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# Category Archives: S&P500 Index

## High Frequency Trading with ADL

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 ADL, Futures, High Frequency Trading, Latency, Toxic Flow, Trading Technologies
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## Creating Robust, High-Performance Stock Portfolios

Summary In this article I am going to look at how stock portfolios should be constructed that best meet investment objectives. The theoretical and practical difficulties of the widely adopted Modern Portfolio Theory approach limits its usefulness as a tool … Continue reading

Posted in S&P500 Index
Tagged Average Correlation, Efficient Frontier, Mean variance optimization, Modern Portfolio Theory, Robustness, Sharpe Ratio
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## How to Bulletproof Your Portfolio

Summary How to stay in the market and navigate the rocky terrain ahead, without risking hard won gains. A hedging program to get you out of trouble at the right time and step back in when skies are clear. Even … Continue reading

Posted in ETFs, Modeling, S&P500 Index, Volatility Modeling
Tagged Hedging, Market Timing, SPY, Stock portfolio, VIX Index
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## 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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## Can Machine Learning Techniques Be Used To Predict Market Direction? The 1,000,000 Model Test.

During the 1990′s the advent of Neural Networks unleashed a torrent of research on their applications in financial markets, accompanied by some rather extravagant claims about their predicative abilities. Sadly, much of the research proved to be sub-standard and the … Continue reading

Posted in Direction Prediction, Forecasting, Logit Regression, Machine Learning, Matlab, Modeling, Nearest Neighbor, Neural Networks, Nonlinear Classification, Nonlinear Dynamics, Random Forrests, S&P500 Index, Support Vector Machines
Tagged Direction Prediction, Forecasting, Machine Learning, Nearest Neighbor, Neural Networks, Nonlinear Classification, Random Forrests, Support Vector Machines
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