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# Category Archives: Algorithmic Trading

## 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

Posted in Algorithmic Trading, Futures, Machine Learning, S&P500 Index, Trading
Tagged Adaptrade, Curve Fitting, EMini, Monte Caloe Simulation, Out of Sample testing, Robustness
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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

Posted in Algorithmic Trading, High Frequency Trading, Machine Learning, Market Efficiency, Nonlinear Classification
Tagged Automated Trading, Coffee Futures, Crude Oil, Daytrading, E-mini, Energy, Futures, Genetic Algorithms, Genetric Programming, Heating Oil, Machine leaning, Model Robustness, Natural Gas, Ten Year Futures, US Bond Futures
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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

Posted in Algorithmic Trading, Trading, Volatility Modeling
Tagged E-mini, Easylanguage, Futures, Multicharts, Scalping, Tradestation, Trading Strategy
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## Measuring Toxic Flow for Trading & Risk Management

A common theme of microstructure modeling is that trade flow is often predictive of market direction. One concept in particular that has gained traction is flow toxicity, i.e. flow where resting orders tend to be filled more quickly than expected, while … Continue reading

Posted in Algorithmic Trading, ARMA, Direction Prediction, Econometrics, Econophysics, Forecasting, High Frequency Finance, Market Microstructure, Order Flow, Risk Management, Time Series Modeling, Toxic Flow
Tagged Forecasting, Market Microstructure, Order Flow, Toxic Flow
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## Master’s in High Frequency Finance

I have been discussing with some potential academic partners the concept for a new graduate program in High Frequency Finance. The idea is to take the concept of the Computational Finance program developed in the 1990s and update it to … Continue reading

Posted in Algorithmic Trading, Econometrics, Education, Financial Engineering, Graduate Programs, High Frequency Finance, High Frequency Trading, Market Microstructure
Tagged Algorithmic Trading, Education, Financial engineering, Graduate Programs, High Frequency Finance, High Frequency Trading, Market Microstructure
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