Archive for March, 2012
In this TED talk, Yan Ohayon demystifies and shares his experience with algorithmic trading and its impact on markets, our lives, and everything in between.
"Watch the trader who makes consistent money - He is the one who is going to blow up."
Kevin Slavin’s TED talk on high-frequency trading. He shows how these complex computer programs determine: espionage tactics, stock prices, movie scripts, and architecture. And he warns that we are writing code we can’t understand, with implications we can’t control.
The site has been experiencing large amounts of comment spam in recent weeks, so I’ve been forced to disable comments on posts older than a couple of weeks.
Its an unfortunate step to have to take, but it has greatly reduced the amount of spam I have to deal with and the site is certainly better off without thousands of irrelevant comments embedded with cheerleader porn or Viagra links. My apologies for the inconvenience (welcome to the Internet!).
February saw the market continue its slow trickle up, “climbing-the-wall-of-worry” behavior. Movement in the gaps and anemic intraday ranges were the order of the day, and unfortunately such an environment doesn’t offer intraday systems many opportunities. The system’s equity curve saw most days coming in under +/- 0.50% and many offered no trades at all, leaving the system flat (-0.40%) for the month. Yawn.
It seems this system is not alone, as a fellow algo trader friend of mine joked “Welcome to the $300 club!” after listening to me complain about February’s returns. His system has been seeing anemic returns as well, yielding him pocket change of plus/minus a few hundred dollars a day (vs the thousands per day he was seeing last Fall). I guess misery loves company, lol.