Algorithmic Trading
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Algo Trading Tips, Strategies, and Techniques
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Man vs Machine: Inside the World of Computer-Driven Stock Trading

Man vs Machine: Inside the World of Computer-Driven Stock Trading | Algorithmic Trading | Scoop.it
Computers, algorithms and mathematician-traders have made modern stock trading a high-tech business and it may be more than the system can handle.
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Why Bank of America is the new Citigroup

Why Bank of America is the new Citigroup | Algorithmic Trading | Scoop.it
On a normal day, 4 billion shares of stock change hands on the New York Stock Exchange. One in 10 belongs to a single company. It's not McDonald's or IBM, both of which have been on a tear.It's Bank of ...
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Man vs. Machine on Wall Street: How Computers Beat the Market

Man vs. Machine on Wall Street: How Computers Beat the Market | Algorithmic Trading | Scoop.it

"Because quants hold so many stocks, ones that are even slightly misvalued may still make sense ... If you can find 500 stocks to bet on where each has a 51 percent chance of beating the market, then through diversification, the odds of your overall portfolio start to look pretty good..."

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The End of Wall Street As They Knew It

“We used to rely on the public making dumb investing decisions,” one well-known Manhattan hedge-fund manager told me. “but with the advent of the public leaving the market, it’s just hedge funds trading against hedge funds. At the end of the day, it’s a zero-sum game.”

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Technical Analysis Debunked

Pretty scathing article on the validity of TA in trading today’s markets.  Many traders still swear by TA, but I’ve personally found it of little use in my testing.  YMMV, or course.
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Quantitative Trading: What worked in 2011?

Quantitative Trading: What worked in 2011? | Algorithmic Trading | Scoop.it

"We all know that 2011 was a bad year for many hedge funds, with the average fund down 5%. But what type of strategies did well, and what did particularly poorly? "

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3 Months After The MF Global Bankruptcy, We Find That $1.2 Billion (Or More) In Client Money Has "Vaporized"

3 Months After The MF Global Bankruptcy, We Find That $1.2 Billion (Or More) In Client Money Has "Vaporized" | Algorithmic Trading | Scoop.it
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...
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Increasingly Complex Dynamics Over the Past Decade

Increasingly Complex Dynamics Over the Past Decade | Algorithmic Trading | Scoop.it

"...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)..."

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S&P Intraday Price Study

S&P Intraday Price Study | Algorithmic Trading | Scoop.it
--> In this post I would like to explore the intra day action of the market to determine if we can find an edge.
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Quote of the Day

"Traders who don't use stops are like option sellers: They eat like birds and shit like elephants"

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High-Frequency Trading Inspires a Formula

High-Frequency Trading Inspires a Formula | Algorithmic Trading | Scoop.it
As Cadogan notes, Madhavan's paper “distinguishes between rules based algorithmic trading” on the one hand, and “comparatively opaque high frequency trading” on the other. In the latter context, traders can place and ...
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Trader Rage

"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!"

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Nanex: The Rise of the HFT Machines

This nifty little animated GIF chronicles the rise of the HFT Algo Machines from January 2007 through January 2012.  It starts out slow, but gets pretty interesting during August 2011 debt crisis (click GIF for source).
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A Bar May Be the Place to Understand Markets

"Step by step, a handful of physicists, computer scientists and economists have transformed this curiosity into what are now arguably the most realistic models of markets. Such models treat markets as ever- evolving ecologies of investors who aim to profit on the basis of strategies they keep updating as they learn, or at least try to learn, from the past..."

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Is Momentum Really Momentum? (paper)

  The authors of this paper ran some fairly rigorous tests on the classic J/K momentum strategy and concluded that intermediate term (7-12mos) momentum outperforms short term momentum.  They also claim that these results and conclusions are not...
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What Happened To The Quants In August 2007?

Interesting paper that discusses outlier losses experienced by long/short hedge funds during 2007 and proposes an interesting EOD RTM strategy (one I developed and tested myself prior to coming across this paper, dammit!
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After a Delay, MF Global's Missing Money Is Traced

After a Delay, MF Global's Missing Money Is Traced | Algorithmic Trading | Scoop.it
While the authorities have traced hundreds of millions of dollars from MF Global, investigators do not know whether they can retrieve the money.
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Mean Reverting Processes (paper)

"Interesting study on GBM mean reversion models as applied to energy commodity markets.."

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Geometric Brownian Motion (paper)

A quick study on GBM models as applied to energy commodity markets (click on title for paper).
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Algo CAD

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...
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A trick to reduce Drawdowns

A trick to reduce Drawdowns | Algorithmic Trading | Scoop.it
Different types of drawdowns and different types of Equity Curves can mean different things in measuring a trading system performance...
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Live Algorithmic Day 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...
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