ET traders fully automated

Discussion in 'Automated Trading' started by newbie2006, Sep 28, 2006.

  1. man


    all ears.
    #21     Oct 3, 2006
  2. man


    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 ...
    #22     Oct 3, 2006
  3. squeeze


    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.
    #23     Oct 3, 2006
  4. man


    what is your expected return, vola, draw down?
    #24     Oct 3, 2006
  5. squeeze


    SR is just above 2 but looking to improve this.
    #25     Oct 3, 2006
  6. man


    not bad. thnx.

    (trade a sharpe of 2.0 for five years and you can retire peacefully ... :))
    #26     Oct 3, 2006
  7. 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.
    #27     Oct 3, 2006
  8. 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.
    #28     Oct 5, 2006
  9. Frey


    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.
    #29     Oct 5, 2006
  10. squeeze


    Presumably you are using FAST for compression/decompression to and from the database?

    Interesting idea. What is you average record size in the database?
    #30     Oct 5, 2006