Intraday Trading : Research Notes
The web pages linked to below are notes that I wrote while developing an intra-day trading system that used technical indicators for trading. A technical indicator is a trading indicator that is entirely based on the characteristics of the intra-day market time series.
The work described here is incomplete in a number of dimensions. So please don't send me email asking for the secret of making money using these techniques. Unfortunately I don't know any deep secrets of making money in the market and if I did know these secrets I probably would not tell you.
High performance intra-day trading models are currently (January 2009) one of the less explored areas of quantitative finance. Until recently computer systems that have the processing power to support intra-day trading models were very expensive. In many cases only market firms had access to real time "tick data" streams and computer order processing. The computer processing power needed to support relatively complex models is now inexpensive. While market data remains expensive, it is available. Interactive Brokers supports a trading infrastructure that does not require a costly market interface and support for the FIX protocol (although IB does provide a FIX interface).
The models described in the experiments on the linked pages are simple momentum models. The material here concentrates on smoothing the tick-data used by the model.
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