New Poster: Mechanica vs SmartQuant?

Hi 5Pillars,

Thanks a lot, that would be great.

I wasn't expecting to hear from anyone for a while seeing it's morning in the Gulf and the middle of the night stateside.

Anyway looking forward to any information you have regarding the software.

Cheers Smoker

 

What is the temp now in Dubai?


I was up doing some EU market trades....fun stuff.

DAX and EuroStoxx50 are done.....waiting for the EC trade....Zzzzzzzzzz!

 

OK....finally my EC trade is done.....that is a night for me....I will send you the pm sometime after the US open (not the golf tourney).

 

Hi 5Pillers,

How come everyone makes Dubai the first guess for location in the Middle East?

Funny enough it’s not Dubai because Dubai doesn’t have any cash.

Don’t let the artificial Palms Islands, Emirates Towers, Jebal Ally free trade zone or Burj Al Arab fool you. The whole place is built on maxed out credit cards. Dubai has about ten years of oil left before they are dry and they never had that much oil in the first place.

So their business plan is to become the tourist/transportation/shopping hub of the Middle East since it’s the only game in town when you don’t have oil. A reasonable strategy but it means the credit is maxed out as you try to get to critical mass before the small oil reserves dry up because after that its making a living from tourist dollars or starvation.

Not that I wouldn’t be doing the same thing in their position but it does mean they don’t have any liquidity for investing in Hedge Funds or CTAs. Not a lot of people know it but Dubai has to come to Abu Dhabi with cap in hand every once in a while to meet their municipality payroll.

The surplus cash is at the oil and gas guys like Abu Dhabi, Qatar, Kuwait. Saudi is being bled dry by the free spending royal family even with oil at 70 bucks.

Anyway thanks a lot for the help, it is really appreciated.

Cheers Smoker

 

Hi Guys,

I would like to thank everyone that responded on this thread and in PMs to line up a few power users scattered around the world for me to talk with regarding the Mechanica vs SmartQuant issue.

Also thanks to those who had other packages to suggest.

To be honest at this point I am leaning to just buying both and let Darwinian survival take it’s course and make the choice regarding the winner on the trading floor and in the research group.

However nothing is written in stone so if there are any other suggestions or opinions out there please post them.

Again thanks to those who PMed me and if any of you ever come to the sandbox I owe you all a pint.

Cheers Smoker

 

Hi Guys,

Well it took years but I finally have an answer.

What happened is we bought both of them and Darwinism did shake out a winner and the gold metal went to Mechanica.

Day to day what I generally do is use Mechanica to do most of my fooling around, taking a shot, wako creative type of research and testing. If something looks cool I then pass it over to my professional programmer who checks my Mechanica code to make sure I don’t have any post predictive errors etc. Other wise I think I’ve found the Holy Grail about twice a year.

If after he checks the code and runs it independently with Mechanica and it still looks cool he programs the idea up in an in house back testing package with a different data source to see if the same result comes out.

So bottom line is Mechanica is the winner and that is my two dirhams worth on this issue.

Cheers Smoker

 

What are you backtesting? Can you offer some details?

 

Hi Ron Black,

I’m not testing anything that different from what I expect the rest of you guys are doing except for a couple slight twists. For example I am a lot less focused on signaling and more focused on which market is the best to put it on, how much to put on and what to do with it once it is on.

I am a pretty conventional systems trader that runs a global CTA style futures portfolio that more or less trades most global futures markets where I can find a FMC that can execute the trade along with reasonable liquidity. Most of my back testing is along the lines of what is the best way to put together the several different systems I use for signaling with regard to risk budgeting, jazzed up MPT etc.

I’ve got a few proprietary tricks I think are pretty cool but most of my stuff is yawn worthy conventional and in the vast majority of the cases I can express whatever concept I have dreamed up in Mechanica code for backtesting.

However that said, as I pointed out above I have direct access to a dedicated professional programmer that can sort me out if I get a little screwed up coding or if it has a real twist to it he can program it up using the in house custom backtesting platform etc.

Also I never put stuff into production unless I have the concept tested in two different sets of coding language and two different backtesting platforms and using two different date sources etc.

So at the end of the day I have a pretty conventional set of systems that I trade in around a hundred futures markets around the world. My backtesting is focused on stuff that will improve that type of a set up so hopefully I keep my seat and beat the BTOP 50 Index.

I hope this answers the question I think you were asking.

Cheers Smoker

 

Well you didn't specifically but I have no porblem with that. It's good to find out that some people are still backtesting. It's like hearing that some people are still using Morse code to send text messages.

I think these ET threads may help you to move forward:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=207633&perpage=6&pagenumber=1

http://www.elitetrader.com/vb/showthread.php?threadid=220286&perpage=6&pagenumber=1

 

Hi Ron Black,

Do you ever expect anyone is going to suddenly specify their proprietary stuff on an internet message board?

I work in the internal prop group for one of the biggest asset allocators in the world and see guys practically lose control of their bodily functions before spilling their secrets and that is when the incentive is a solid shot at bagging an elephant allocation; which happens to be a bit more rewarding than handing out freebies on an internet message board so sorry for being so cryptic.

I am just old school and after 30 years as long as the numbers keep coming I guess I am just not going to be as modern a guy as you think I should be but that is my cross to bear.

I will be sure to check them out since I would hate to lose my seat merrily trading away sunny tax free paradise.

All the best and thanks for the insightful advice.

Cheers Smoker