Since I seem to be getting prompted as a new user to introduce myself, here goes....
I am an experienced stock investor, having been in the markets since the mid 1990's. A couple of years ago, an associate and myself developed a fully automated trading platform to trade a very specific pair trading strategy that involved exploiting a correlation between two different asset class instruments that really didn't have any good reason to be correlated, but for a period of about 3.5 years, they were. The strategy was at one time very profitable (printing money). However, over the last two years, and especially the last 6 months or so, the correlation that the strategy was built upon has totally disappeared. It wasn't a HFT sort of algorithm, but it was definitely short term. Most trades were a few minutes to a few hours. In general, the longer the position was open, the worst the performance was (ie, if the regression to the mean didn't happen fairly quickly (within 20-30 minutes), it was probably going to be marginal trade).
The platform was built in java and used Interactive Brokers' API. The system was completely automated. It managed initializing all the parameters based upon historical statistics for a given look back period, calculated the price of the synthetic security which was basically a ratio of the two instruments, and then managed the trade, including making sure we managed the spread during entry, exit and managed the stops of the synthetic pair so we got almost no slippage. The software worked well.
Although we managed to make profits for two years, I decided to pull the plug on this system a couple of months ago due to the clearly degrading performance.
Without this experience, I would have never ventured into the realm of futures contracts and forex trading. However, I have decided to give trading futures a go. I haven't really learned enough to start trading real money yet. Still working on what my style/system should be. However, I am not as enamored with a fully automated system anymore, as I believe that it takes a pretty complex/adaptive system to be able to successfully trade the markets long term. Something the human brain is pretty good at doing, but difficult to code a mechanical system to do well. However, certainly not impossible.
I have a fair bit of experience in machine learning techniques so I have been exposed to sophisticated modeling in a variety of subject areas. I have working knowledge of logistic regression, neural nets, decision trees, and most recently random forests. I still have a great deal of interest in these areas.
I am an aerospace engineer by training and spent 10 years in that field. I then moved into commercial enterprise software as a software developer, architect, and for the last dozen years of so, product management of enterprise software. I have worked for a variety of small companies and startups over the years and ran product management for several.
I have been impressed with the level of knowledge and experience on this forum. I have found that this is the only place that has the right information available with a atmosphere that is conducive to learning and gaining experience.
Slot machines are the most popular gambling method in casinos and constitute about 70 percent of the average US casino's income...but it wasn't always like that. Early machines used wooden spindles. This caused the spindles to wear in a manner that would 'favor' certain numbers. "Astute' gamers' discovered this edge and exploited it. When enough gamers become aware...the edge disappeared. Sounds like you had a good 2 year run on your edge.
Congratulations...and good luck with your trading.
I have been day trading for six years. And like most, immediately found out how challenging it is. After a great deal of investment in books, systems, indicators and learning curve capital, I have developed a focused approach trading just a few futures (TF, GC, 6E) and starting to see some weeks turn into profitable months! Currently using Ninja. Just ran acrsoo Big Mike and really like what I see. One of my biggest challenges has been a lack of outside opinion and accountability.
I would like to thank you for your warm welcome to your forum. I am someone who wants to learn more to be able to take some control over my finances - better then just leaving it to the fund providers. I have started recently in futures (so far - lost more that I have gained) and I have purchaed shares over the years with some sucesses. I am looking forward to learning more about what things to do (ie how to understand Charts & strategies; books/blogs etc to read) and learning what pitfalls others have come across.
My first area I need to work on is to get a practical trading plan in place that I can build on as I get more confident.