Category Archives: Algorithmic Trading

Daytrading Volatility ETFs

As we have discussed before, there is no standard definition of high frequency trading.  For some, trading more than once or twice a day constitutes high frequency, while others regard anything less than several hundred times a session as low, … Continue reading

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Improving Trading System Performance Using a Meta-Strategy

What is a Meta-Strategy? In my previous post on identifying drivers of strategy performance I mentioned the possibility of developing a meta-strategy. A meta-strategy is a trading system that trades trading systems.  The idea is to develop a strategy that will make … Continue reading

Posted in Algorithmic Trading, Bond Futures, Meta-Strategy, Strategy Development, Systematic Strategies, TradeStation | Tagged , , , | Comments Off on Improving Trading System Performance Using a Meta-Strategy

High Frequency Trading Strategies

Most investors have probably never seen the P&L of a high frequency trading strategy.  There is a reason for that, of course:  given the typical performance characteristics of a HFT strategy, a trading firm has little need for outside capital. … Continue reading

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Volatility ETF Strategy Apr 2015: +4.41% YTD: +12.02% Sharpe: 3.02 YTD

HIGHLIGHTS 2015 YTD: + 12.02% CAGR over 40% Sharpe ratio in excess  of 3 Max drawdown -13.40% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20% STRATEGY … Continue reading

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Algorithmic Trading

MOVING FROM RESEARCH TO TRADING I have written recently about the comparative advantages of different programming languages in the context of research and trading (see here).  My sense of it is that there is no single “ideal” programming language – … Continue reading

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A Comparison of Programming Languages

Towards the end of last year I wrote a post (see here) about the advent of modern programming languages, including the JIT compiled Julia and visual programming language ADL from Trading Technologies.  My conclusion (based on a not very scientific … Continue reading

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High Frequency Trading with ADL – JonathanKinlay.com

Trading Technologies’ ADL is a visual programming language designed specifically for trading strategy development that is integrated in the company’s flagship XTrader product. Despite the radically different programming philosophy, my experience of working with ADL has been delightfully easy and … Continue reading

Posted in Algo Design Language, Algorithmic Trading, Futures, High Frequency Trading, Latency, Market Microstructure, Mathematica, Matlab, Order Flow, S&P500 Index, Scalping, Toxic Flow, TradeStation, Trading Technologies | Tagged , , , , , | Comments Off on High Frequency Trading with ADL – JonathanKinlay.com

How Not to Develop Trading Strategies – A Cautionary Tale

In his post on Multi-Market Techniques for Robust Trading Strategies (http://www.adaptrade.com/Newsletter/NL-MultiMarket.htm) Michael Bryant of Adaptrade discusses some interesting approaches to improving model robustness. One is to use data from several correlated assets to build the model, on the basis that … Continue reading

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Developing High Performing Trading Strategies with Genetic Programming

One of the frustrating aspects of research and development of trading systems is that there is never enough time to investigate all of the interesting trading ideas one would like to explore. In the early 1970’s, when a moving average … Continue reading

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A Scalping Strategy in E-Mini Futures

This is a follow up post to my post on the Mathematics of Scalping. To illustrate the scalping methodology, I coded up a simple strategy based on the techniques described in the post. The strategy trades a single @ES contract on 1-minute … Continue reading

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