Tag Archives: Performance

Busy wait and queue performance

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 »

A look at Fudge Proto

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 »

My portfolio performance

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.