Is High Frequency Trading Too Fast for Our Own...
See on Scoop.it - Algorithmic Trading “Most disturbing of all, however, may be the tendency of HFTs to follow similar strategies — raising the question of whether some confluence of factors could trigger a runaway market event as HFTs run amok. See on algodude.com
CNBC ‘Freaking Out’ Over Decline in Ratings
See on Scoop.it - Algorithmic Trading “Squawk Box is down 16 percent in total viewers and 29 percent in the important 25-54 demographic bracket that advertisers buy. On Tuesday, the show drew its lowest numbers of the year in total viewers — 99,000.” Another indicator that the battered… See on algodude.com
Diversification Is Broken
See on Scoop.it - Algorithmic Trading Two heat maps from a HSBC study on risk-on risk-off (“RORO”). The first heat map shows the correlation of several assets before the financial crisis. See on curatedalpha.com
Efficiency May Be Special Case of Adaptation
See on Scoop.it - Algorithmic Trading In a new paper, Andrew Lo has educed from his Adaptive Markets Hypothesis five practical conclusions, among them that during times of crisis, the usual positive relationship between risk and return may not hold. See on allaboutalpha.com
The Case Against Lehman Brothers (60 Minutes)
See on Scoop.it - Algorithmic Trading Steve Kroft talks to the bank examiner whose investigation reveals the how and why of the spectacular financial collapse of Lehman Brothers, the bankruptcy t… See on youtube.com
3 Months After The MF Global Bankruptcy, We Find...
Via Scoop.it - Algorithmic Trading On the three month bankruptcy anniversary of the company whose rehypothecation gimmicks will one day be seen as a harbinger of everything that is broken with the multi-trillion ponzi system, but not just yet despite loud warnings otherwise, we are… Via zerohedge.com
Geometric Brownian Motion (paper)
Via Scoop.it - Algorithmic Trading A quick study on GBM models as applied to energy commodity markets (click on title for paper). Via algodude.com
Increasingly Complex Dynamics Over the Past Decade
Via Scoop.it - Algorithmic Trading “In a paper just out (as a preprint), he and Vladimir Filimonov offer a really novel analysis on the old question about whether market movements are caused by A. external influences such as news (exogenous causes) or B. influences internal to the market itself such as emotions, avalanches of belief and opinion, etc. (endogenous causes)…” Via...
Via Scoop.it - Algorithmic Trading This Algo Design Lab strategy will be an example of using the Spreader Block in ADL to create a start to finish trading program that legs a specific price le… Via youtube.com
S&P Intraday Price Study
Via Scoop.it - Algorithmic Trading —> In this post I would like to explore the intra day action of the market to determine if we can find an edge. Via traderslaboratory.com
60 Minutes - High Frequency Trading
Via Scoop.it - Algorithmic Trading A rare look inside the secretive world of “high-frequency trading.”… Via youtube.com
Quote of the Day
Via Scoop.it - Algorithmic Trading “Traders who don’t use stops are like option sellers: They eat like birds and shit like elephants” Via algodude.com
A trick to reduce Drawdowns | Au.Tra.Sy blog -...
Via Scoop.it - Algorithmic Trading Different types of drawdowns and different types of Equity Curves can mean different things in measuring a trading system performance… Via automated-trading-system.com
Live Algorithmic Day Trading
Via Scoop.it - Algorithmic Trading http://tuiproptrading.com/algorithm-trading-software.html Day trading the SPY live on Friday Oct 7th 2011, until about mid-day. The video contains raw footag… Via youtube.com
Via Scoop.it - Algorithmic Trading “This poor guy opened a large futures position into the weekend which gapped down like 650 points against him when it reopened, taking with it nearly his entire account. Ouch!” Via youtube.com
Three Consecutive Higher Closes
Via Scoop.it - Algorithmic Trading This system trades a variation of the “3 higher closes” strategy on the SPY index ETF. It trades from the long side only, using the following entry criteria: Buy SPY at the close if It has closed higher three consecutive days in a row and each… Via algodude.com
When 90% Down Days Are Followed By 90% Up Days
Via Scoop.it - Algorithmic Trading “After seeing over 90% of the volume come to the downside on Monday, Tuesday registered a 90%+ upside volume day. A 90% down followed by a 90% up day is something that was never seen from 1970 – 2006. But this is the 10th time we’ve seen it happen since the beginning of 2007…” Via quantifiableedges.blogspot.com
IB Now Offers “Quote Booster Packs”
Via Scoop.it - Algorithmic Trading According to their post on ET, Interactive Brokers is now offering additional streaming quotes at a cost of $30/mo per pack of 100 quotes, with a a maximum of 1100 quotes total. As before, the first 100 quotes are free (so long as you do a few… Via algodude.com
Strong Closes for Very Modest Gains
Via Scoop.it - Algorithmic Trading “…when SPY closes strong (in the top 10% of its range) but still only manages a small gain on the day, that the next day has a downside tendency” Via quantifiableedges.blogspot.com
Nuts & Bolts: Survivorship Bias
Via Scoop.it - Algorithmic Trading Survivorship Bias (SB) is a plague to most trading system developers. Pick any basket of stocks to trade and you’ve just introduced it into your results, especially if that basket is a collection of index components (like the S&P500, Nasdaq 100,… Via algodude.com
The Impact of Survivorship Bias
Via Scoop.it - Algorithmic Trading This post is about the impact of survivorship bias on various types of strategies. I want to look at mean-reversion as well as trend-follow strategies to see how their performance gets impacted by … Via engineering-returns.com
The 1987 Stock Market Crash
Via Scoop.it - Algorithmic Trading http://theeconicon.blogspot.com/2011/01/1987-stock-market-crash.html In finance, Black Monday refers to Monday, 19 October 1987, when stock markets around th… Via youtube.com
Forex Martingale Expert Advisor
Via Scoop.it - Algorithmic Trading This is not a normal Martingale EA - it is a Special Martingale by ExpertTrader. While most Martingale fail in trending, this Martingale follow the trend, in… Via youtube.com
Mean Reversion: What changed in 1987?
Via Scoop.it - Algorithmic Trading “After the crash ‘87 the mean reversion composite shows almost no skew while the returns of the back tested trades before ‘87 are negatively skewed. However, because of the market offering more opportunities for mean reversion after ‘87 the back test shows clearly more trades, while having less return volatility. The two periods show a...
Trader or Gambler?
Via Scoop.it - Algorithmic Trading Explaining what a local is… Via youtube.com
Your worst Drawdown is yet to come
Via Scoop.it - Algorithmic Trading “Drawdown may have a role in manager risk control, but it should be used with caution, and should be calculated with reference to probability (95%, 99% confidence level) from the characteristics of the underlying process rather than purely from the historical track record…” Via automated-trading-system.com
Rise of the Machines: Algorithmic Trading in the...
Via Scoop.it - Algorithmic Trading “We study the impact that algorithmic trading, computers directly interfacing at high frequency with trading platforms, has had on price discovery and volatility in the foreign exchange market…” Via reddit.com
Fading the Up Gap
Via Scoop.it - Algorithmic Trading An interesting intraday strategy whose performance has unfortunately has degraded since 2009. Conceptually, its fairly simple: Trade a portfolio of ETFs and at the open of each day short the two with the largest volatility-normalized up gap, … Via algodude.com
A Simple “Follow the Leader” Algorithm
Via Scoop.it - Algorithmic Trading A desirable goal of relative strength investing or any type of portfolio algorithm would be to track the best stock/asset from a group of stocks/assets in hindsight. In other words, we wish to use … Via cssanalytics.wordpress.com
Monte Carlo Resampling of Equity Curves Using...
Via Scoop.it - Algorithmic Trading Very readable paper on MC resampling techniques. Classic MC techniques tend to generate smoother equity curves with shallower drawdowns than actual live results, as they “chop up” returns too finely, thereby reducing the impact of the serial correlation… Via algodude.com
The Rise of Developeronomics - Forbes
Via Scoop.it - Algorithmic Trading There is a theory in evolutionary biology that reciprocal altruism and cooperation first appeared as a solution to the food storage problem. Via forbes.com
Global Optimization Algorithms: Theory and...
Via Scoop.it - Algorithmic Trading Well written e-book on various optimization strategies using bio-inspired/evolutionary techniques (click title). Via algodude.com
Clever Algorithms: Nature-Inspired Programming...
Via Scoop.it - Algorithmic Trading A nice overview of Bio-Inspired algorithms, including Genetic Algorithms, Genetic Programming, Simulated Annealing, Neural Networks, Particle Swarms, Ant Colonies, Artificial Immune Systems, etc (click on title for article). Via algodude.com
A New Approach for Coping with Abnormal Markets:...
Via Scoop.it - Algorithmic Trading I’ve been writing a bit lately about how our own YK Strategy, despite doing very well in real-time in all different market types, fell down badly when the market made an extreme divergence from h… Via marketsci.wordpress.com
Data Mining Bias: The Risk of Picking an Inferior...
Via Scoop.it - Algorithmic Trading A quick study on how to avoid every algo trader’s worst enemy (or at least one of them): the dreaded Data Mining Bias (click title for article). Via algodude.com
Crashes and High Frequency Trading (paper)
Via Scoop.it - Algorithmic Trading “This report thus suggests a largely positive answer to the question: “Can high frequency trading lead to crashes?” We believe it has in the past, and it can be expected to do so more and more in the future. Flash crashes are not fundamentally a new phenomenon, in that they do exhibit strong similarities with previous crashes, albeit with different specifics and...
Taking on trading desk risk: the lessons of UBS...
Via Scoop.it - Algorithmic Trading Sloppiness in banks’ risk management of trading operations seems to have been a serious contributing factor to catastrophic failures. Via blogs.reuters.com
"It's Not A Market, It's An HFT 'Crop Circle'...
Via Scoop.it - Algorithmic Trading Recently we posted a required reading analysis by Nanex in which the market trading analytics firm presented irrefutable evidence of quote stuffing by HFT algorithms in tens of stocks, in which thousands of cancelled quotes would reappear each… Via zerohedge.com
The ABCs of Re-hypothecation in Gold and...
Via Scoop.it - Algorithmic Trading With its recent connection to the MF Global bankruptcy, hypothecation is engendering fear among investors. Is that fear warranted? Via caseyresearch.com
Risk and Return in Momentum Strategies (paper)
Via Scoop.it - Algorithmic Trading “We apply risk-return ratios at the individual security level in order to drive the stock ranking process (construction of momentum portfolio) and at the portfolio level in order to evaluate and optimize the risk-return profile of the winner and loser portfolio. We investigate whether the application of risk-adjusted criteria with balanced risk-return...
Bootstrapping: White’s Reality Check
Via Scoop.it - Algorithmic Trading Prior to WRC, bootstrapping could be used to generate the sampling distribution to test the significance of a single rule. White’s innovation, for which he was granted a patent, allows the bootstrap to be applied to the best rule found by data mining. Specifically, WRC permits the data miner to develop the sampling distribution for the best of N-rules, where N...
How to Make Money in Microseconds
Via Scoop.it - Algorithmic Trading An interesting overview on HFT and its influence on today’s markets (including its role in the Flash Crash). Via algodude.com
Exclusive: Regulators know where MF Global funds...
Via Scoop.it - Algorithmic Trading WASHINGTON (Reuters) - Regulators now have a full picture of money transfers in the final days of bankrupt brokerage MF Global, and are working to sort out which transactions were legitimate, a top official… Via reuters.com
Combining Mean Reversion and Momentum Trading...
Via Scoop.it - Algorithmic Trading Interesting paper on RTM / MOM strategies in Forex markets (click on title for paper). Via algodude.com
Trend following vs Mean Reversion Averages
Via Scoop.it - Algorithmic Trading Via etfprophet.com
Curated Interviews From Quants: Algorithmic...
Via Scoop.it - Algorithmic Trading What is it exactly that quants do?This is the second post in a series of curated interviews from Reddit’s IAmA subreddit, a place where individuals of… Via curatedalpha.com
Mean Reversion And Trend Following
Via Scoop.it - Algorithmic Trading Many investment strategies can be classified into two large groups: mean reversion and trend following. Via curatedalpha.com
MF Global's US And UK Customers Got Screwed By A...
Via Scoop.it - Algorithmic Trading The Canadian customers got their money back in days. Via businessinsider.com
Why to trade more than one system?
Via Scoop.it - Algorithmic Trading With this post I want to share some insight about my portfolio setup. More specific I want to talk about the various systems I trade, why I trade those and how I trade those. The initial q… Via engineering-returns.com