more markets than could be done by hand.
what is your expected return, vola, draw down?
SR is just above 2 but looking to improve this.
not bad. thnx.
(trade a sharpe of 2.0 for five years and you can retire peacefully ... )
I have a fully automated system. Well, almost. I rollover my futures, when I have to, manually. I could automate that too, but it's just as easy to do manually once every three months.
For those who don't like sharpe with system trading, it depends on how your system works. With short term trading, I agree that other measures, like expectancy, would be better. For long term systems (I hold positions for weeks at a time), sharpe is the best, but not the only measure.
I am. More details in an old post:
My system is entirely custom written. Do a search to find some of the older discussions threads regarding system development, etc.
I am. Self written FIX engine hooked to Fimat, ML, ABN, ARCA as well as self written market data storage database based on FAST specs. All application level activity is stored in MSSQL database.
Presumably you are using FAST for compression/decompression to and from the database?
Interesting idea. What is you average record size in the database?
Separate names with a comma.