Quantitative Trading Book Answers {FinancialTools}

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

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)

To do

• do FinancialTools.Exercises
• pass orders through kaChing-API
  • kaChing-API Google Group
  • check Bespin collaboration section
• 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
  • inspired by Seedea:Research.Application
• 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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