A few days back I was browsing my tweets when I ran across this one from @news.yc: “How I made $500k with machine learning and high frequency trading” (link to actual post here, link to news.yc discussions here) “Oh, this might be interesting”, I though to myself. So I clicked the link and started reading..… Read More »
For the last month or so I’ve been rather busy developing a trading platform for algorithmic trading, connected to LMAX (you should also check out their very interesting Disruptor framework). It’s a rather comprehensive solution with both risk management, position management, back testing, data management on tick level, etc built in. Everything that connects to and communicates… Read More »
OpenGamma is an interesting startup headquartered here in London. They provide open source software for analytics and risk analysis for the financial service industry. As that’s right up my alley I decided to start looking at their code this Friday. Among all that code there’s one project which looked like a good starting point, namely Fudge Proto.… Read More »
Performance related posts and articles seem to be rather popular, with my Java vs C++ post being one of the big traffic drivers on this blog. Now it’s time to do another one, with a very specific use case in mind. I’m into the third and final term for my masters in quantitative finance. As part of… Read More »
It’s been a few years since I created my own trading system, and I think it’s time to do a review of the performance. The strategies reviewed here have remained unchanged for this period, and the portfolio consists of in total 9 different stocks, all part of the OBX index. There are several distinct strategies, and based on back-test performance (three years ago) a stock/strategy combination was selected so that of the 9 distinct stocks my portfolio would consists of 20 separate stock/strategy combinations.
My portfolio shows a fourfold increase over the period, using an equally weighted portfolio of all the stock/strategies available. This is not based on back-testing, but actual trading signals that I could and in fact did trade on.