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DutchDandy

Buy-in on Algo Trading

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Hi all,

 

I have been trading for some time now (15 years) and I have been always fascinated by blackbox trading. All the secrets surrounding this way of trading is just great, it is no wonder that they call it blackbox trading, because it is very hard to find a good algoritm.

 

Anyhow I started this post, because I want you to shine light on me :cool: and make me more (wall) street wise on this topic.

 

In an ideal world I would want to have self learning algoritm, but if you could give that to me you wouldn't be posting on this forum I guess (please tell me I am wrong :rofl:).

 

So what I am after what is more doable, is an algoritm to play small stocks on exchanges like NASDAQ and OTC. I have been fascinating by these small plays, because they are too small for big companies. I make some profit with a combination of indicators, but because there are so many small stocks to play, I can't play them all at once. That is why I want a computer to help me do the trading or even take over the whole trading :missy:.

 

If you are familiar with this kind of an algoritm based trading or you know which way to go with this, please get in contact with me. I am willing to learn badly and do business.

 

Cheers,

 

Pieter

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Hi all,

 

I have been trading for some time now (15 years) and I have been always fascinated by blackbox trading. All the secrets surrounding this way of trading is just great, it is no wonder that they call it blackbox trading, because it is very hard to find a good algoritm.

 

Anyhow I started this post, because I want you to shine light on me :cool: and make me more (wall) street wise on this topic.

 

In an ideal world I would want to have self learning algoritm, but if you could give that to me you wouldn't be posting on this forum I guess (please tell me I am wrong :rofl:).

 

So what I am after what is more doable, is an algoritm to play small stocks on exchanges like NASDAQ and OTC. I have been fascinating by these small plays, because they are too small for big companies. I make some profit with a combination of indicators, but because there are so many small stocks to play, I can't play them all at once. That is why I want a computer to help me do the trading or even take over the whole trading :missy:.

 

If you are familiar with this kind of an algoritm based trading or you know which way to go with this, please get in contact with me. I am willing to learn badly and do business.

 

Cheers,

 

Pieter

 

Are you looking to purchase ? or you have an idea which you want to develop ?

 

If you currently have a working system then converting it into a blackbox (or graybox) is plausible. Plausible if the system it non-discretionary.

 

As any trading system you have to be clear about trade identification, entry, adjustments, exits and money management.

 

Once that is coded, debug and tested the next step is integration with your broker. Here you are looking at redundant computer systems and getting as close as the broker's backend servers as possible.

 

Then comes another round of testing to ensure the redundant coding works.

 

Too many stocks to scan ? We can solve that by making the code distributed... and add another round of testing.

 

Self-learning algo adds another dimension of complexity. While the machine is 'learning' be ready to accept drawdowns.

 

Couple of issues that tend to arise include order entry limitations, error codes (especially from the broker), slippage, and the usual redundant distributed application issues.

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......

 

I have been trading for some time now (15 years) and I have been always fascinated by blackbox trading. All the secrets surrounding this way of trading is just great, it is no wonder that they call it blackbox trading, because it is very hard to find a good algoritm.

 

"They" call it blackbox trading because there used to be a time that trading systems vendors sold their systems in a 'black box' looking device that connected directly into the phone line and computer. This box was designed to magically spit out profitable orders, yet be tamper proof so that the end user could not determine how the algorithm worked.

 

I recommend you stay away from blackbox systems, unless you want to lose a large portion of your money before even getting started. If you're doing this for fun, then it's not so bad. But as a business, you need to be clear about the steps taken for you to be profitable. You don't have to be a programmer, but you need to understand basics about how the trading platform and trading system work in the same way that you do not have to be a car mechanic, but you do need a basic understanding of how a car functions to be able to operate it properly.

Anyhow I started this post, because I want you to shine light on me :cool: and make me more (wall) street wise on this topic.

.......

In an ideal world I would want to have self learning algoritm, but if you could give that to me you wouldn't be posting on this forum I guess (please tell me I am wrong :rofl:).

........

If you are familiar with this kind of an algoritm based trading or you know which way to go with this, please get in contact with me. I am willing to learn badly and do business.

 

Cheers,

 

Pieter

Wall street wise? Watch the sequel Wall Street: Money Never Sleeps. Avoid the mistake that the young protagonist makes. That'll wise you right on up.

 

Self learning robot? If you are referring to the ability for the robot to adapt to various trading conditions, a robot can only perform (or adapt) according to the instructions that have already been given to it.

 

I do have something along the lines of grid combined with counter-trend trading, but it deals only in forex (metatrader 4/5) It is not blackbox, but grey box in that you are fully aware of how the system operates, can make adjustments, etc.

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Self learning robot? If you are referring to the ability for the robot to adapt to various trading conditions, a robot can only perform (or adapt) according to the instructions that have already been given to it.

 

This isn't strictly true.

 

BlueHorseshoe

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@Alwaysastudent

 

I really don't know if I want to purchase or just tap in to someones else it's project. I have a fairly good idea what I want to do. At this moment I play small stocks on the momentum(swings) and I do rather well, so I want to do something with that. There are approximately 500 stocks listed on NASDAQ Capital Market, so it is hard to keep on track with all of them and especially when I like to play some OTC too.

 

I don't think that I need to be crazy quick with the algorithm, because with my slow human-speed I can keep up too :roll eyes:.

 

 

@4evermaat

 

Thanks for your insight. I have been trading for some time now and have played all kinds of papers, so I am not totally unaware. I know that it can be tricky to use a blackbox, but with the great amount of material to do backtesting and not putting all my money on the table I think I am fairly safe.

 

 

@Bluehorseshoe

 

I fully agree with you on that one.

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This isn't strictly true.

 

BlueHorseshoe

 

I am interested in the elaboration. I'm familiar with [concepts like] neural networks. But unless I'm missing something, ultimately the robot can only adapt (add/subtract rules) based on what the original rules stipulate for adaptation +/- any rules that have been modified since the start.

 

If we approach it this way, essentially you'd be trying to reinvent the wheel. Price is way too linear; how many outcomes do we need to account for?

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I have a fairly good idea what I want to do. At this moment I play small stocks on the momentum(swings) and I do rather well, so I want to do something with that. There are approximately 500 stocks listed on NASDAQ Capital Market, so it is hard to keep on track with all of them and especially when I like to play some OTC too.

 

Then your first step might be to fund a scanner instead of a full-blown auto trader. You can run the scanner once a day/week and manually trade the top few.

 

If you are interested in pursuing this (scanner or auto trader) PM me and we can take this discussion off-line.

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I make some profit with a combination of indicators, but because there are so many small stocks to play, I can't play them all at once. That is why I want a computer to help me do the trading or even take over the whole trading :missy:.

 

Steps to get you started:

 

Step 1: Download and install NinjaTrader.

Step 2: Play with the Market Analyzer and Strategy/Indicator Wizards.

Step 3: Read the code generated by the wizards and understand it til you can modify.

 

Keep playing and playing until your new software and methods give you enough confidence to use them to trade.

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I am interested in the elaboration. I'm familiar with [concepts like] neural networks. But unless I'm missing something, ultimately the robot can only adapt (add/subtract rules) based on what the original rules stipulate for adaptation +/- any rules that have been modified since the start.

 

If we approach it this way, essentially you'd be trying to reinvent the wheel. Price is way too linear; how many outcomes do we need to account for?

 

My algo trading wet dream, is the ultimate algo: you ditch loads of (stock) information in an programme and it tries to find a correlation between all data. There are algorithms that do such thing, take the pricing system behind Amazon.com. The problem with stocks are that the amount of data can be from the stock prices to the volume, other stocks, indices etc.

MUST SEE Ted presentation on algorithms: Kevin Slavin: How algorithms shape our world | Video on TED.com

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Then your first step might be to fund a scanner instead of a full-blown auto trader. You can run the scanner once a day/week and manually trade the top few.

 

If you are interested in pursuing this (scanner or auto trader) PM me and we can take this discussion off-line.

 

I'll be more than happy to purchase an auto trader. Main problem with what I experience is that I have to share my input and buy an easily copied piece of script, what makes it an self fulfilling prophecy. So if I don't watch out, I will be holding the bag in the end.

 

Did should you a little message anyhow, because we might find a good way to exploit both our knowledge.

 

"It is not expensive if you can sell it with a profit"

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"It is not expensive if you can sell it with a profit"

 

Not sure if its a dirty secret or a open one. Most retail traders make money by a combination of these methods:

 

  1. Trade own money
  2. Trade other people's money
  3. Sell / mentor their system
  4. Sell indicators
  5. Sell subscriptions to their newsletters

 

The last 3 smooth out their income flow even if 1-2 is the bulk of their monthly revenue.

Think of it this way, if their system nets 20% a month profit 20% of 0 capital is still 0 profit.

 

I'm not knocking the guys who sell their system. There is a place for everything. No one knocks McDonald's or KFC for selling their system and there is no reason to do so in the trading arena. That said: caveat emptor.

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Not sure if its a dirty secret or a open one. Most retail traders make money by a combination of these methods:

 

  1. Trade own money
  2. Trade other people's money
  3. Sell / mentor their system
  4. Sell indicators
  5. Sell subscriptions to their newsletters

 

The last 3 smooth out their income flow even if 1-2 is the bulk of their monthly revenue.

Think of it this way, if their system nets 20% a month profit 20% of 0 capital is still 0 profit.

 

I'm not knocking the guys who sell their system. There is a place for everything. No one knocks McDonald's or KFC for selling their system and there is no reason to do so in the trading arena. That said: caveat emptor.

 

That is absolutely true!

 

No one wants to sell of their secrets or gives away free-bees. I have done some fair time appraising companies for large Dutch banks, and advised them on what they should finance or how they could exit a company. So I have a good sense of knowing what a good price is.

 

Anyhow I think that I have to offer something too and combined with people that know how to make it to an auto trader. So we all can make decent money on it. :roll eyes:

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What is a good place to get historical data of small caps?

1 sec ticks are good enough for now and I just want to have a couple of hundred shares with a time span of 2-6 years I guess.

 

i'm doubtful you would find *free* 1 sec ticks. if you do please update the thread :)

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