Category Archives: Uncategorized

Apologies (INTJ TAA)

I am encountering a bizarre problem whereby Interactive Brokers has been canceling my market orders for $XLY because its price is “out of allowable price limits,” which confuses me, as it’s a market order.  All of the other instruments executed correctly.  Consequently, my system has tried to reissue the market order for $XLY the past two nights (and will do so again tonight), so I will probably have to open the order manually tomorrow.  Has anyone else encountered this problem?

How To Identify Algorithmic Trading Strategies

Mike from Quantstart posted a great, comprehensive look at the process and necessary steps in creating an algorithmic trading strategy.  It’s a long article, but it is a great survey of all of the tools you will need to get the job done (you can find many of the tools mentioned in the article, and even more on the Algorithmic Trading and Autotrading Universe page).  Just to summarize the main points, Mike points out that in order to maintain discipline and successfully trade (both on a discretionary and non-discretionary basis), one needs to know one’s own personal preferences.  If you create a strategy or use someone else’s, and it doesn’t match your own preferences, you will be tempted to intervene and override the trading rules set forth by the strategy, which will result in failure.

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A New Adaptive Asset Allocation Tool

This isn’t related to automated trading systems, but as it overlaps with algorithmic trading, I thought I would mention that Troy Shu has released a beta web app called adaptivwealth [sic] to help retail investors with their asset allocation decisions.  Asset allocation is essentially how you divide your investments between different asset classes, such as stocks, bonds, and alternatives (commodities, forex, precious metals, etc.).  As Mr. Shu points out, several financial services startups are attempting to address the question of optimal asset allocation (see The Algorithmic Trading and Autotrading Universe under the Model Selection section for a list), but they each suffer from various weaknesses, so he’s attempting to address the problem with his own solution: the adaptive asset allocation tool, which essentially adapts its asset allocation decisions to various market conditions, whereas the other services in this industry tend to pick a fixed portfolio and stick with it, bull or bear market.

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