Attempting to profit from short-term fluctuations in a security's price as opposed to investing in the security for use or income.

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9
votes
2answers
1k views

How to simulate slippage

I'm backtesting a trading strategy, using free OHLC data from yahoo or google. I'm simulating friction by lopping a flat percentage (say 0.5%) off my returns for each day that I make a trade. Whats ...
5
votes
2answers
452 views

S&P 500 list of stocks since 1960

I am looking for the S&P 500 index list of stocks for each day since January 1, 1960. Does anyone know where I can find these lists?
9
votes
3answers
1k views

Order submission strategies of a rational market maker?

Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread. Assume furthermore that he has no current inventory in the stock A. To ...
6
votes
1answer
1k views

A generic limit order book: What are the most important queries it should be able to answer?

Assume a class LimitOrderBook which represents a limit order book in a trading system. To be able to represent the limit order book a data handler reads a feed ...
4
votes
2answers
3k views

When should we use SWIFT versus FIX?

I've read documents that claim that SWIFT and FIX are not competing protocols for financial transactions and messaging. And yet, I have not come across a clear articulation of when to use SWIFT versus ...
4
votes
3answers
9k views

Trade matching versus affirmation

I'm looking for a clearly articulated description of the difference between trade matching (e.g. Omgeo's CTM) and trade affirmation (e.g. Omgeo's Oasys). From what I understand, they both involve ...
20
votes
8answers
2k views

How to design a custom equity backtester?

I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
7
votes
4answers
1k views

Can the futures market's open interest predict commodity, treasury, and equity returns?

I came across this article and became curious. Can the futures market's open interest really predict market action?
2
votes
0answers
882 views

Which CEP platform is most popular for trading systems? [closed]

I heard that trading firms employ CEP platforms such as StreamBase, Marketcetera, JBoss Drools, and etc., to implement trading systems. I wonder which one is most popular and the recent trend of ...
22
votes
8answers
11k views

Digital Signal Processing in Trading

There is a concept of trading or observing the market with signal processing originally created by John Ehler. He wrote three books about it. Cybernetic Analysis for Stocks and Futures Rocket Science ...
10
votes
2answers
1k views

Is there a standard method for quantifying mean-reversion for use in directional trading?

Assuming a directional strategy (no pairs or spread trades) is there a "standard" method for quantifying mean-reversion? Should auto-correlation, variance ratios, hurst exponent, or some other measure ...
6
votes
1answer
535 views

Are special condition identifiers (e.g. AIG+) standardized?

Suffixes indicating class, preferred, new, etc., are well defined for NASDAQ and NYSE, but I can't find anything documenting the meanings of the trailing punctuation. For example, here's some that I ...
11
votes
4answers
2k views

Volatility pumping in practice

The fascinating thing about volatility pumping (or optimal growth portfolio, see e.g. here) is that here volatility is not the same as risk, rather it represents opportunity. Additionally it is a ...
16
votes
2answers
1k views

Statistical properties of stochastic processes for moving average trading to work

Common wisdom holds it that a moving average approach is more successful than buy-and-hold. There is quantitative evidence for that across different asset classes (see e.g. this book, or this paper ...
1
vote
1answer
948 views

basic stock trading strategies [closed]

What are some trading strategies for stocks (just stocks, no derivatives) using freely available online data sources?
6
votes
2answers
352 views

Is there something like opportunistic “superstitious” trading?

This sentence in the following paper got me thinking: "Some traders [...] trade every pattern whether proven or not, expecting authentic ones to produce positive results, whilst the profits and ...
8
votes
1answer
408 views

How to select/construct benchmarks for black-box trading strategies?

When faced with a black box trading strategy with extensive historical data available, how would one select/construct a representative benchmark? As a trivial example, when a strategy historically ...
16
votes
4answers
1k views

How are risk management practices applied to ML/AI-based automated trading systems

A potential issue with automated trading systems, that are based on Machine Learning (ML) and/or Artificial Intelligence (AI), is the difficulty of assessing the risk of a trade. An ML/AI algorithm ...