In a previous post, we looked at the building blocks of a trading system. In this post, we focus on the core of the trading application, the algorithm. This algorithm defines our trading strategy, and is created from several modules.
Automated trading systems are complex systems, with many building blocks, which all interact with each other. This post is taking a closer look at these building blocks. Continue reading “Anatomy of an automated trading system”
Another question investors often ask, is what the maximum achievable trading performance is. While there is no general answer to this question, I will still attempt to provide some guidance. Continue reading “The ceiling of trading performance”
When asking investors for their goal, I often hear them say they’d like to “beat the market”. This goal dates back to 1973, when Princeton professor Burton Malkiel claimed that “A blindfolded monkey throwing darts at a newspaper’s financial pages could select a portfolio that would do just as well as one carefully selected by experts”, see his book A Random Walk Down Wall Street. So “beating the market” is really about “beating the monkey”, as probably we would all like to do at least a little better than that poor trading monkey. Continue reading “A closer look at market performance”