Dipping my toe in the algo waters

tom

tom

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I am starting to look at algo trading. I purchased Ron Bertino's "Mining for gold" course to get a good overview. Pretty interesting but I haven't finished going through it yet either.

I got a black Friday deal on StrategyQuant which seems fairly popular. Several years ago I got Adaptrade's Builder and just renewed the maintanence and now have the current version. There's quite a price difference:

StrategyQuant pricing - List price for "Ultimate" is $420/month but is $245/month for 12-months. (My Black Friday deal was $195 for 12-months)
Support and upgrades are lifetime. Ultimate includes access to premium modules and data access for futures and equities.

Adaptrade Builder - Single user license is $795.00 with annual maintenance of $199

Many people rent a virtual private server (VPS) with a lot of cores and RAM to run these programs. I thought about doing that but my main computer is approaching 5-years old so I decided to invest in a powerful gaming computer and run these programs locally. This is the computer I ordered (roughly)

https://www.velocitymicro.com/raptor-signature-edition-pc.php I have a different motherboard, 128GB of RAM and a 2TB NVMe solid-state drive. The case has enough room in it to add a second video board if I want to expand to more than four monitors. I am putting Windows Pro 10 on the machine. Windows 11 is too new for me. In the Air Force, we used to wait for service pack 1 to be released before considering any Microsoft OS upgrades :)

Owning the machine makes more sense for me...especially since I wanted to upgrade my computer anyway.

BONUS: Having such a sweet gaming machine means I can use XPlane with some awesome hardware :)

A similar machine for rent online as a server is not cheap. Here are a few example three year costs:

Contabo VDS XXL - AMD EPYC 7282 2.8GHz, 12-cores, 96GB RAM, 720 GB NVMe SSD for $168.99/month. Windows server adds $54.99/month
Monthly cost $223.98 x 36 months = $8,062.38
NOTE: If you can install your own copy of WIndows Server, the monthly cost is $168.99 x 36 = $6,083.64 plus what you pay for the operating system

Hetzner AX101 - AMD Ryzen 9 5950X 16-cores, 128 GB ECC RAM, 2x3.84 TB NVMe SSD drives 111.86 Euros/month + 236.81 Euros setup fee
EURUSD = 1.1240
Setup cost = $266.17 USD Monthly cost = $125.73 x 36 = $3,283.69 = $5,191.71

I did a data export from TradeStation with a few of Jeff Augen's PhaseTrader Indicators and Builder was able to import it. I haven't figured out how to do that with StrategyQuant yet.

I ran Builder with this data and in 30-minutes it has already found a strategy that generated over 15% in less than six months. I am looking forward to testing different indicator settings and time periods. Promising start so far...
 
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Hey Tom,
I’m going down the algo path myself. Have you completed Ron’s course yet? I’m curious as to how comprehensive it is or if you need to supplement it with additional research/training to really make progress. His PMTT course was pretty comprehensive and was wondering if this falls into the same camp.
 
Hi John,

I haven't finished the course yet.

One issue I seem to have with StrategyQuant is the ability to import data with custom indicators. TradeStation can export it easily and Adaptrade Builder can use it. I may try SQ with some other ideas.

The computer I ordered was supposed to ship today but their end-of-year sale and the holidays are delaying it about a week. I should get it around Jan 10th. I'm going to use that primarily for algo processing. It's a monster.

As Jan 10th approaches, I'll dig deeper into Ron's course and other resources.
 
That's an impressive machine. I'm trying to figure out what the minimum is I can get away with and still be productive with StrategyQuant. Depending on how I create the workflow, I can max out my (old) PC pretty easily.
 
For me, I'll use the new computer partly for SQ/Builder but I may retire my current PC (and my wife's identical PC) to algo duties. I contributed CPU time to the SETI project years ago so it would be a bit similar :)

This is the minimum SQ hardware required:

System requirements - StrategyQuant

System requirements of StrategyQuant - generally ti will run on any decent computer.
strategyquant.com strategyquant.com

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On their blog ( https://strategyquant.com/blog/computer-requirements-run-strategyquant/ ) they say

The ideal configuration is an i5, i7 or compatible processor with as many cores as possible, 32-64 GB RAM or more and an SSD disc. There isn’t much sense in using more than 64 GB RAM, it is better to invest into a better processor.

But don’t worry, having a weaker computer doesn’t mean that you cannot build strategies, you’ll only have to modify your work configuration accordingly – keep less strategies in databank, don’t run expensive robustness tests such as Walk-Forward Matrix and so on.

Having a more powerful computer will speed up the generation significantly – the difference could be (for example) between10.000 strategies per hour on a laptop vs. 600.000 strategies on dual Xeon 48-cores computer with the same configuration.

More computing power doesn’t mean you’ll have better results, it depends on how you use the power you have – your build and workflow configuration.


It is possible to buy a refurbished Dual Xeon 48 core PC for around $1000, which is a every good configuration for a very affordable price.

We at StrategyQuant have several such servers and without any problems so far.



If you want top of the top you can buy the new i9 or AMD Threadripper, but for much higher price.

Summary​

You don’t necessarily need to buy a new computer only for StrategyQuant. A relatively ordinary notebook is sufficient, and you will be able to build a portfolio of strategies if you are willing to accept its limitations.

Powerful workstation is not necessary but it will speed things up and save your time.
 
I fired up an 8 core, 32 GB Linux dedicated VPS at Hetzner and it's performing surprisingly well. About $70/month. Good enough for initial testing.
 
I almost did that too but decided I wanted a faster work machine :)
 
Tom, I am curious as to how the algorithmic trading is going so far. Is this something that you are ramping up or are you still going through the course? If you are able to share an update, I would love to hear about it.
 
Hi Mary Ellen. I was going ot use the Jeff Augen indicators but the problem is you can't call his code from another script so it won't work unfortunately. I'm looking at a few other indicators that I can use in other scripts and will do testing with it soon.

My wife just found out her mom is at the end and we need to get to Beglium ASAP. We are getting on a plane tomorrow and will be gone for four weeks so I won't have my testing maching available unless i can setup some kind of remote access to it tonight. Whew.. busy!
 
We are leaving tomorrow afternoon and will arrive in Brussels Sunday morning. Gaby's mom didn't make it.
 
Thanks everyone.

I setup TeamViewer before I left to do some Algo cranking but I didn't store the right password. Grrr

The Algo stuff doesn't walk away.
 
Hello! Condolences on your loss!

Just a general question about the Mining For Gold course. I have the StrategyQuant software, and considering buying Mining For Gold course.
The thing is, StrategyQuant has a pretty good course on how to build strategies and do robustness tests. Has anyone done the SQX course and Mining For Gold course?
Is the Trading Dominion course worth it compared to just learning from the StrategyQuant course?
 
Thanks for the kind thoughts. I'll pass them on to Gaby.

I haven't gone through the SQ training yet. I still have to finish the TD course too. I'll give my opinion once I do both.
 
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