b*******e
发帖数: 6389 | 1 Please, don't reply my post again if you are not qualified for algo-trading.
;) |
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b*******e
发帖数: 6389 | 2 嗯，trader要先比人品，再比资本，再比技术。
1. 没人品拉不到资本，没资本都是小打小闹的。
阁下上来就是否定别人，出言不逊，人品已经不过关了。
2. 我的fund每周write covered call收入4~5万刀左右，请问阁下多少？
3. 技术就不要提了吧，FA, TA, Algo-Trading，估计阁下的性格跟谁比也不会服气的。 |
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b*******e
发帖数: 6389 | 3 It seems you still don't understand why convert market order to limit order.
hint: algo-trading is not equal to high frequency trading. |
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c*******y
发帖数: 1630 | 4 我说你是beginner，一点没说错。还找什么专业人士给我读，我在et上灌水的时候你还
没开始
trade吧。
1. 每个HT的公司都不一样，而且是随时间变化的，靠吃liquidity rebate的还是不是
主流？
2. terminology搞清楚再来扯淡，algo trading主要是指VWAP, TWAP来减少
transaction
cost的。不存在比HFT复杂这一说
3. 我上次针对的是你说的tracking你的option的stop。你那是HFT么？谁不知道limit
order
book啊。
HFT的东西我看得比你多多了，别拿点皮毛的东西，一知半解得来糊弄人，自己还是
beginner。
最后，看你是老ID，才多说几句。上纲上线说什么中国人的，不奉陪，我管你是哪国人
，瞎扯淡还不让人说？ |
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l***o
发帖数: 5337 | 5 DT要靠软硬件系统保证algo还要保证执行，专业公司有full time专门人才加上成熟的
系统，你想靠高喊刀枪不入往前冲灭了他们？勇气可嘉。。。 |
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c*******y
发帖数: 1630 | 6 1 second is way to slow.
many PHD hired from NLP to create algos for news/data processing. |
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c*******y
发帖数: 1630 | 7 they promoted fake ECN like forex trade,
and provide liquidity rebate,
apparent, there is great motivation to do so, easier to run stop
hunting algo, and limit order book.
in US, IB is the only ECN like forex brokers(except a few banks). |
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c*******y
发帖数: 1630 | 8 no, i think he wanted an algo for screener. |
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m*********h
发帖数: 5449 | 9 这帖子没人关注哪？大牛都怎么下单，IB的algo order感觉不够强大了。 |
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p****p
发帖数: 347 | 10 bing search algo的基本都是中国人 |
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S*****s
发帖数: 2290 | 11 今天CNBC上采访MS的人，他们承认他们今天刚刚卖了1%的apple仓位。说不定就是他们
在卖的过程中，引发了别的公司的那些algo trading的trigger，以及跟踪他们行为的
机器人，大家就跟着一起卖了。毕竟交易都是毫秒级别的，所以分钟图上看就是8m的大
单。 |
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m*****g
发帖数: 3029 | 12 mingong endorses kc2324 big bull |
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a****g
发帖数: 8131 | 14 康宝，两个问题
1. google了但是没有找到什么是factor algo，你解释一下好吗
2. 今天的油有什么说法吗
谢谢 |
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c******1
发帖数: 5 | 15 谢谢你的建议。
我们还在测试中， 可以连接的Forex 平台有 FXCM 和 IB 两个， 这两个都有最小的
spread, 只收commmission.
其他境外的Fx dealer 不敢碰，因为regulation 不同美国本土。 Forex 目前对algo,
scalping, low grade HFT 没有太多限制。 |
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q********u
发帖数: 15519 | 16 Zero Hedge Reads
The Perfect Storm For Oil Hits In Two Months: US Crude Production To Soar
Just As Storage Runs Out
Tyler Durden's picture
Submitted by Tyler Durden on 03/21/2015 17:58 -0400
Less than two weeks ago we warned that based on the current oil production
trend, the US may run out of storage for crude as soon as June.
This is what we said back in early March when the BTFDers were hoping WTI in
the low $40s would never again be seen:
Come June, when all available on-land ... 阅读全帖 |
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m*****g
发帖数: 3029 | 17 commodities manipulation and spoofing are widely used by wall street robots.
since when sending and cancelling orders become illegal?
wall street robots do this every day.
it is often that wall street algos put larger order but won't let it execute
. |
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d****a
发帖数: 2901 | 18 Thinkorswim 什么时候可以让用户策略自动交易呀？
[在 djinwa (djinwa) 的大作中提到：]
：不要IB的，要TDameritade的
：
：........... |
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d**********0
发帖数: 13081 | 20 具体怎么弄俺不懂。。
但这个和broker 应该没有关系把。 trading app 本身因该不动。 就是和broker的
接口换一下。 |
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s***m
发帖数: 6197 | 21 这个的确很难 不知道现在text mining的技术如何
现在做市场sentiment的algo比较经典的是通过short interest
但是nasdaq的数据有延迟
现在broker好像有卖daily aggregated short interest的数据
据说卖得很贵 |
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L***6
发帖数: 8307 | 22 小散其实不是被庄家虐，而是被庄家雇佣的HFTraders虐，被他们写的软件虐
自动化算法交易确实造成了股价的volatility上升，特别在下跌的时候，会容易导致股
票被极度oversold，一个人为的order去砸盘，可以造成几百个大庄家的自动交易程序
去自动selloff止损，造成一个票的暴跌。比如当年的flash crash，就是庄家的高频程
序被伦敦老印的高频算法“manipulate”的结果。
在HFT大行其道的时候，伦敦风靡多年的trading arcade都萧条了，Sarao也是在一个郊
区的arcade入了stock trading的门，才回家自己开发HFT algo。
所以在统计算法自动化交易成为主流的今天，人工去做TA，就是个很傻逼的行为。 |
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c*********9
发帖数: 229 | 23 不同的rebalance方法有不同的考虑。不过通常来说，这些
popular index都跑不过它们的equal weight的兄弟。但是很
难说那个更好，equal weight是买低卖高，return虽然比cap
weight高，但是trade more. 总得来说cap weight还是不错的，
特别是在long term, buy and hold。
有更好的rebalance algo，但是都会比cap weight需要更频繁
的交易。
cap
知！ |
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L***6
发帖数: 8307 | 24 这就是传说中的machine learning 吧
自动交易算法终将战胜人类！ 不像hft algo拼速度 AI算法则能预测市场行为 trader
终将被淘汰 |
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c*******y
发帖数: 1630 | 25 上限是20。
而且没必要，你可以用他们自动的algo trading order type，自动帮你分拆。 |
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m*********h
发帖数: 5449 | 26 谢谢！知道上限就好办了。这个algo考虑过，不知道broker给不给保密。 |
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I***a
发帖数: 13467 | 27 TA，FA都嚼烂了
说说algo trading吧。 |
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B*******n
发帖数: 20645 | 28 My observation on last hours of trading volume:
UPRO, 100 shares at a time, ALGO controlled apparently
SPXU, crowding trade, heavy volume; human trading
Bigwet rushed in and out of SPXU and felt the heat. Plan to come back
tomorrow to buy SPXU again; after bears are squeezed. |
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W***n
发帖数: 11530 | 29 China and Clinton Agree: Traders Should Pay for Canceled Orders
Eduard Gismatullin
Sam Mamudi
December 29, 2015 — 6:00 PM CST
Chinese securities regulators are preparing some of the world’s strictest
regulations on a trading practice at the heart of the global debate over
high-speed computerized markets.
The draft rules are designed to prevent traders from flooding exchanges with
orders they don’t fill by charging market participants fees for habitual
cancellations. The proposal, which could com... 阅读全帖 |
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t*********r
发帖数: 2431 | 30 algo可以一瞬间分析啊。。。你用自己眼睛分析交易不代表都是这么做 |
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g***e
发帖数: 577 | 33 no problem, any feedback welcome.We want to improve it. |
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E***r
发帖数: 1037 | 34 how does it compare to quantopian zipline?
10 |
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g***e
发帖数: 577 | 35 Hi, Thanks for the question.
A quick answer for the comparison: to test a moving average strategy, you
need 4 lines of code in our platform vs 35 lines of code in zipline to do
the same thing. You can check zipline code in this link: http://www.zipline.io/beginner-tutorial.html
See our code:
from Back_Test import *
algo_str = """portfolio.buy("AAPL") if average("AAPL",-25)
10) else portfolio.sell("AAPL")"""
t = back_test_single(algo_str,-2500,-1)
print(t.back_test_summary())
t.b... 阅读全帖 |
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c********2
发帖数: 353 | 38 Great job and nice tool. But here is not the proper place to post. You
should repost to job hunting. Here are just stupid gamblers looking for
Daniu. |
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g***e
发帖数: 577 | 39 haha, your comment is making my day by being just brutal fact! I realized
that
being a lucky winner is what some people here care about :) Not all.
I repost it following your advice! Thanks for it very much! |
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g***e
发帖数: 577 | 40 Hi,
Continue on the project, I would like to post the preliminary result of
backtest for all SP500 underlyers using Moving Average Stategy for the last
10 years: (ie, buy/sell signal by crossing of 10day and 25day average ).
Sorry for the messy format - you can get a cleaner download of the csv file
in-
http://www.icanbeatmarket.com/research_reports.html
ticker return volatility draw_down sharpe
Avg_SP500 0.4734 0.1546 -0.2179 0.2032
industrials 0.4338 0.1484 -0.... 阅读全帖 |
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b***d
发帖数: 288 | 43 How about Python 2.7?
moving
10 |
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g***e
发帖数: 577 | 44 Hi - I think you can modify a few functions and it should still work, like
some module names etc.
I started from Python 3 personally so might not understand all the
constraints... |
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g***e
发帖数: 577 | 46 No problem,
just want to update on the first research report (preliminary results ) is
available on our website:
http://www.icanbeatmarket.com/research_reports.html
The main results copied here:
In this test, we compared 3 strategies for each of the current SP500
underlyers. Their definitions are below and the comparison of results is
here: 10 years backtest for Moving Average Strategy (25,10) on SP500
underlyers results. You can also find the results in our GitHub project:
Tool: QTS_Research. (... 阅读全帖 |
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g***e
发帖数: 577 | 47 Thanks for sharing the experience! Such discussion is nice and useful!
This is in a middle of research - I am still exploring this very common
strategy.
I am not sure in this particular case it has overfitted though. The next
step would be test the time frame from any starting point randomly to see
the return/sharpe, in order to avoid the bias of starting time.
On the other hand, it is probably true 90% of research might not end up
finding a profitable strategy - but the outcome is not wasted, ... 阅读全帖 |
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E**********e
发帖数: 1736 | 48 should randomly select upper-performance, under-performance, so-so-
performance stocks from S&P lists and run back testing ? it was bull market
in past 8-9 years. theoretically, the return should be positive using your
strategy.
I am learning and figuring out your code. thanks.
show |
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E**********e
发帖数: 1736 | 49 should randomly select upper-performance, under-performance, so-so-
performance stocks from S&P lists and run back testing ? it was bull market
in past 8-9 years. theoretically, the return should be positive using your
strategy.
I am learning and figuring out your code. thanks.
show |
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