Q http://www.businessweek.com/magazine/content/05_16/b3929113_mz020.htm Cracking The Street's New Math Algorithmic trades are sweeping the stock market. But how secure are they? Ted Oberhaus used to have one big headache. As director of equity trading at the $93 billion Jersey City-based Lord Abbett & Co. mutual-fund group, he typically needs to buy and sell about 7 million shares a day. Trouble is, the average-size deal on the New York Stock Exchange has fallen to just 400 shares, down from 1,477 in 1998, when prices were last quoted in fractions, according to market researcher The TABB Group. As a result, if other traders get wind of what Oberhaus is up to, market prices could move swiftly against him. "We're trying to put elephant-size orders through a keyhole," says Oberhaus. UQ Average size falling from 1,477 to 400 yearly - Would it be possible due to many traders in such as Europe and Australia trading CFDs instead of shares?
I see I think you're caught in between the line of belief an indecisiveness... It's understandable... First off know that I don't even try for the most part to catch 1000 pips a week. Is it possible? There is no doubt about it... How would it be done? Artificial Intelligence and Computer aided trading...The reason why I may sound the way I do about FOREX is because it's really all I've ever known. Do I know how to trade other markets? Sure... But I spent everyday of my life studying the Forex market at one point looking for the answer I was seeking. Sure I knew all the basics to make you a good trader. Heck I even knew the stuff that makes you an even better trader like the scientific things you can use, but still it wasn't enough to comfort me at night. It wasn't until I started realizing that no one really knows the ultimate answer to this stuff that I took it upon myself to apply things not even related to Finance to the FOREX Market. What do you ask? How about Cantor's Ring Theory....Hmmm how about what scientist use to detect the fast folding of proteins. I could go an and on but eventually I'd get to what I actually use... Then I had to learn things about Hardcore computing. So Beowulfs, grids,distibuted computing, and supercomputing are in the eqaution as well. Damn!... had to learn C++... My suggestion considering there is 64 bit computers now...Learn Python... I've built myself a complete symbolic C++ scientific platform just for trading I use, but I've ported it all to python modules to see if I could notice much difference. If you're not seeking to do anything crazy...It will work fine...Hmmm since were thinking outside the box... How about buy the GBP/USD and buy the USD/GBP while the USD is declining... Wow would you look at that. Oh so that's the kind of things banks do?...Go figure...I could go on and on but I'm not... Just know that I gave away a small portion of my life to become what I am today at this. I use to sit at a computer religiously everyday where I couldn't even sleep becasue everytime I did I'd wake up and head right back to the computer... Then one day... Nearly everybody I run into that has something to talk about the markets sounds silly to me. I go get a tattoo on my neck of a 8 point directional star, but instead of N,E,S,W stuff... I've got EUR,USD, GBP, YEN etc... on it instead... Looks great with my dress shirt on even with clients. Because if they no one thing for sure they know what I'm about....THE FOREX... Vizion
Q Buy Siders Toe Dip With FX Algorithms By Daniel Safarik Wall Street & Technology August 22, 2005 http://www.wallstreetandtech.com/ad...AFXHR4QSNDBGCKHSCJUMEKJVN?articleID=169500451 Financial Labs, which specializes in Group of Seven currency pairs and crosses, trades about $2.3 billion on EBS alone and up to $4 billion per day across all of its bank and platform counterparties, according to Sokasian - all via algorithms. Financial Labs trades about 1000 times to 3000 times a day, Sokasian says. The firm's models are developed based on sophisticated statistical analysis done internally and based on the firm's own IP. They are structured so as to insure that the cumulative position the firm builds up in any given currency never exceeds its collateral. UQ http://www.wallstreetandtech.com/advancedtrading/directory/
http://www.elitetrader.com/vb/showthread.php?s=&postid=645841#post645841 Q http://www.elitetrader.com/vb/attachment.php?s=&postid=866011 EURUSD Day => Ave Range Sun => 24 Mon => 92 Tue => 102 Wed => 101 Thu => 83 Fri => 80 UQ How about an average of (1000/22=) 45 pips per trading day for EUR/USD?
I've got a girlfriend that is laughing her ass off at some of this stuff right now... First off there is no such thing as a time frame... Figure that out for yourself... I actually liked one of the articles you pointed to... Truthfully it comfirmed what I've been saying about risk not being worth the return at some point... But there were some points I took note of that I felt like commenting on... "How would an algorithm really negotiate a changing marketplace? I think it will be wait and see for a while." _________________________________________________________________________________________________________________ It's called a Genetic Algorithm. Try going to SunGrid if you have any doubts... __________________________________________________________________________________________________________________ The world of FX algorithms still resembles the Wild West, and it will probably be some time before algorithms are used by traditional money managers _________________________________________________________________________________________________________________ Welcome to my world! __________________________________________________________________________________________________________________ "There is a two-stage evolution," Tai says. "You first have to get people to think electronically in the simplest sense - you get them to place limit orders and be comfortable doing it themselves. That is a big mental hurdle most buy siders do not overcome," he contends. "It is easier to lay it in someone else's lap; that way, you have an excuse when it goes wrong. So you have to have that first evolution of people willing to take [the responsibility of direct e-trading] on their shoulders before algorithms make sense." ____________________________________________________________________________________________________________________ Why I don't usually open my mouth up for FREE... ____________________________________________________________________________________________________________________ Standard FX Models In the FX market, most money managers develop their own algorithms. This is at odds with the common practice in the equities market, in which money managers rely on the sell side or technology vendors to create trading models for them. Below are some of the standard FX models. - Flow models. These are based on custodial data on currency holdings. - Pure trend models. These are based on previous price movements. - Carry models. These dictate the purchase of currencies based on the best interest rate return for a given time horizon ____________________________________________________________________________________________________________________ My model...It's called the EN-VIZION THIS MODEL... I actually decided to sign up on these forums after looking at this site for years, just for kicks... I love to debate... I don't even see it as flaming. But I'll restate my comment about this... Until you figure out a way for you to look at every underlying time frame that you trade on more likely than anything you'll be a Loser at this...Not directed towards you OddTrader just a message for everyone...
But...but... "I've got a girlfriend that is laughing her ass off at some of this stuff right now... First off there is no such thing as a time frame..."
I was kind of wondering about this apparent contradiction myself. Maybe mrvision would be so kind as to enlighten us mere mortals.
Ahhhhh a moderator... I have to humble myself indeed...One of my favorite moderators also... Far be it from me to tell you that one of my favorite songs goes along as saying..."F'ck you pay me I'm all out of favors" ... Well I'll give away this... Now say for instance that you look at the hourly time frames to resolve your PROBLEM. I'll ask you why wouldn't you feel that if you stare at hourly charts that anything underlying amongst them would be of value to you... Well let's talk about weights... The underlying aspects as to how your brain works... Well to shorten my writing and to tell you that time is a function within istelf... Offer it a value... So let's say suppose you were to use 60 minute charts as I said before, and use 1,2,3,5,10,15,30,45,60 minute charts as a underlying time frame... You would make yourself an eqaution like this... Please forgive me... 1+2+3+5+10+15+30+45+60=174 Take the number you've added together ...IE..174. Take the number 1 and divide that by 174=0.0057471264367816091954022988505747... Take that number and reassign that 1% value by multiplying it by the amount of time it represents... So (1*0.0057471264367816091954022988505747)+(2*0.0057471264367816091954022988505747)+ (3*0.0057471264367816091954022988505747) etc... until you reach 100% of the "time frame" you have defined... It will give you a value of what each is worth in comparison to the "time frame" you are trading. Now there is obviously waaaaay more to this but if you catch on quick you'll get the idea... Like I said before PAY ME... And the only reason why I'm willing to say anything is because I'd like to see what I use personally stop working...because I'll be damned if I can't figure out the next equation... I'm erasing this statement in less than an hour....