Explanation of the plot: Green line is the entry of the long/short pair [normalized], and the plot as time goes on is the net return from the period -before- the green line shock. Even if I adjust my entry, I find that there's enough drift in the assets that the gap does grow over time in some cases. Trying to figure out what a solid escape strategy is to cut losses.
You could look into python. I am switching over to python/numpy/matplotlib from matlab and am quite happy. Visualization using matplotlib is as good as matlab (in most respects). Speed is not an issue.
Yeah, python is excellent. I've been using it to prototype everything in my head lately. It's the best place to write a rough draft.
All the best! I'm in a similar situation, and would love to earn independently, even if it's a fraction of my salary; it's the quality time that money buys that is of value, not the money per se. You're pretty knowedgeable, and I hope you succeed. numpy/scipy sounds like the right way to go because in addition to matplotlib, you get to use R via rpy. R has some fantastic packages.
Totally random. I had lunch on Saturday with a hedge fund manager looking to play some arbitrage games. I was given an offer to work on their desk with one other quant to implement some cross-market arbitrage strategies. The meeting came about because I mentioned that my 2008 compensation was really low and that I was looking to go independent. Word got around and someone set me up with a nicer setup, better profit sharing, and more support (from other successful traders). So it looks like I'm still going to be in New York for a while. As for this journal, I'm going to continue the task of building a profitable retail trading system. I want to keep the commitment to myself that I roll out an independent system I developed myself, so the experience stays with me and that I have a framework to build off of as I progress.
I think I should mention this before you start getting deeper into posting stuff.... You can get into deep trouble posting things about trading on the internet while you are working in a trading related job. A friend of mine got fired from his job as a fund trader for posting materials on another forum, even though it had nothing to do with how the firm was trading. Most non-disclosure agreeements include that you don't disclose any information about the trading in and out of the firm, what-so-ever, due to the potential of leaking or providing false pretense about the non-disclosed information. It's a small industry. Just be careful about who knows you post in ET, in person, and what you post. Good luck trading - TS
I'm aware. I may need to stop eventually, but I'll try to stick to generalities if possible. There's clearly not much out there in terms of the evolution from scratch to profitable, at least not in an open fashion. The struggle ought to be documented qualitatively, at the very least.
I'm officially unemployed (until June). I have some personal obligations until May 11th, but I'm continuing with this journal because I think it's important. This journal is important because there are way too many people caught up in their own lives, suffering in their cubicles, and being taken advantage of by traders inside the corporate infrastructure. At some point, in most careers, you are bound to hit a ceiling -- the probability of getting on to the other side of that ceiling depends a great deal on social connections, social skills, having the right personality, etc. For whatever reason, I feel as if the requirements to move up in corporate America just aren't favorable to me. I don't have patience for the BS, and I'm tired of getting the 20k bonus for every 2 million I make some other guy. But furthermore, I want to emphasize that technology and being a competent programmer has more to do with making money these days than ever before. The problem is that the finance giants just see the technology as an easily obtainable tool -- it isn't. The compensation for technical people is just way too low, and the quality people aren't rewarded at all. It's such a raw deal for programmers who write software that flat out doesn't crash. This isn't a trading post, this is a motivational post. I've lived my life as a share-cropper for too long. The fight will continue until I'm either dead or successful. There really is no other option.
LoLatency, Congrats on leaving the plantation. I look forward to following this journal and think you will be able to make it a good educational thread. I wish you well on your journey. Happy Trading,