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Adventures in Algorithms
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Adventures in Algorithms

  #11 (permalink)
Elite Member
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rleplae View Post
The conditions are not discretionary but automated

What i wanted to know is the environmental conditions you dealt with. For example, i basically deal with two states or conditions (range bound/expansion) to keep things simple. Given your reply you seem to deal with many more conditions or states. I was wondering what are they? Can you describe some of them?

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  #12 (permalink)
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Raphael View Post
Right now I'm reading through Ernie Chan's algorithmic trading and setting up my own back testing environment in Python (although zipline / Quantopian / IB look pretty interesting too as an off the shelf solution).

Have you tested Metatrader? I'm not Software Engineer but I could enter on its Programming environment (kind of C). Currently I'm thinking on changing of Broker because of costs and commissions. IB looks a good option to me and they accept Metatrader as a platform too. If you have tested both platforms maybe you can give your opinión.

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  #13 (permalink)
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Enric66 View Post
Have you tested Metatrader? I'm not Software Engineer but I could enter on its Programming environment (kind of C). Currently I'm thinking on changing of Broker because of costs and commissions. IB looks a good option to me and they accept Metatrader as a platform too. If you have tested both platforms maybe you can give your opinión.

Personally I prefer Python since I'm familiar with it, and because it's a regular programming language it doesn't tie me to metatrader and I know it will scale to include any additional functionality I need, for example if I want to store trades in a database, use machine learning libraries, deploy my trading system on AWS or some other use case I haven't thought of yet.

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  #14 (permalink)
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trendisyourfriend View Post
What i wanted to know is the environmental conditions you dealt with. For example, i basically deal with two states or conditions (range bound/expansion) to keep things simple. Given your reply you seem to deal with many more conditions or states. I was wondering what are they? Can you describe some of them?

What you are looking for is perfect.

But like @BigMike, i also look at various correlations.

You can compare it, like looking at the bigger picture of how money flows
once you have understood the flow of money from one currency to
another, from one asset class to another and the debit of the flow,
small flow or large flow, then you can decide for a certain instrument
and then for things inside the instrument

I see a lot of people looking at min-micro situations, that then tend to
change the second they place a trade, as if the market was against them

the big guys don't trade like that, they would simply not have the time
to get in and out... with the volume they are moving

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  #15 (permalink)
Market Wizard
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Raphael View Post
... I really lack in my ability to read price action.....

Given you have many years of experience in machine learning, why not looking to build a machine-learning algo that looks at the order flow and - for instance - tries to scalp the market in a certain way.

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