In the electronically-traded capital markets, algorithmic trading programs take price feeds as input and produce orders as output - the idea being they'll analyze the price feeds, make predictions, and capitalize on those predictions by executing orders.
One often designs or trains algo trading programs by feeding them historical (old) price data and seeing what kind of orders they produce, and whether those orders would have (theoretically) produced excess returns at that time (i.e. more money than it costs to execute the orders generated). If not, one continues tweaking the models until they generate (theoretical) profit on historical price movements, with the idea that past performance is an indicator of future returns. In a sense, algo trading is simply the automation of active asset management; the systemization of those managers' market models, designed to make the models both more consistent and efficient. In another sense, it's a sea change in how asset managers do business; algo trading may be compared to electronic music, where new tools have opened whole new horizons. The project sounds like fun, especially applied to bitcoin or other cryptocurrencies. Change of pace from equities, anyway. I'd personally stop short of actually generating real orders / investing real money. -----Original Message----- From: programming-boun...@forums.jsoftware.com [mailto:programming-boun...@forums.jsoftware.com] On Behalf Of Brian Schott Sent: Saturday, February 22, 2014 11:11 AM To: Programming forum Subject: Re: [Jprogramming] algotrade and backtest platform I am not familiar with algotrade nor backtest. Could you supply references, please? Also, in what context are you suggesting this? As a way to attract new users, for example? On Sat, Feb 22, 2014 at 7:27 AM, Y-01 <darling.ki...@gmail.com> wrote: > Hi, Jers > > I have a suggestion: lets write a robot with necessary industry for > algotrading. > > Reasons are next: > 0. Knowledge = strength. Strength is in the truth. And all truth in > algotrade practise. ... Ok, it was a joke. > 1. J practise; > 2. interesting task; > 3. the effect of social reinforcement (international team); 4. > experiments with strategies; 5. possibility to earn some candy > wrappers (like btc or usd) 6. pride oneself and pride for the lost > time. > > Also I propose to start with Mtgox.com (reason: not to deal with the > FIX > protocol) > > Primarily it's a suggestion for those who have already such thoughts > in mind, also for those who are learning J and other languages, for > those who want to practise with language interaction, for students, > workers, experimenters. > > Interesting? Just write any proposals, visions, ideas, questions, > straight questions and details on darling.kicks @ gmail.com . > ---------------------------------------------------------------------- > For information about J forums see http://www.jsoftware.com/forums.htm > -- (B=) ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
