Market Models

Discussion in 'Automated Trading' started by ATSTRADER, Apr 7, 2006.

  1. As Trading Industry and technology progresses in 21st sentry, new ways of trading become employed by professional money managers... Decision making based on speculation about market trends and manual execution of the trades is still used widely by novice traders, industry professionals and large money managers use Market models automated trading systems. In most successful cases such trading models are designed as stand alone proprietary software, that is not connected to any widely used trading platform (Tradestation, Metastock, est...), and sends orders directly to Exchange servers or matching engines.

    Generally, there are 3 main types of Market models systems:
    1. Mathematical - where dynamic mathematical calculations are employed, and the most widely used among system developers;
    2. Statistical - where data analysis are used to create AI model of market behavior (the most mysterious type :D );
    3. And the market makers model - typical model of Forex dealers, FCMs, banks and est...

    Needless to say, that most of the Market Models systems require high capitalization and not for a public sale, because they are actually making money :)
  2. :D

    Hmm, wonder what the weather's like tomrrow?

  3. It depends on what someone's definition of high capitalization means, I have seen firms (or individuals) running quite successful market microstructure based high frequency systems with equity of only around $2-5M (through risk based haircuts, margin offsets, to achieve leverage). It is not necessarily true that all such systems are profitable, I have seen significant blow-ups recently with systems developed by quite reputable professional firms.
  4. ??? :confused:
  5. thx for sharing as always. wondering here, did these instances have anything in common, superficially?
  6. The smallest indivudal you knew was trading 2.5 mill? How much did he start out with? I would think you only need the 25K PDT minimum unless i'm missing something.

    Also, these blow ups sound interesting. Is hedging not so common for intraday bots? Were they just leveraged so far that a small factor threw them off? I'm interested to know how risk is approached in this type of "nonstandard" trading, not textbook stuff anyway.

  7. There are some models that have not been successful ofcourse...
    Market makers model works perfectly always, with no exceptions, some mathematical models I know, that have been traded for more then 3 years now in the Futures, consistently generate 8-11% return every month.
    About the capitalization, one mathematical model I'm watching myself it uses just $70k and stays already in the real trading on the Forex spot for 16 month with no "blow ups"...
    I never seen successful AI model, but I know some people who are testing such system now and claiming it should work... :)
  8. Q

    Contest Update, as of April 3rd, 2006:

    Each of the winners of this quarters trading contest have achieved triple digit gains or more. In fact, the winner of this quarters trading contest has realized gains in excess of one thousand percent! ...

    One of our winners cites his systematic and disciplined approach to trading as the cornerstone of his success. ...

  9. Just three questions:
    Was it real trading or paper?
    How many trades the winner made?
    To consider the trading approach successful minimum 1000 real trades should be done...
    Did NFA verified your claims?
  10. --------------------------------------------------------------------------------
    Quote from ATSTRADER:
    2. Statistical - where data analysis are used to create AI model of market behavior (the most mysterious type ); [/B]

    Good article on the use of statistics - with no mystery:
    #10     Apr 9, 2006