Reading notes on Quantitative Trading: How to Build Your Own Algorithmic Trading Business by Ernest Chan
Summary of chapter 2 Fishing for Ideas (p28-29)
- How much time do you have for baby-sitting your trading programs?
- several hours daily
- How good a programmer are you?
- skilled but not experienced
- How much capital do you have?
- very little
- Is your goal to earn steady monthly income or to strive for a large, long-term capital gain?
- steady monthly income
| Strategy name | benchmark (1) | Sharpe ratio (2) | drawdown (3) | survivorship (4) | freshness (5) | niche (6) |
| example C | yes | yes | no | yes | no | yes |
| example B | yes | yes | no | yes | no | yes |
Datasets (file, not as web-services)
- Useful Data Sets Aswath Damodaran, Stern School of Business
- Current (January 2009)
- The Financial Data Finder Depatermement of Finance, Ohio State University
Accessing data
- Yahoo! Finance YQL table definition
- Financial Data Access Library (FIDAL) provides a common interface to access financial market data.
Summary of chapter 3 Backtesting (p66-67)
| Strategy name | Data | Performance measurement | Look-ahead bias | Data-snooping bias | Transaction cost | Strategy refinement |
| example B1 | yes | no | no | yes | no | yes |
| example B2 | yes | yes | yes | yes | yes | yes |
To do
- do FinancialTools.Exercises
- pass orders through kaChing-API
- use QuantLib in a distributed fasgion
- QuantLib Grid Computing by Eric Ehlers, March 2009
- Option Engine: A Grid-Enabled Software Package to Evaluate Financial Options, HPCwire September 2009
- Multicore-enabling Discrete Hedging in QuantLib, Clik Arts Februart 2009
- over BOINC through our network of few machines
- over Apache Hadoop (Hive)
- add a larger number of machines through EC2
- establish a phylogeny of strategies
- own local listing of tested strategies
- description
- code
- backtesting logs
- dates of creation
- usage periods
- ideal context
- worst context
- why it was stopped
- inspiration
- link to previous strategies, being internal or external
- external directory of strategies
- similar structure
- generate a dedicate website
- provide an API
- conversion of code for other platforms
- user reviews
- strategy rating
- converted code validation
- provide an API
- inspired by Seedea:Research.Application
- own local listing of tested strategies
- live cooperative trading
- SupyBot plugin for kaChing API
- test over
- IRC (##pim, #finance, ##jquanlib)
- IM (Sylvain)
- use logs for feedback
- AdamsFinance proposition
- log with Sylvain (26/10/2009)
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