First lesson (Noob)

Discussion in 'Automated Trading' started by Kastro_316, Sep 20, 2005.

  1. Hey guy's

    Let's say you are a teacher, and you teach Automated-trading 101, what would be the first lesson you would give your students? Maybe even an assignment that a student can do? :)

    Besides the programming, what do you suggest I start on?

    I am pretty "green" when it comes to A/T

  2. Data issues. How does your system handle bad data like spikes, gaps, trading halts?
  3. Thank you for the reply. I am not there yet (sad i know )

    I want to make a system and back test it. :)
  4. rickty



    You can approach this many different ways, depending on what you really want to do.

    As a "greenie", rather than "rolling my own" which could readily be done if you're a programmer using say, the IB API, I would take a survey of what is currently available and see what features are provided in a commercial software. So the first lesson might be to look at the overall structure and features of a commercial ATS.
  5. jason_l


    GREAT POINT! it seems nobody I talk to seems takes this into consideration. Everybody's seen "hanging" prices before, were you see a frozen bid or ask that's no longer where the market really is at. And how about the odd "execution" that pops up on the data feed that's no where near the market, giving that insane spike? I've had automated day trading systems get tripped up on these sorts of things before...
  6. Perry Kaufman -- of course, of Trading Systems and Methods and Smarter Trading fame -- has actually taught a graduate-level class (but targeted at those with little or no system buiding experience), on developing a TA-based trading system from scratch. Out of that class came a book, A Short Course in Technical Trading.

    Despite its necessarily limited scope (one semester goes by quickly...), it's a worthwhile book. And it's structured as a workbook, which would seem to fit in nicely with your needs, Kastro.

    Considerably more expensive, but with far deeper and wider scope are:

    - Dr. Van Tharp, How to Develop a Winning Trading System that Fits You home study course (workbook + CDs or audio tapes);

    - The Jack Schwager Trading Course (reference guide + VHS tapes).
  7. Do something that you don't want to do, such as eat a handful of dirt. That's what trading is like.
  8. auto



    I am running a automated Forex system with results published here

    It is a short term system 20-100 pips target. Backtest have shown it to be profitable. now running a forward test.

    here are some recent trades .. let me know if you are interested.

    <img src="" border="0" alt="">

  9. first - disregard all posts like the previous one from auto, who is a systems vendor. You asked about developing your own systems and he spammed your thread. Enough said.

    The only way to get your head around automated trading systems development is to actually start to develop systems. You need to buy yourself a piece of software such as Amibroker or Metastock or get access to Tradestation and start coding simple systems. The formulas for coding simple systems are easy to understand, but you don't even need to understand them at first -there is a large amount of code waiting for you, posted on the 'net in different forms, at Yahoo groups and other bulletin boards. Most commercially available programs come with a bunch of simple systems prepackaged and you can look at the code and figure out how they are constructed. Start by seeing what happens when you design a system that buys when the 15 period moving average crosses the 40 period moving average. Go from there.

    Programming skills help, especially with a program like Amibroker, but they are NOT necessary. I have been working on systems for the past while and I don't have very good programming skills. You would be amazed at how much help strangers are willing to give you once you pick a piece of software and sign up at the relevant user's group or bulletin board.

    There are several books that can help you in taking your first steps - they are all listed here. Do a search and you will find them. There is even a decent introductory systems development course available by clicking on the 'Training' at the top of this page. If you are a complete newb, you will definitely get something out of it.

    Bottom line is - if you are not already a quant (mathhead) and/or a programmer, you have a LOT of hours of work in front of you. You should love sitting in front of the computer testing ideas and learning. Then it can be done. And finally, I have talked to quite a few systems developers, including a lot of the guys whose work can be found on sites such as Attain and others, and most of them admitted that their best ideas were the simplest ones.
    #10     Oct 13, 2005