I've always assumed that no one (who actually knows what he's doing) will share his knowledge and that's why I am very skeptical about all "I will show you how to get rich by trading X" style books and that's why I'm trying not follow their "recommendations" directly. However I am also not 100% sure that absolutely nothing can be learned from these books if picking the information carefully, a bit here and a bit there. Saying that, I do believe that a fair amount useful knowledge can be extracted by cross-validating the information and by conducting own experiments.
As a result I have decided to give it a try and attempt to find the truth my way, making all the errors and learning all the lessons on my own skin.
However to make a good progress and to be productive, I must commit. That that's why I have started this blog. Hopefully people, who find themselves lost in a world of automated trading will be interested in my work here and will read my posts, comment, advise and propose their own view on things.
In this blog I will include absolutely everything I do. From setting up the historical database, finding and choosing backtesting platform to choosing and testing actual strategies. I will raise questions and try to provide an educated answers. I will write only about things I have personally done. Nothing will be taken for granted.
To summarize, these are the few decisions I have made regarding my work:
- I will keep things simple. As I have already mentioned, the amount of information (and private opinions) available on the nets is enormous. Processing this information and making educated conclusions based on it might be the biggest challenge in this task. Saying that I mean:
- I will not attempt to learn any complex financial math to optimize my strategies. People devote many years of their lives to study this topic and it doesn't seem feasible to gain any practical knowledge quickly.
- I will not focus too much on prettying up the code I will write/reuse. As long as it works, that's fine with me. Of course if someone will want to take a part and make things better, it will always be welcome.
- Everything will be tested and checked. As I have already mentioned it before, I will not take any assumptions. I will test and check every theory and practice. I will also use open source software to ensure the transparency of its functionality.
- I will try to avoid any paid software and services as long as possible.
- At the moment I am going to restrict my work to a daily strategies as the highest resolution. This means that I am going to use EOD (end-of-day) data only to make my decisions. This decision was made due to a few reasons, mainly because such strategies seem to be easier to follow and execute at the first stages. On contrary, HFT (high-frequency-trading) demand a very specific set of knowledge and tools which I do not possess at the moment. It also requires another and usually much more expensive set of data.
- I will assume that people do have some basic computer skills. Well.. since the whole topic is very technology-centered anyway, it would be hard (if not impossible) to avoid that. If I'm going to write some code, I will publish it as open-source and link it to this blog.
- I will make changes to already published posts. Since many of my posts will include steps and/or listings, I will update them instead of creating new post. So if you were referencing to any of my posts, you might want to check it once in a while to see if has some new info. Moreover, if I will find out that any of the information I have presented is incorrect, inaccurate or incomplete - I will update it in place.
And of course:
I AM A PRIVATE PERSON, NOT A FINANCIAL ADVISER. ALL INFORMATION IN THIS BLOG IS MY OWN UNDERSTANDING ONLY! IF YOU DECIDE TO MAKE USAGE OF THIS INFORMATION, IT IS YOUR OWN RISK.
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