Comments on: Automated Trading Results since March 17 2008

By: Mike

Mike — Sat, 17 May 2008 19:42:48 +0000

Oliver: it is good to hear from you - it’s been a while. I’ll email you soon.

By: Oliver

Oliver — Thu, 15 May 2008 07:56:54 +0000

Hi Mike,

I have been following your research with great curiousity. Drop me an e-mail soon and let me know what sort of mischief you’re up to. I have some theories on recent market developments and chess of course. =)

By: Ugly

Ugly — Sun, 11 May 2008 19:00:38 +0000

Enough Wealth - wasn’t LTCM taking on huge giant trades with enormous amounts of leverage? Even though they were a team of PhD’s and nobel prize winning economists, it seems kind of obvious that they were risking too much. Or am I missing something. And I have the book about it, but I’ve only read the first 1/4 or so.
Rob: we are using the Sterling trader API with our prop firm. The watch list is selected automatically, but from another system.
Good luck Andrew.
Thanks my25k, I can’t share the rules.
Eyal: thanks man, but I’ve moved and now I live in Philadelphia. The beach isn’t as far now.

By: eyal

eyal — Thu, 01 May 2008 18:27:54 +0000

Awesome result! Soon you’ll be able to head to the beach (forgetting for a second you’re in MN) while the ATS works for you..

By: my25k

my25k — Tue, 29 Apr 2008 02:42:00 +0000

Hey Mike,

Congratulations on a very impressive record there. Have you shared the rules for ATS anywhere on your blog? What API do you use and with which broker?

I know you might choose not to answer these questions but no harm in asking right?

By: Andrew

Andrew — Mon, 28 Apr 2008 07:54:22 +0000

Well done Mike, that’s a very impressive curve, it’s got me inspired to explore the ATS path.

Seeing as I haven’t programmed anything since the 1980’s I expect I will need to oustource that part of the equation though.

Andrew.

By: Rob

Rob — Mon, 28 Apr 2008 01:36:20 +0000

Congratulation with the great results. Which API do you use for the ATS? Do you also select the watch list using ATS or manually?

By: Tom

Tom — Sun, 27 Apr 2008 11:05:08 +0000

EW: That works for preprograming the ATS with a specific model. However if the ATS is designed to trade specific patterns during volatile events, you should be able to capitalize on opportunities no matter what.

FWIW, I don’t think Ugly ever used historical data to test his ATS, he let it run in Real Time since day 1.

By: Enough Wealth

Enough Wealth — Sun, 27 Apr 2008 04:15:44 +0000

“the better idea we have on how well the system will perform in the future” - assuming the future is the same as the past

The problem with all automated trading systems is that they are developed and optimised using historic data (what else is there). This is fine until something fundamental changes in the market being traded. You need to have criteria in place to identify when your model has stopped producing the expected results, so you can stop trading and adjust your model. If you don’t “know when to quit” and keep trading when the model no longer works, you can end up like LTCM.