有没有关于Trader的讨论？ [推广有奖]

11楼

玫瑰猴 发表于 2007-1-15 01:09:00

Looking for hints/answers for the following questions or similiar ones:

How to Evalute a Trading System (a trading model/a trading strategy)

Trading Model(System/Strategy) Evaluation Framework

Can anybody out there give me a hand?

Thanks in advance

[此贴子已经被作者于2007-1-15 1:10:06编辑过]

12楼

irvingy 发表于 2007-1-15 02:23:00

expected return, volatility, maximum drawdown

Sharpe ratio, Sortino ratio, Sterling ratio

[此贴子已经被作者于2007-1-15 9:47:56编辑过]

13楼

玫瑰猴 发表于 2007-1-15 13:47:00

yes,irvingy,thanks for your quick and good answers.

if i defined all you listed are lagging indicators, any leading indicators?

thanks

14楼

irvingy 发表于 2007-1-15 14:53:00

以下是引用玫瑰猴在2007-1-15 13:47:00的发言：

yes,irvingy,thanks for your quick and good answers.

if i defined all you listed are lagging indicators, any leading indicators?

thanks

I don't know what you mean by a leading indicator and how to define one. For my portfolio, I have an expected return and a volatility directly from my model. I also have in-sample return and volatility. Similarly I have out-of-sample return and volatility as well. So maybe I call my model return and volatility leading indicators?

[此贴子已经被作者于2007-1-15 14:53:43编辑过]

15楼

stevensym

发表于 2007-1-15 15:21:00

I do not think leading factors always working. And it also depends on the sensitivity of each industries.

金融与法律，是双生子。

16楼

stevensym

发表于 2007-1-20 04:02:00

最近看了一个trader workshop的内容。介绍了很多trading system，bloomberg的。据说都有数据和excel的接口。

有什么哥们对这个了解的吗？

金融与法律，是双生子。

17楼

玫瑰猴 发表于 2007-1-20 22:59:00

具体bloomberg的这个不了解,但基本可以肯定是,现在的主要都是数据平台,可以构件 automatic trading system .但 trading model都要你自己的,如果要别人的,有,应该不是 bloomberg/reuter etc. Financial Data Service Providers 的，是其它专门的 vendors的,strategies for sale 的,包括我上面(2楼)的 Ricky 的 RC system.一般的 Financial Data Provider 都有 interface 包括跟 Excel,甚至 API.

香港Rickey 是算上亚洲公开搞automatic trading比较早和知名人事(不公开的无法查证).这是根据美国几家评估公司的结果.据我个人实地调查，香港,包括银行,以香港base搞automatic trading 如果有,也应该不多. 我没发现. 当然个人信息来源有限.有知道的朋友请告知.

我对 trading system 和 system trading 特别感兴趣,instrument 主要在 FX/futures/CFD etc.看看还有没有志同道合的朋友.

P.S.

我注意到 stevensym 朋友身在香港,如果有什么信息,请多多交流.

[此贴子已经被作者于2007-1-20 23:31:21编辑过]