Hello / Extending Java code?
Posted: Mon Jan 26, 2009 11:58 pm
Hi Everyone,
I recently found this forum and have just signed up. I have only been through a few threads but I have already found pertinent information and experience on the subjects I have looked up. So thanks to the contributors for sharing and I hope I can engage some of you going fwd.
I work as a commodity trader and have done so for some years so I have good experience taking risk but none using formal & numerical systems. I have seen them in action through customer flow though. Around 6 months ago, I decide to try to test the trend-following trading approach to see if I might be able to profit from it. As a starting point, I follow Ed Seykota's Trading System project and decide to write my own java framework to implement this. I spend a few hours a week on it and consider this is a good approach for me to grasp the concepts involved in simulation/back-testing.
I am now on the last step of this project and trying to find a good way to proceed from here. The code framework is quite solid but I can see that it needs to be extended further in order to run some realistic back-testing/optimization. Mainly, I need to add capability for multiple underlyings, position addition/reductions and multiple daily signals. I can then test some of the systems I have in mind.
However, I am still unsure on whether to persist with my own framework or whether to switch to a commercial package now that I have an idea of the problem domain involved in running simulations. The end-result I want is a well defined, historically profitable and well behaved trading system. If I pursue the former route, I need to work more on design and implementation of code, lots of testing to iron out the bugs but much less investment in the design of the actual systems to test since I am already familiar with the functionality of the framework. The latter requires I make a decent investment to determine which back-testing packages have the right functionality and then learning their language. I have not really looked at any packages yet. I hope that someone here may have faced the same crossroads or have something useful to contribute. If so, I welcome your input.
Bye for now,
Steve
I recently found this forum and have just signed up. I have only been through a few threads but I have already found pertinent information and experience on the subjects I have looked up. So thanks to the contributors for sharing and I hope I can engage some of you going fwd.
I work as a commodity trader and have done so for some years so I have good experience taking risk but none using formal & numerical systems. I have seen them in action through customer flow though. Around 6 months ago, I decide to try to test the trend-following trading approach to see if I might be able to profit from it. As a starting point, I follow Ed Seykota's Trading System project and decide to write my own java framework to implement this. I spend a few hours a week on it and consider this is a good approach for me to grasp the concepts involved in simulation/back-testing.
I am now on the last step of this project and trying to find a good way to proceed from here. The code framework is quite solid but I can see that it needs to be extended further in order to run some realistic back-testing/optimization. Mainly, I need to add capability for multiple underlyings, position addition/reductions and multiple daily signals. I can then test some of the systems I have in mind.
However, I am still unsure on whether to persist with my own framework or whether to switch to a commercial package now that I have an idea of the problem domain involved in running simulations. The end-result I want is a well defined, historically profitable and well behaved trading system. If I pursue the former route, I need to work more on design and implementation of code, lots of testing to iron out the bugs but much less investment in the design of the actual systems to test since I am already familiar with the functionality of the framework. The latter requires I make a decent investment to determine which back-testing packages have the right functionality and then learning their language. I have not really looked at any packages yet. I hope that someone here may have faced the same crossroads or have something useful to contribute. If so, I welcome your input.
Bye for now,
Steve