A job opening for quants
Alphacet told me that they have a job opening for a quant who will be helping their clients backtest trading strategies, among other responsibilities. Given that Alphacet's clients include several major investment banks and hedge funds, this position should provide pretty good close-up view of how the major quantitative players operate.
A good book for quantitative traders
Larry Connors and Cesar Alvarez (the guys behind tradingmarkets.com) recently published Short Term Trading Strategies That Work
, a nice collection of simple technical trading strategies that you can easily backtest and verify.
As I have argued in my own book
, simple strategies are often the ones that work best. As with any published strategies, you may find that their backtest performance may not be as high as advertised if you test them on a different time period or a different security, or with different transaction cost assumptions; but the main value of these strategies is that they serve as an inspiration to trigger your own imagination and motivate you to refine them further.
(For e.g., though the book mainly covers long-only strategies, you can easily imagine the accompanying short strategies.)
To be quite honest, this is one of the few books on trading strategies that I actually manage to finish reading from cover to cover.
As I have argued in my own book
(For e.g., though the book mainly covers long-only strategies, you can easily imagine the accompanying short strategies.)
To be quite honest, this is one of the few books on trading strategies that I actually manage to finish reading from cover to cover.
MATLAB as an Automated Execution System
I just published an article "MATLAB as an Automated Execution System". (It is available to readers of my book and subscribers to my Premium Content website.) It comes with example MATLAB codes executing a simple Bollinger-band high-frequency E-mini trading strategy.
As I mentioned before, I now find MATLAB to be a good platform not just for backtesting, but for automated execution as well. Of course, not all brokerages have API's that connect to MATLAB. My example codes are for submitting orders automatically to an Interactive Brokers account.
In general, I find that writing execution programs in MATLAB is a breeze compared to C++, Java or even C#. It takes about 1/5 the development time of a C++ program. Any performance limitations will probably not be due to MATLAB, but to the latency of your brokerage in updating positions and order status.
As I mentioned before, I now find MATLAB to be a good platform not just for backtesting, but for automated execution as well. Of course, not all brokerages have API's that connect to MATLAB. My example codes are for submitting orders automatically to an Interactive Brokers account.
In general, I find that writing execution programs in MATLAB is a breeze compared to C++, Java or even C#. It takes about 1/5 the development time of a C++ program. Any performance limitations will probably not be due to MATLAB, but to the latency of your brokerage in updating positions and order status.
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