Another journal. A list of my old ones... http://www.elitetrader.com/vb/showthread.php?s=&threadid=9388 http://www.elitetrader.com/vb/showthread.php?s=&threadid=9298 http://www.elitetrader.com/vb/showthread.php?s=&threadid=12591 http://www.elitetrader.com/vb/showthread.php?s=&threadid=22669 http://www.elitetrader.com/vb/showthread.php?s=&threadid=148432 It's actually funny reading all the little shit I used to write about when I first joined ET... People change and grow... I love my VS2008, hence Goodies = VS...
There's 3 points to this thread... 1. I teach myself how to code in F#. I'll be coding my .NET Backtesting software written in both C#/F#. I'm not going to go in and make it complicated with FIX OMS or CEP/ESP. Just plain ol' basic stuff and keeping things free and somewhat of a standalone. At this point I'm not sure how far it'll go but hopefully I can code things to a point where it's integrated with QuantLib and QuickFIX. Considering the development efficiency... I'm going to be using WinForms on C#. WPF is fine but I think the technology is too raw for production. Most of the other stuff will be a lib. 2. Teach myself Quantitative Analysis. In another words, I teach myself F# and Quantitative Analysis at the same time. This would be a Quantitative Backtester. 3. I'm doing this for myself, not to serve the community or other BS. I have a life so I may not update stuff frequently as people insist... And I can post about something completely different like general stuff on systematic trading... --- Anyways here it goes: Code: #light
I started this thread to keep a sense of responsibility to learn new stuff but obviously, I'm lazy (actually, I'm a bit tied up with programming a batch automation for a little Middle office thingie...). So in the meantime... http://health.yahoo.com/news/ap/us_med_cancer_vaccines.html This is very interesting where it says: "A big problem has been getting the immune system to "see" cancer as a threat, said Dr. Patrick Hwu, melanoma chief at the University of Texas M.D. Anderson Cancer Center. Viruses like the flu or polio are easily spotted by the immune system because they look different from human cells." This is one of the major problems when dealing with any AI or Multi-Layer Optimization. It's very interesting how they don't teach the object itself but a mimic of an object.
I'm currently brainstorming about why the markets change and trying to take those subjective ideas into my risk monitoring engine. Let me start this discussion with the following: 1. Bad coding is out of the question. (ex. OMS/OES is broken) 2. Test pitfalls / testing systems unrealistically is not part of the discussion. (ex. tests using limit orders with fills on a swing top/bottom.) 3. Trade costs (commish and equipment) and IT stuff. Let's keep this out of the discussion for now. 4. No one is smarter than the other. If I have a system, it's safe to assume that another person should too. In anothers, this discussion is about a system performance and the market. All things surrounding it is not part of the discussion (It's important, but please keep it out) ------------------------------------------------------- That said, let me start off this discussion.... Everyone uses the same source of data to develop models. So there's a high possibility that the multiple developers will come up with models that utilize the same underlying tendency. You have computers developing models and there's a lot of multiple layer optimization techniques that data mine and working on exposing every little edge they can find. 1. Let's take curve-fitting. Who would be making more money... A model that re-optimizes their parameter real-time or a model that re-optimizes after they see a loss. I've seen this done in person, by a larger hedge fund which is taking a "reasonable" system and constantly re-optimizing it parameters real-time so that all the trades done are always optimal. I've done a lot of tests with this, it adds a lot of value if you have a "reasonable" base. In another words, it's a walk-forward enabled model. Re-optimizing on every tick is very consuming so there are a bunch of trigger based WFs like windowed-time, fitness-value, and market condition. 2. Fade systems. If you know an over-optimized system will fail, then why not trade the worst performing system out there? Obviously, these system continue to fail (statistically), most likely due to not getting an attention = doesn't change dramatically to a point where it reverses and makes money. I've ran, A LOT of, tests regarding points 1 and 2. Best fit and worst fit does not work well or has issues. But there's no need to deal with Best or Worst. All we need is to find the GOOD or PROFITABLE fit. Any ideas? or comments?
Actually... I have to add this... I've written BEST/WORST fit. But I can't really start anything without mentioning about the fitness measure itself. I've personally tried to find the best measure to assess a model but I never came up with an answer and I always end up assigning or creating one for each individual system and even more each system's tests I run. Obviously, you need both the appropriate measure and the appropriate way of assessing the measure. Just in case you don't get... measure = formula / function like Sharpe, Net profit, % profitability fit = factors that you use to decide on which set of test result you use. Anyway... any comments, opinions, and suggestions?
http://www.elitetrader.com/vb/showthread.php?s=&threadid=159342 In terms of the thread above, I found someone from the US. Unfortunately, he's not from ET. I was introduced to the dude (not a chick) from a friend of mine in Miami and the dude is moving to Tokyo after the 4th of July. Other than that... I have a few other stuff going on so that I can get more spare time to do more shit like learning F# and developing models / framework, unlike all the operational stuff I have to deal with. Thanks for those who applied.
you just keep burying yourself in codes and softwares you'll get nowhere that way, not everyone makes it, so good luck grasshopper
Yes. I need help with all the stuff I have (want) to code. One reason I hired the dude. Along with his resume, he sent me a simple .NET app. with his trading model hard-coded inside it. I click a button and it reads the csv file with historical data that came with the app. and shows the result. I test the app my own set of data with the same format. The dude is good system developer and good programmer. Don't get me wrong... I do discretionary trading, especially when the models are dealing with outlier markets like later last year. Those are the times when my skills from the prop. days shine like no other.
oh stop it just stop lying you are starting to get on people's nerves time to look into the mirror son, YOU ARE NO GOD DAMN TRADER you need 10 k and you need to open an IB account, and you need to get started how many years are you gonna waste sucking on your mama's tit time to grow up sonny