The picture below shows the tools & the setup I am using. The aim of this setup is to give me a semi-automatic analysis environment that occasionally can run stand-alone trading execution.
- Data: yahoo.com. It’s free and used by many. Yes I am aware of some data accuracy problems, however have come across none yet myself. I am running on Monthly, Weekly or Daily Open & Close prices.
- Broker: Interactive Brokers (IB) as they offer cheapest transaction fees and include a free API for their TWS software.
- Cockpit: MS Excel to control the flow of information and to “glue” the system together. I have started with a “sample TWS-DDE link” excel sheet that comes with IB API. From this I have added VBA code to control most steps in semi-automatic trade execution.
- Analysis: Amibroker (AB) as the working horse. Lightning fast and a very powerful programming language (AFL). For advanced statistical analysis I plan to use the R-DLL link that is available to AB registered users
- Quotes: Amiquote (AQ) fits seamlessly with AB and allows for 100% auto downloads from Yahoo.com & import into AB
If you have any question about the setup, just let me know. I am happy to expand on my choices/experiences. As my Cockpit is still work-in-progress I will not yet upload. However if you are willing to receive the current version, send me an email at quantingdutchman -at- hotmail -dot- com.
OT – Just found your blog, I read Marketsci, CSS, etc regularly, good stuff here!
What do you think of trading the MEOM strategy with 2:1 leverage given it’s limited drawdowns and short time in market?
Hi Aristotle,
Thanks for your feedback and question.
My view on the world is probably different than yours and so will be our risk appetites:-) I say this, as I personally would be hesitant with 2:1 leverage. Why?
Well, my aim is to make 10-15% /year with minimum drawdown. Sofar, the strategy has not encountered a drawdown beyond 5.9% but I always keep in mind that a 1.5x/2x Max Drawdown could happen in the near future.
Maybe I will trade at higher leverage if I have a portfolio of non-correlated strategies in place. This way I would be able to ofset the risk in MEOM and trade this at higher leverage.
In the coming months I will introduce some more strategies and then will start to look into correlation & portfolio optimization.
Stay tuned!
QD
Shortly I will be ending a long time relationship with QP. I thought about using Yahoo with Amiquote. One question. Where does one get a symbol list that keeps getting updated?
Regards,
John
Hi John,
Amiquote uses lists of tickers in ascii format (.tls). This is the exact same format of the watchlists that are used by Amibroker. In other words, both programs can use the same lists.
As to the composition of lists, I am not aware of any source that regularly updates the lists. So one has to maintain the lists for oneself.
For me that is not a lot of effort as I mainly track ETF´s and Indices. I do have (outdated) SP500, N100, R2000 lists but do not update with constituent changes for the moment.
Drop me an email if you want to get my lists.
Regards,
Michel
You post great posts, bookmarked for future referrence !
I stumbled across your site, and think it’s fantastic, keep us posting
Nice work QD!
I too stumbled on your site – great work Dutchman!
Hello QuatingDutchMan,
Where are you?. I have just found your blog and seems really interesting.. .did you get rich meanwhile or discover the holy-grail?.
Return to us.
Regards,
suomi