Opiniões de algumas pessoas sobre o assunto neste tópico.Como concordo com alguns dos comentários e o acho educativos, vou colocá-los aqui.
Mas...
são comentários.
Some Interesting Links - Software & TrainingMichael Bennett
Hi Everyone,
This is my first post so just wanted to give you some background on some of the apps i have been using over the last year to do some Trend Following code tests and also learning a little bit more about the industry. I'll keep this one based on languages and learning and if people like it perhaps I'll post one about some books and other links I have found useful on my travels.
I have a background in computer programming and have been a consultant for a while now mostly based around Java, Groovy and some Python on a bunch of different systems, I can write C# enough to stay out of trouble and I'm not bashful around bash so I come at this from a programming point of view when looking at things.
Here are a few systems and my feelings on them:
1.
Metatrader 4 - Personally I don't like it, the coding in V4 is its own kind of script language, I didn't really like the language syntax and there was a lot of coding to write up perhaps some standard indicators like donchian channels which you can download from around the web but again are unsupported/opensource so your mileage may vary on their quality... Not great when you have your money running on it.
Metatrader 5 is supposed to be better and they have more C# style language and seems to better but the shops using this as their frontend is few and far between and also most vendors who let you develop on this platform have a whiff of bucket shops around them, the advertising with the usual stock photos of pretty woman at laptops or guys in a hammock with a laptop just put me off (what do you all ACTUALLY trade from your hammocks in bahamas or is that just Directors of the Brokerage when they check out how much money they made spiking everyone out at opening?).
2.
NinjaTrader - I used the free EOD version with the connection to Kinetick their sister company. The platform seems much better than MetaTrader 4 (MT4) and uses its own API based on C#. I really liked coding in it and has pretty decent docs and tutorials but is squarely aimed at retail HFT/Daytraders. I was trying to place a single order with a limit that could be adjusted ongoing (ala turtle rules) but found I had to place two orders and then manage them daily so it was a bit problematic handling the state but it was ok.
Charting and backtesting is great in my opinion, although I haven't tried some of the others, but max drawdown, randomised simulations within bounds of say ATR levels and %account risked per trade. Graphs are good as well, nice and clean and easy to use. Overall I liked it, its free to code in and if you wanted to link it upto someone you then pay the money for it to connect up. Although perhaps, if you knew how to write enough C# I guess you could write out your daily orders into some kind of flat file until it made its way.... Just saying....
3
Other Software - I have also looked at some other more programming based platforms and some friends have been doing some HFT style stuff on LMAX which is a seemingly great platform in terms of performance but their charges were mentally high, as they are owned by BetFair who really don't treat their customers with much respect in regards to charging/commissions.
The quanttoolkit QTK linked to the Tucker Balch Uni of Georgia course below looks promising but you need to be a much more low level programmer to achieve anything of value.
TrainingCoursera (
www.coursera.org ), Wow, this is a great resource and I have looked a few finance courses to learn more about the markets, a bit of theory behind derivatives and some other general information.
I have attached some links to the courses and resources where applicable. most can be easily searched for as well.
If you want to search for a specific course then here is a great place:
http://www.class-central.com/I have been doing the following courses on coursera:
https://www.coursera.org/course/gametheory - GameTheory, really good course if you want to study this, not really finance based per se but good nonetheless.
https://www.coursera.org/course/compinvesting1 - Computational Investing I
This is a course by Tucker Balch and overall its a great course, based in python using the Quant Toolkit linked below and PANDAS a dataframe addon based on numpy and scipy libraries so quite quant based and you'll need to know about matrices and lots of other mathematics course. I got a lot from the course and he does some quite challenging stuff for people but the help system is quite good and there is a lot of peer based help on certain aspects when you need them.
http://wiki.quantsoftware.org/index.php?title=Quan...https://www.coursera.org/course/fe - Financial Engineering and Risk Management
This is much more a maths based quantitative analysis and derivatives based course and has lectures from Emanuel Derman, a famous quant, if that kind of thing floats your boat. Its good but very fast paced initially if you don't have much calculus or derivatives experience and you probably would want a good book or two on the theory like the Hull book Options, Futures and Other Derivatives. They say its pretty much self contained but you will need to spend a few hours a week working on it. This is mostly excel based when calculating option lattices etc.
https://www.coursera.org/course/compfinance - Introduction to Computational Finance and Financial Econometrics
This would be first and favourite course I took on coursera. The tutor, Prof Eric Zivot, is actually quite a good lecturer and makes things easy to understand and I got a lot out of the course, its primarily based in R (The Stats Package) but was a really good introduction to stats and monte carlo simulations (which sound so much more sexy than they really are, its just a loop round a bunch of random samples...meh).
I learned a lot of statistics and functional programming styles on this so if you want to know some more about this style of analysis then its a great free (as in free beer!) introduction. All you need to do is turn up each week and do the work... (suddenly it gets very quiet....)
Programming LanguagesAlso if you haven't done much programming or want to learn some new stuff I would say these two courses are a good start, there are plenty of resources around the net but the Balch course above is a really good finance applied course with computer programming built into it, but if you want a new way to learn a good language (please don't flame me on whats a good or bad language please, I'll just ignore the posts...) or something new like functional programming check out the following courses:
https://www.coursera.org/course/interactivepython - python is becoming a new language of choice for many quants and there is a lot of scienctific based packages for statistical analysis and such like there to use.
https://www.coursera.org/course/progfun - Scala is a java/JVM based functional language that is now getting a lot traction in the big Investment Banks for its scalability and similarities to Java, which for many is their standard dev platform. The course is very theoretical and is from Martin Odersky, the creator of the language and the guy behind Generics in Java since 1.5 so he knows what he is on about. The course will stretch you write code in a completely functional mode (if you have ever seen lisp code this is the kind of stuff you are aiming for in the course) rather than the traditional imperative style of object mutation and state being shared among objects.
So there you have it, some of stuff I'm working on and researching with right now. I must admit some of the courses in the finance side of things are pretty straight laced and factor in a lot of stuff around normal distributions and the EMH (Efficient Market Hypothesis) but so long as you don't come out a complete academic convert to the intractability of their suppositions (psst, the market isn't that efficient as most people know because its operated primarily by humans, well for the time being) you'll get a good grasp of quantitative techniques to help with back testing hypotheses and looking at things in a more rigorous statistical style.
If you like this stuff and want to discuss anything please drop me a line on this thread or via a message, if you have new links or other things worth looking at, its probably best making your own posting and linking to it in a comment that way we won't lose good stuff in the comment list.
Last update on April 18, 8:12 pm by Michael Bennett.
Attachments
MQL5: automated forex trading, strategy tester and custom indicators with MetaTrader
http://www.mql5.com/MQL5: language of trade strategies built-in the MetaTrader 5 client terminal. The language allows writing your own automatic trade systems, technical indicators, scripts and libraries of functions
MQL4: automated forex trading, strategy tester and custom indicators with MetaTrader
http://www.mql4.com/Here you can ask any questions on technical analysis, discuss ideas about trading systems, indicators and robots, as well as hone your skills of programming trading strategies in MQL4. Communicate and
NinjaTrader stock, futures and forex charting software and online trading platform.
http://www.ninjatrader.comThe NinjaTrader stock, futures and forex charting software and online trading platform.
Courserahttps://www.coursera.org/We are a social entrepreneurship company that partners with the top universities in the world to offer courses online for anyone to take, for free. We envision a future where the top universities are
Options, Futures and Other Derivativeshttp://www.amazon.co.uk/gp/product/0273759078/ref=...Options, Futures and Other Derivatives: Amazon.co.uk: John Hull: Books
Class Centralhttp://www.class-central.com/Class Central is a free online course aka MOOC aggregator from top universities like Stanford, MIT, Harvard, etc. offered via Coursera, Udacity, edX, Venture Lab, & others.
QuantSoftware ToolKit -
Quantwikihttp://wiki.quantsoftware.org/index.php?title=Quan...QSToolKit (QSTK) is a Python-based open source software framework designed to support portfolio construction and management. We are building the QSToolKit primarily for finance students, computing stu
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For
modelling strategies, I use mostly
WealthLab or
RightEdge. Both are CLR based platforms and quite flexible.
WealthLab is quite easy to get started with and much easier to do quick modelling in than RightEdge. On the other hand it is also a little less flexible. Still much more flexible than the majority of other software packages I tried though. You can do your own plugins in VS for sizing, visualisation, reporting etc. There is however one big downside that I was not really aware of until Andrew Selby pointed it out to me yesterday. If you reside in the US, you have to be a client with Fidelity to use WealthLab. Stupid strategy which may threaten an otherwise strong software.
RightEdge is much more hard core than WealthLab. Extreme flexibility. Handles data more properly and does correct fx translations for multi currency portfolios. Great software. Possible downside is that it requires a much stronger knowledge of programming than WL. It takes longer to build something, but on the other hand it ends up more proper. With no programming knowledge, you'll be quite lost in this environment. A nice thing is that you can chose your CLR flavor, in case you're really into VB.Net or something. It's a very small company behind it, and that is always a potential downside in case things go bad for them.
I hear good things about MT5 and Ninjatrader, but I've only had fairly brief looks at them.
I know a large number of people on this site are users of
TradingBlox. I never used it myself, so others can probably speak more intelligently than me about that. My main concerns with TB is that it uses a proprietary scripting language and that it seems absurdly overpriced.
I had a brief look at
OpenQuant as well. It appears very similar to RightEdge but with more financial backing and more professional addons. Looks quite interesting, but it is also quite absurdly overpriced
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I am an
AmiBroker fan. I have used AmiBroker for the last 7 years. It is a powerful vector based script programming language for charting, analysis and systems research & implementation. Multithreaded, multi monitor support, etc. It has a very customizable portfolio level backtester. If you are comfortable with basic C you can write AmiBroker code immediately. It is a very efficient language. I test often, many ideas, and I found it easy to model any strategy I tried, in AB, in a short time. One very effective way I use to compare language efficiency is to look at the coding of the indicators/systems presented in each issue of Technical Analysis of Stocks & Commodities, where most of the major trading software packages show how their implementation looks like for the same indicator. If you try this, you will find that the AB code often is the most compact.
Language extensions:
You can extend AB by embedding Java script in the AB code and/or by plugging in your own custom DLLs. It also has a plug in to extend it with R for complex math.
Data Feeds:
AB is built as a platform which plugs-in multiple data providers. By default it comes with a free EOD data provider which uses Yahoo servers (or any availble public data servers). And it has plug-ins for many commercial Real-Time or EOD providers like CSI, eSignal, IQFedd, Premium Norgate, Interactive Brokers, etc.
For automated trading it uses the IB plug-in.
Community:
What I found of tremendous help is a very active user community on Yahoo and an ever growing indicators/methods/utilities library published by the community on the AB site. I have looked there many times for more complex code, to save some time (like DeMark indicators, just to give an example).
All in all, a great platform.
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Have you guys checked out
catalystcorner.com. It has a great pair trading tool that I have not been able to find elsewhere on the internet.
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