Questions tagged [algorithmic-trading]

Algorithmic trading has two meanings: - the process of taking in inputs such as market data, current news, and producing orders without human intervention. - the process of optimising the trading of a large order or the market making process.

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31 views

Equity curve money management strategy to minimize drawdowns

Some high risk/returns automated trading systems requires an on/off switch as a fail-safe feature and to minimize drawdowns. Besides using a moving average on the equity P&L curve to turn on/off ...
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77 views

Can a losing algo strategy be good if it was winning for 1000 trades?

My algo, in back test, runs for 1000 trades and makes a 10% profit (over a few weeks of candles), from research it seems 1000 trades is statistically significant. Obvs not all 1000 trades were winners ...
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64 views

Backtest with mid-quotes?

I have built a trading strategy and also a backtest. The backtest has been a lot of work. I was using mid-prices throughout. It’s based on candles, so I make trading decisions at the end of each bar. ...
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130 views

Workflow in algorithmic strategies

Sorry for the basic question, I'm trying to educate myself on algorithmic strategies. Just to see how it works, my idea is to create a simple moving average strategy. Let us suppose I have $N$ ...
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81 views

What kinds of data should be curated for day trading?

From previous research about data curation with research papers, it seems to me that most algorithmic trading systems (at least in regards to day trading) solely use historical price data- but I'd be ...
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47 views

Trading currency on Kraken.com platform using their REST API (AddOrder), is this correct?

I would like some confirmation on whether what I came up for buying/selling currency on kraken.com is valid. Right now I get ...
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73 views

Bull/Bear/Flat Market mathematical definition

I need to label historical dataset by market type and look for automated solution. I have couple related questions. Maybe there some ready solutions that I was not able to find? Is there some price ...
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57 views

Could this pattern be used as the base for algorithmic trading?

There is the pattern in the historical NYSE data (2019 - 2021M10) that I found. If certain conditions are met then in more than 75% of cases the close bid price of the share XYZ at 9:30 is at least 0....
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163 views

Rogers Satchell Volatility

I am trying to implement Roger Satchell volatility in Go, but my results do not match reality... I have been at this all day, but cannot find my error. The 30 day Rogers Satchell vol is at 8.75%, but ...
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93 views

Moving Average Window Size Determination

Is there a "correct" way of determining a moving average window/smoothing parameter (or at least a starting guess for a financial time-series? I understand of course that in some sense, ...
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36 views

When developing an algo code with Interactive Brokers: which instruments to take during the weekend for testing orders and live data?

I am developing a trading algo that will use Interactive Brokers. Presently I use my paper trading account but face the difficulty that during the weekend the exchanges are closed. Are there any (...
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108 views

Kelly Criterion at the individual trade level or the broader trade rule?

Suppose I've raised some initial capital, $C$. I would like to invest it according to three different trading rules, $T_1$, $T_2$, and $T_3$. Each of these rules will yield several trades over the ...
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69 views

Known methods for big order detection

I have an access to the order book from stock market and i am interested in finding an anomalous behaviour. What are the known methods, algorithms for detecting big orders or other activities of ...
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210 views

python library for backtesting buying and selling multiple cryptos

What is a good python backtesting library to use if I want to test buying and selling a list of different cryptocurrencies every day? Most libraries I find like backtesting.py and pyalgotrade are ...
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125 views

Historical Options data

Are there any good sources where I can obtain daily historical options data (strike price, expiration dates, bid/ask spread, etc). I understand that this type of data is very hard to come by and ...
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106 views

In Avellaneda-Stoikov market making, what is the difference between "reservation prices" and "optimal bid ask quotes"?

Question What is the difference between "reservation price" and "optimal bid and ask quotes"? Are they the same thing? (1) Reservaton price In the paper High-frequency trading ...
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67 views

Is this an Example where Maximum Adverse Excursion (MAE) is not useful for a Stop-Loss?

Below is an attached screenshot of a scatter plot of a long position Percentage Return of a Asset Security on the Y-axis, and the Maximum Adverse Excursion (MAE) Percentage on the X-axis. Green dots ...
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61 views

Maximum Adverse Excursion Formula - Short Trade Position?

Is the formula for the Maximum Adverse Excursion for a Short Selling Trade the (Open - High) / Open, or (High - Open) / Open ?
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86 views

Market making algo using bid ask order volume ladder

I am looking for references for market-making strategies using bid-ask order ladder. Algo should suggest entry prices, and do inventory management. I am more interested in practical simple algo used ...
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103 views

YFinance incoherent daily and hourly values

I'm comparing daily and hourly values extracted from YFinance in Python. I'm expecting the open value of the first hour of the market to be equal to the daily open value of the corresponding day, and ...
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33 views

Variable Position Sizing: Equity Curve vs Buy & Hold

I have a trading strategy that can take multiple long positions with different sizes before selling them. For example, buy 5 shares of ABC on days 1, 2, 3 and sell 15 on day 4. Going forward, buy 10 ...
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35 views

What types of messaging middleware solutions are used by the biggest exchanges like Nasdaq, NYSE, ICE, NYMEX, Japan Exchange Group, Euronext, etc?

Exchanges are famous for having to deal with a huge amount of messages. For example, some years (decades?) ago Nasdaq has migrated their reliable UDP protocol from 32-bit, which could support sequence ...
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326 views

Modelling queue position

Is there any viable way for me to know the dynamics of my LOB position? Lets suppose the LOB is order based LOB, and i send a order to this level, can i know if the qty in front of me cancelled vs ...
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OLPS in real conditions

The Online Portfolio Selection problem has been extensively researched over the years, and various models have been implemented in open-source projects on GitHub. However the theoretical frameworks of ...
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102 views

Train/test: why 80:20 split performed better than 90:10 split?

Playing with Random Forest Classifier, I am wondering what could cause in a 80:20 split the test results to perform better than in a 90:10 split? With 2000+ data points and: with 80:20 split, ...
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85 views

benchmark scalping strategy in timeseries

I've a trade data for set of portfolios to analyse. I'm looking for simplest (most efficient but deterministic way) to calculate and find best scalps during a trade day. Criteria are pretty ... ...
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52 views

What are the best books or sites to learn to spot algorithm actions

12 years ago Alan Farley in The Master Swing Trader Toolkit wrote about how to spot the footprints of algorithms such as incremental steps in price through a gap and how algorithms push price down ...
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659 views

If 90% of retail traders lose money, doesn’t that mean price movements are not random?

If 90% of retail traders are said to loose money, which trade in the short term, doesn’t that mean price movements are not random? My reasoning is that if short term price fluctuations were ...
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271 views

Ensuring market order creation idempotency

I am trying to find a way of placing market orders on crypto exchanges in an idempotent way. Specifically, I want to ensure that retrying the same request does not cause another order to be placed. ...
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90 views

Backtesting trading algos using simulated price instead of historical prices

I don't have any real experience in trading. I have a question in my mind for which I can't convince myself. Why do we need real history price data to do back-testing? In my mind, real data is only a ...
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71 views

Convert stock symbols so that they are useful for Yahoo Finance (yfinance)

I am working on my first investment algorithm, and I am using the following list of stock symbols and company names: https://public.acho.io/embed/...
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41 views

Exchange order matching system/core for local testing

I am looking for a service that can be deployed locally or connected to it and would emulate the order matching system of exchange (a.k.a matching core). I remember, that I have seen on GitHub repo, ...
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292 views

What is the quickest way to start a database for algo trading from scratch?

Many people who are interested in algo/quant trading must have faced the same question before: how do I set up my own database from scratch? I think much effort has been duplicated when we brainstorm ...
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130 views

What data should I use for a machine learning model

I would like to ask you for an advice of any of you could help me with this information it would be really helpful. I am trying to build a reinforcement learning trading bot that based on the current ...
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383 views

Formerly profitable algorithmic trading strategies?

Since algorithmic trading strategies often stop being profitable after a while, I wonder if any such formerly profitable strategies have been made public, and if so, where can I find them?
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How long do algorithmic trading strategies typically remain profitable?

As I understand it, an algorithmic trading strategy could lose profitability, if, for example: it's rediscovered by others employee turnover leaks the strategy to others market conditions change ...
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139 views

Steps to fit a Machine learning model for prediction of up and down market movement

I have around 5 years of data of an index containing many features on a daily basis. I want to classify whether the index will move up or down the next trading day (up or down movement is determined ...
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650 views

What are the "sniffing" or "stalking" algorithms?

I was looking for all the sorts of trading algorithms used in stock market and I came across the so-called "sniffing" algorithms. However, the explanations of this concept I found are very ...
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81 views

Effectiveness of trading strategies

Generally, a trading strategy is effective for a certain duration which is a function of the environment, news etc. I am currently learning about basic strategies that are (or once were) used. Some ...
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114 views

Pairs Trading Strategy Pre-Selection

I am writing paper on the profitability of the pairs trading strategy using US equities. I have done a pre-check to see which business sectors have stocks that are cointegrated. The utilities sector ...
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119 views

Pairs Trading (Cointegration Approach) - Daily Cointegration Test

I have a question regarding the Pairs Trading strategy based on the Cointegration Approach. Most of the papers/literature I found on Pairs Trading using the Cointegration Approach are usually testing ...
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41 views

Strategy in mql5

I have the following code(is not mine) in an Expert Advisor: if((Handle(DXHandle, 0) - Simbolo.Ask()) >= (DXPontosDistancia * _Point)){...} Handle(DXHandle,0) ...
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547 views

Python library for tick-based backtesting on cryptos

I saw and reviewed many python backtesting libraries - pyalgotrade, zipline, catalyst, backtrader, etc. It seems that none of the provide a straightforward way to perform "Tick-based or Multi-...
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19 views

Understanding additive profit of risky and risk free asset

I was going through paper "Learning to Trade via Direct Reinforcement" by Moody and Saffell. It explains additive profit as follows Additive profits are appropriate to consider if each ...
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88 views

How to Manage Large Orders

Forgive me for any violations of posting rules, I’m new to this forum. I’ve written an algorithm that checks the order book for the price point that would completely fill my entire available balance, ...
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202 views

What theory and philosophy is algorithmic trading based on?

I work in model validation and I am familiar with classical investment strategies, economic theories and pricing models of options and I am curious about algorithmic trading. What is it driven by? ...
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226 views

How do you detect order execution algorithms?

Most large orders nowadays are done through TWAP or VWAP based order execution. For example, if Alice wants to sell $60 million in EURUSD she will break up her order into 50,000 tiny orders and then ...
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626 views

Deep Reinforcement Learning in Quant Finance?

I've been struggling to find engaging papers on the application of deep reinforcement learning in quantitative risk analysis, portfolio management, algorithmic trading and/or options pricing. What are ...
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35 views

Why does historical equity ticks from Dukascopy.com not contain trade ticks?

I've found that ticks for equities (for example for companies from US market like Amazon or Apple) someone could name as "best bid/ask offer" (or Level 1 type of tick data) and them clearly ...
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190 views

What should the look-back period be when calculating Cointegration?

So I am confused as to what the look-back period should be when calculating Cointegration. By this I mean when running for example a Johansen or ADF test, should my look-back period be 6 months?...

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