Quant Mashup - Financial Hacker Dear Brokers... [Financial Hacker]Whatever software we’re using for automated trading: We all need some broker connection for the algorithm to receive price quotes and place trades. Seemingly a simple task. And almost any broker supports it through a protocol such as FIX or REST, through an automated platform such as MT4™, or(...) Build Better Strategies! Part 2: Model-Based Systems [Financial Hacker]Trading systems come in two flavors: model-based and data-mining. This article deals with model based strategies. The algorithms are often astoundingly simple, but properly developing them has its difficulties and pitfalls (otherwise anyone would be doing it). Even a significant market inefficiency(...) Better Tests with Oversampling [Financial Hacker]The more data you use for testing or training your strategy, the less bias will affect the test result and the more accurate will be the training. The problem: price data is always in short supply. Even shorter when you must put aside some part for out-of-sample tests. Extending the test or training(...) Build Better Strategies! [Financial Hacker]Enough blog posts, papers, and books deal with how to properly optimize and test trading systems. But there is little information about how to get to such a system in the first place. The described strategies often seem to have appeared out of thin air. Does a trading system require some sort of(...) The Cold Blood Index [Financial Hacker]You’ve developed a new trading system. All tests produced impressive results. So you started it live. And are down by $2000 after 2 months. What now? Carry on in cold blood, or pull the brakes in panic? This is a situation all too familiar to any algo trader. There can be several reasons why a(...) I Hired a Contract Coder [Financial Hacker]You’re a trader with serious ambitions to use algorithmic methods. You already have an idea to be converted to an algorithm. Only problem: You do not know to read or write code. So you hire a contract coder. A guy who’s paid for delivering a script that you can drop in your MT4, Ninja,(...) Is “Scalping” Irrational? [Financial Hacker]Clients often ask for strategies that trade on very short time frames. Some are possibly inspired by “I just made $2000 in 5 minutes” stories on trader forums. Others have heard of High Frequency Trading and concluded that the higher the frequency, the better must be the trading. Zorro(...) Boosting Strategies by Filtering Trades [Financial Hacker]We will now repeat our experiment with the 900 trend trading strategies, but this time with trades filtered by the Market Meanness Index. In our first experiment we found many profitable strategies, some even with high profit factors, but none of them passed White’s Reality Check. So they all(...)