現在的時間是 2012年 1月 28日, 08:01

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  • DDE真的漏Tick漏很大!? (2012/01/25)

    DDE真的漏Tick漏很大!?

    以下原文在此
    對於程式交易者來說
    使用看盤軟體提供的DDE報價應該是最方便、無負擔、易上手的資訊源
    相信不少人都有使用過

    但在網路上不少的文章中,常常能看到『DDE漏Tick漏很大』的說法
    甚至聽過『收到的Tick數只有期交所公佈出來的一半』這麼嚴重的情形

    為了查證這個說法,今天閒閒沒事就寫了個小工具
    圖檔
    下載請至原文位置

    我測試了一陣子之後
    感覺漏Tick的情況非常輕微 (也許還有其他因素影響)


    所以,大家可以想想...
    到底是卷商→(tcp/udp/..)→看盤軟體的過程報價就 Loss(合併)了?
    還是看盤軟體→(dde)→任何Client的過程漏掉了?

    由 tts 發表, 回覆: 0, 瀏覽: 126.
  • 和Tradestation完全相容的投資組合測試軟體-Portfolio Maestro 2.0.4 (2012/01/25)

    和Tradestation完全相容的投資組合測試軟體-Portfolio Maestro 2.0.4

    Portfolio Maestro is a complete solution for Portfolio Testing, Signal Generation and Automated Execution. Clients have the ability to choose a language to create their systems, data sources for historical and realtime testing, as well as to choose brokers to execute the systems.
    Portfolio Maestro is an effective way to run research, development and trading for alternative investment firms and individuals, to discover new ways to design and test strategies, reduce dependency on technologies from different companies, and reduce development time and cost.
    Portfolio Maestro allows users to focus on strategy development and trading and to reduce complexity and risk. Portfolio Maestro technology fits well into both start-up and established trading firms, and is an affordable solution.
    Portfolio Maestro is a stand alone application that runs on a client desktop. Developed by the same people who created award winning Performance Summary Plus (licensed by Omega Research®, now TradeStation®), Portfolio Evaluator, Money Manager, and PortfolioStream, Portfolio Maestro is the next generation of strategy analysis and reporting.
    Portfolio Maestro Delivers:
    Automated environment to backtest multiple strategies simultaneously on a large volume of symbols across a range of strategy inputs
    Flexible environment to build and test strategies using standard .NET languages or import and run strategies written in other backtesting applications, such as TradeStation® EasyLanguage®
    Ability to test and trade advanced techniques, such as cross-sectional ranking strategies, integrated portfolio money and risk management, constraints, and many others
    Industry standard performance reporting metrics to report portfolio performance and to present results
    Data and broker independent platform for strategy research and implementation
    TradeStation Technologies can assist in system development and testing as well as performing statistical evaluation of the results.

    Advanced Techniques

    Portfolio Maestro enables researching a trading methodology using additional techniques that offer an opportunity to enhance trading performance. No other platform offers these advanced features and provides these benefits.
    Portfolio Maestro allows you to:
    Set priorities for strategies that belong to the same system group to get the available capital. A strategy with a higher priority gets the capital first
    Set priorities for system groups that belong to the same portfolio to get the available capital. A system group with a higher priority gets the capital first
    Test strategies on a symbol list where symbols come from multiple data sources, such as Bloomberg, TradeStation® 8, Interactive brokers, eSignal, CSI, text files, and others
    Test a strategy across a portfolio of multiple symbols with different reference symbols
    Test ranking strategies across a portfolio of multiple symbols. Ranking allows ranking multiple symbols based on selected criteria, ranking frequency, part of the ranked list to apply a trading strategy and other parameters. Portfolio Maestro comes with a number of ranking criteria as well as the ability to write new ones and make them available to the user
    Apply money management strategies to scale trades based on portfolio equity or other parameters. Some of Portfolio Maestro’s money management capabilities include: fixed fractional with margin, fixed fractional with ATR, fixed fractional with standard deviation risk, fixed fractional by price, fixed fractional by market value, fixed amount and others
    Constrain trading based on equity, margin, risk and other parameters (e.g., margin/equity ≤ 0.3) integrated with portfolio testing
    Code and test any strategy that can be written in VB.NET, C# or other .NET languages
    Simulate returns and trades. The simulation allows analyzing alternative scenarios or histories that could have occurred given the historical or realized outcome (distribution) of a trading system or portfolio of systems. For example, while a portfolio may have achieved a historical drawdown of $50,000, by re-sampling the original returns we might also determine that the drawdown had a 10% chance of exceeding $200,000. Armed with this information, system traders are better prepared for the risks and volatility of results that could occur in future scenarios
    Test a strategy with the ability to start/stop signals based on portfolio equity, (e.g. stop if portfolio equity lost or gained x%)


    Key Features

    Test a strategy across a portfolio of multiple symbols and time intervals (e.g., daily, 60-minute and 10-minute bars within the same portfolio)
    Backtest a portfolio of multiple trading strategies on one or several symbol lists simultaneously (e.g. many systems and symbol lists within the same portfolio)
    Test a trading strategy across a portfolio using strategies that reference multiple symbols in the trading logic (e.g. pairs, inter-market analysis) Define reference symbol relationships within the portfolio.
    Test a trading strategy across a portfolio using strategies that reference multiple symbols with different time frames
    Rank symbols in your portfolio with user defined criteria and functions and then backtest the performance of the ranking strategy in combination with trading strategies
    Apply Constraints on margin to equity, open position to equity, and others for accurate testing
    Apply Equity Filters on portoflio equity to stop and restart trading based on the performance
    Use all of the capabilities described above in any combination
    Import current version of TradeStation® EasyLanguage® code or TradeStation 2000i EasyLanguage code and test strategies written in EasyLanguage directly in Portfolio Maestro
    Develop trading strategies written in VB.NET, C# or other .NET languages using a standard Portfolio Maestro interface
    Automatically retrieve historical prices from eSignal, Bloomberg, TradeStation or Interactive Brokers for use in backtesting
    Use text files and CSI’s Unfair Advantage® (CSV Format) as a price source in backtesting
    Retrieve symbol properties from available data sources or using Portfolio Maestro Symbol Master
    Portfolio Analysis and Reporting
    Create detailed statistical reports and charts to analyze portfolio backtesting results
    Optimize the parameters of any or all of your strategies across the portfolio and analyze backtesting results
    Perform Walk-Forward Analysis to generate rigorous out of sample performance results when optimizing strategies
    Create new ranking strategies written in VB.NET, C# or other .NET languages using a standard Portfolio Maestro interface
    Apply Money Management Strategies integrated with portfolio testing
    Apply Money Management Strategies using Portfolio Equity or specific risk variables calculated from within your trading strategy
    Constrain Trading based on Capital, Margin, Risk and other parameters (e.g., Margin/Equity <=0.3) for more realistic portfolio simulations given real world capital limitations
    Perform Monte-Carlo Simulation of historical returns to generate scenarios of total return, drawdown, and time between new equity peaks across thousands of simulations
    Convert foreign currency profits to the portfolio base and manage currency denominations for symbols in the portfolio
    Mix and match instruments traded in foreign currencies within the same portfolio
    Measure performance using hedge fund industry standard performance reporting
    View Individual Symbol Equity Curve for symbols in the portfolio
    Create Daily Orders and Positions reports which can be exported to Excel
    Calculate Commission and Slippage by Asset Class or by Symbol for more realistic trading cost assumptions in the backtest
    Export performance reports directly into Excel for an additional analysis
    Technology
    Built on Microsoft .NET platform and SQL Server database technology
    Included API allows for custom development of trading and ranking strategies in standard .Net Languages
    User can run the software from any computer using the same login information
    High performance backtesting engine can process millions of bars of price information

    由 linyy 發表, 回覆: 0, 瀏覽: 101.
  • NFA takes emergency enforcement action against Georgia firm (2012/01/24)

    NFA takes emergency enforcement action against Georgia firm

    The information below demonstrates the damage of compliance. I have said this before. BUT I am willing to say it again (and again). One of the biggest risks CTA/CPO has is compliance related issues. It is either dead or alive issue.

    ======================================== ============================================================

    NFA takes emergency enforcement action against Georgia firm Crabapple Capital Group LLC and its principal, Robert Allen Christy

    January 23, Chicago - National Futures Association (NFA) announced today that it has taken an emergency enforcement action against Crabapple Capital Group LLC (CCG), a commodity pool operator/commodity trading advisor located in Milton, Georgia, and its principal Robert Allen Christy.

    NFA has taken the Member Responsibility Action (MRA) and Associate Responsibility Action (ARA) to protect investors in futures and forex accounts and other investment vehicles controlled by CCG and/or Christy because of their failure to cooperate with NFA in its examination of the firm by failing to produce information NFA requested from them. Additionally, CCG and Christy have provided NFA with false and misleading information concerning CCG's performance results and the firm's operations.

    During the course of its investigation, NFA has learned that CCG and Christy were distributing a disclosure document dated October 2011 that had not been approved by NFA for use. The disclosure document and other promotional material listed trading performance for purported client accounts in futures and other investments with annual returns that ranged from about 10% to over 27% for calendar years 2006 through September 2011. To date, however, Christy has failed to produce records to fully support the disclosure document's performance claims.

    In addition, the October 2011 disclosure document referred to Christy's association with the Christy Investment Group Ltd. (CIG) and claimed CIG was a registered investment advisory firm managing "portfolios for high net worth clients and small to mid-size institutional investors." A website referenced in CCG's marketing materials,(www.christyinvestments.com), also referred to CIG as a "boutique investment advisory firm." However, the Security and Exchange Commission's investment adviser registration records indicated CIG has no current registration.

    CCG and Christy are prohibited from soliciting or accepting any funds from customers or investors for any managed accounts, commodity pools, or other investment vehicles and from placing any trades on behalf of customers, commodity pools, or investors. Additionally, CCG and Christy are prohibited from disbursing or transferring any funds over which they exercise control without prior approval from NFA.

    CCG and Christy may request a hearing before NFA's Hearing Committee.

    The complete text of the MRA/ARA is available on NFA's website (www.nfa.futures.org).

    由 ptvisitor 發表, 回覆: 0, 瀏覽: 79.
  • that you were going to change me (2012/01/24)

    that you were going to change me

    關於編程的免費書籍
    http://bookgrill.com/?pagej.html
    PDF格式的書籍

    由 bookoy 發表, 回覆: 0, 瀏覽: 208.
  • 想說您好大家 (2012/01/24)

    想說您好大家

    我新來的,很高興認識大家! :--)

    由 HealayHig 發表, 回覆: 1, 瀏覽: 99.
  • 程式交易方法論
    有關於程式交易方法論、心得、想法等智識性討論,可於此分享。
    314 主題
    2238 文章
    最後發表Analucan 檢視最後發表
    發表於 2012年 1月 28日, 06:12
  • 金融交易讀書心得和程式交易模型報告
    若您讀過與金融交易相關的專書或文獻,可在此交換心得。或若您有好的交易模型也可在此分享模型內容與績效報告。
    115 主題
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    最後發表ptvisitor 檢視最後發表
    發表於 2012年 1月 10日, 11:56
  • Tradestation與Multi-Chart交易平台
    有關於TS使用、泛Easy Language策略撰寫、績效評估等疑難雜症,都可在此討論。
    331 主題
    1608 文章
    最後發表bookoy 檢視最後發表
    發表於 2012年 1月 24日, 03:57
  • Excel VBA、VB、VB.Net交易平台
    有關於DDE使用、泛VB策略撰寫、績效評估等疑難雜症,都可在此討論。
    152 主題
    867 文章
    最後發表foureyebrow 檢視最後發表
    發表於 2012年 1月 26日, 10:21
  • 其他交易平台(C#、Wealth-lab、Matlab...)
    有關於其他平台、使用、策略撰寫、績效評估等疑難雜症,都可在此討論。
    70 主題
    757 文章
    最後發表tts 檢視最後發表
    發表於 2012年 1月 25日, 20:38
  • 下單API應用
    有關API應用、下單流程最佳化、下單機、演算法交易等,都可在此討論。
    72 主題
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    最後發表jen0719 檢視最後發表
    發表於 2011年 12月 7日, 11:33
  • 理財規劃與財富管理
    舉凡關於理財規劃、資產配置、風險管理(包括保險)與金融行銷等主題,均可在此討論。
    21 主題
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    最後發表clcy 檢視最後發表
    發表於 2011年 12月 18日, 11:22
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    舉凡關於財務工程、金融創新與金融商品分析等主題,均可在此討論。
    14 主題
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    最後發表tracybrser 檢視最後發表
    發表於 2011年 11月 19日, 13:50
  • 綜合應用分享
    除了程式交易,資訊技術可被應用在其他金融領域,您可在此分享心得
    202 主題
    1211 文章
    最後發表ptvisitor 檢視最後發表
    發表於 2012年 1月 24日, 12:12

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