Archive for January, 2012
January was a fairly moderate month and its limited volatility offered pretty slim pickings. The system had some nice returns right out of the gate, but these were pared back as the month progressed and most days were under +/- 1%. The good news is that the system was still able squeeze out a modest gain of +1.8% for the month. Not earth shattering, but I’ll take it.
An interesting algo development tool (Algo Design Lab) that uses a CAD metaphor to allow users to design algo trading “circuits” by dragging and dropping logic blocks onto a canvas and “wiring” them together. Now why didn’t I think of that?
A 60 Minutes piece on HFT. Note the uber-smooth equity curve at 5:53 – The law of large numbers at work.
In order to avoid these kind of exchanges at parties, I’ve learned to just say “I invest” (when asked about my occupation).
"Traders who don't use stops are like option sellers: They eat like birds and shit like elephants"
Here’s an interesting video of a commercial algo trading platform (AlphaEdge) trading the SPY ETF live intraday. It apparently aggregates the signals from multiple strategies and generates buy/sell orders in real time.