I feel sorry for them, but let them be

An interesting article about algorithmic trading I’ve found here.
An excerpts from it:

…………..Recent research from the Tabb Group indicated that in the USA, perhaps 60% of Investment Managers use or experiment with algorithmic trading……………

The majority of many friends and prospective clients i’ve talked with still believe that algorithmic trading is just a new, un-tested, un-reliable, too-risky approach to trade the market. The majority of retail investors still hold a strong believe that trading must be done using technical analysis that needs imagination to draw the trendline, need to have a sensitive-trained eye to spot the support/resistence levels, must use feelings in some extent, that the skill of an experienced trader is too complex to be programmed into a computer program, etc etc etc.. All these have resulted in a popular believe that algorithmic trading is an impossible approach for profitable trading, and it’s only for daydreamers.

Well, I feel sorry for them, feel sad for them, but since it is still –and will still be– the nature of the statistic is 95% of the players are losers, so let them be. They want to do this discretionary, well equipped with all those technical analysis mumbo-jumbo, and with all those fundamental analysis bullshit, so let they get what they deserve to get.

Recent research from the Tabb Group indicated that in the USA, perhaps 60% of Investment Managers use or experiment with algorithmic trading. I believe that they have a better chance to be belong to the winners group than all the rest of the crowd that I feel sorry about.

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Diskusi ttg trading dgn Mr. Mojo

Pagi ini berkesempatan chat-chat curhat dgn seorang teman yang selalu menginspirasi. A Guru, if you like to call it. Dia salah satu founder dan moderator di Metatrader Expert and Advisor Groups. He has been always inspiring. Terutama di bidang Algorithmic Trading. Kalau di bidang-bidang lain, ya beliau ini pun cukup menghibur, hahahahaha

Chat ini saya posting di sini, karena saya pikir, obrolan ini mungkin bermanfaat dan menginspirasi bagi teman-teman sesama pengembang trading algorithm, terutama untuk teman-teman Indotraders.

Selamat menyimak.

Darma: jo, apakabar. gw pengen tanya. kalau development market modelling seperti yg kita lakukan dgn bikin trading algorithm begini, bidang studi apa yg melakukannya di universities ya? thx
Mojo: financial engineering
Mojo: ato quantitative finance
Darma: ic. kalau seperti gw yg ga ada latar belakang economic/finance, hanya background science aja, mungkin gak bisa ambil postgrad dgn scholarship, terutama di germany.
Mojo: asal lu bisa lewat tes matematikanya biasanya gak masalah
Darma: ok thanks jo for the leads.
Mojo: k
Darma: apakabar jo. masih trading?
Mojo: baek … masih
Darma: my robot, jo. intraday yg main reversal di jam2 ranging, sampai sekarang equitynya bolak-balik mulu nih
Darma: http://img207.imageshack.us/img207/2660/detailedstatementeb9.gif
Mojo: bolak balik naek? keren dong
Darma: di timeframe ini, spread dan cost menjadi terlalu significant
Mojo: masih yg terakhir?
Darma: kagak naek, disitu2 aje
Darma: udah 3 bulan live tuh jo.
Mojo: lha yang laen emangnya gak bisa cover?
Mojo: itu trade selama 3 bulan total?
Darma: yup. di interbankfx. mungkin klo dipindah ke broker yg spread di cable lebih tipis, udah positif tuh. initial test, $300 doang tuh jo
Mojo: ya berarti efisien dong ea-nya
Darma: huahahaaa. efisien apaan
Mojo: sayangnya pengennya yg gak efisien ya
Mojo: iya efisien, kan jadi delta neutral
Darma: kalo jadi IB, makan rebate, enak tuh. transaksinya banyak
Mojo: kalo market efisien ya jadinya gitu
Darma: ic ic
Darma: ini ngandelin premis bahwa pada jam2 sepi antara closing US dan sebelum open EU, market ranging
Darma: jadi sell di top bollinger, buy di bottom bollinger.
Mojo: yg presentasi terakhir kan?
Darma: gitu doangan
Darma: iya jo, yg itu
Mojo: ya tinggal difilter ama direction aja kan?
Darma: cuman udah dimodif exit nya, poisition sizingnya, dll
Mojo: buy bottom on bull, sell top on bear
Mojo: emang ada cara laen buat trading?
Darma: haha, iya sih jo. gw udah coba filter gitu. tapi tampaknya di timeframe itu, marketnya independen, gak dipengaruhi oleh bull/bear timeframe yg lbih besar.
Darma: malah jadi ada profitable trades yg difilter
Mojo: ooo
Darma: kalo strategi ini dimainkan di tmpat yg lbih tipis cost/trade nya, kyknya udah profit
Mojo: bikin bridge ke ECN ajah
Darma: mstinya sih gitu ya. cuman gw sebel banget, kok profitable trading itu ujung2nya sangat dipengaruhi cost per trade ya..
Darma: main long term juga, gw hitung2, profitnya habis dimakan interest.
Darma: mungkin approach strategi gw terlalu konvensional
Mojo: wah konvensional itu gimana ya
Mojo: toh market bukan brownian kan
Darma: jadi udah diantisipasi oleh market maker. di tf kecil, diantisipasi dgn spread. di tf besar, diantisipasi oleh interest.
Mojo: jelas2 bukan 50-50
Mojo: kalo gak efisien ya bisa dieksploit
Mojo: interest mah kecil
Mojo: (kecuali maen carry )
Darma: hmm.. maksud gw, approach gw terlalu seperti ‘trading yg seharusnya’.. gak kayak yg akal2in market itu lho, seperti yg grid, martingale, dll..
Mojo: kayaknya sih gak perlu diakalin ya
Darma: ic ic
Darma: iya, gw jg pikir gitu.. emang mestinya wajar2 aja sih.
Darma: yg risk nya masuk akal
Darma: dan strategi yg wajar gini
Darma: cuman akhirnya di kasus gw ini, cost receh2 menjadi sangat berpengaruh
Darma: akhirnya, sampe sekarang pun, belum kelihatan hasil nih.
Mojo: lha bukannya backtest/forward dulu katanya spektakulieur?
Darma: but let’s see, bulan depan mungkin market menjadi lebih ‘teratur’, yaitu ranging di jam2 itu
Mojo: tapi minimal kan gak kemana2
Darma: yup, backtest oke banget.
Mojo: terus keliatan gak ada ‘musim’ begini di backtest?
Mojo: kudunya kan kasih clue yg jelas
Darma: tapi memang selalu ada masa2 3-4 bulan di tiap tahun yg marketnya lari pas jam2 itu.. tiap tahun ada aja gitu.. mudah2an yg tahun ini, yg equity gw gak ke mana2 ini, adalah kejadian yg 3-4 bulan seperti di tahun2 sebelumnya
Darma: yup, ada musim begini
Mojo: ya asik dong
Mojo: bentar lagi gua ditraktir makan2 di bali
Mojo: mozaic ubud ya
Darma: huahahahah elu bisa aja
Darma: kekhawatiran gw, musimnya kok agak panjang ya kali ini
Mojo: lha, kan abis gelap terbitlah terang
Darma: ya, jadinya tetep, menunggu dulu deh
Mojo: gak papa, gua juga bisa nunggu makan2 … tenaaang
Mojo:
Darma: di tahun2 backtest, misalnya profit 2000pips per tahun, itu dari 600 transaksi.. jadi kalo per transaksi ada cost yg lebih mahal 1-2 pips aja di live trading, maka profil ekuity nya jadi beda.
Mojo: itu MBT kan buka API ma
Mojo: kan ente ada programmer di bali
Mojo: cobain ajah kesono eksekusi signalnya
Mojo: keliatan beda gak
Darma: yup
Darma: jadi kesimpulan gw sementara ini: menunggu. kalo masih gak bagus juga, cari eksekusi yg lebih murah per trade. gitu perkembangan gw jo. lu gimana
Mojo: ah gua mah gak kemana2
Mojo: masih stuck
Darma: lha kalo masih stuck di tanjakan equity sih asik jo
Mojo: amin
Darma: tuh kan
Mojo: pengennya sih stuck kenapa gak bisa >100% seminggu
Mojo: pengennyaaaaa
Darma: anjritt
Darma: jo, thanks for the chat.
Darma: inspiring, as always.
Mojo: sip
Mojo: ah inspiring apanye
Mojo: perspiring iya, panas
Darma: yeyyy

Ya, begitulah. Mojo, selalu inspiring.
Semoga bermanfaat.
Good luck to us!

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Due to the regulation…

Due to the regulation we strictly comply with, Risenberg Capital are not soliciting/offering any advisory services, nor any managed account programs nor any kinds of investment products to clients from Indonesia.

Existing holders of account(s) with FXLQ (USA), or FastbrokersFX (USA), or MIGFX (Swiss) –under their very own discretion– can have their account(s) to be traded by any trading robots provided by any vendors under a Limited Power of Attorney (LPOA) arrangement.

For information on Risenberg’s project on mechanical trading systems, please send us your query.

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Volatility is back! :-)

Dear valued partners of Risenberg,
after a contraction in intraday volatility since the begining of 2007 on all major pairs, we are now observing a convincingly increasing volatility.
Using a 15 bars Average True Rrange (ATR) on 15minute chart, then putting a 100 bars Simple Moving Average off the ATR readings, we can observe a significant increase in intraday volatility.
This phenomenon is seen across all forex pairs, including pairs we are now trading using the RiVER system: the Brit Pound, Euro, Canadian, and the Swissie.

Volatility was very low during November 2006 – July 2007.

And this is the reading we have been having for several weeks now.

A very good news for us.
This should be a favorable condition for the business.
Wish us luck!

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Mistigri – MT4 Obfuscator

http://www.mistigri.net/Products/MetaTrader/Obfuscator.php

Rather than contemplate whether to publish your work or not, let’s just make it a bit more difficult for the bad guys because is it worth it for you to give away a free indicator or script or expert and have some person (jackass) decompile and give the source code away? I have heard that there is a group out there that dedicates all its time decompiling anything they can get their hands on … bastards.

This product will remove all comments from your original mql file and will also format the code in such a way that it will be very hard and it will take a lot of time to make any sense out of it.

Download the MT4 Obfuscator at the bottom of this page, copy it into your experts folder. Double click on MT4Obfuscator.exe, on the prompt window type in the name of the file to obfuscate. For example “MACD.mq4″ then press enter. Note that the file name can not have a space in it … Then enter the output file name. For example “Obfs_MACD.mq4″ and press enter. When the app is done press any key to exit the app.

Now in the MetaTrader 4 editor open the obfuscated file, in my example “Obfs_MACD.mq4″ file and compile. Should you choose to distribute your EA, make sure to send out the obfsucated ex4 file.

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