Interesting articles

William Eckhardt: The man who launched 1,000 systems

When Bill Eckhardt left the University of Chicago and foresook his nearly completed PhD in mathematical logic in 1973, he did not abandon his educational pursuits; rather, he focused them on a myriad of disciplines that supported his research in creating trading systems.

Eckhardt launched his own commodity trading advisor (CTA) in 1991, which has produced a compound annual return of 17.35% over 20 years and earned 21.09% in 2010. In addition to building trading systems, Eckhardt has developed a science of trading and written academic papers on the philosophy of science. Here, we discuss his scientific approach to trading.

The Secret World of Jim Simons [PDF]

Simons’ risk-adjusted returns are even more impressive. Paul Wick, manager of Seligman Communications and Information Fund, leads all U.S. mutual fund managers, according to Morningstar, with annual returns of 31 percent since 1990. But his Sharpe ratio over the past three years is 0.42; for the same period, Legg Mason’s celebrated William Miller III boasts average annual returns of 24 percent — and a Sharpe ratio of 0.64. Simons wracked up a ten-year Sharpe ratio of 1.89 throughout the 1990s, with a 2.52 ratio for the last five years of the decade. Sharpe ratios are a measure of risk-adjusted returns. The higher the number, the better.

How does Simons do it? Start with a world-class mathematical mind. In 1976, at 38, Simons won the American Mathematics Society’s Veblen Prize — awarded every five years, it is the geometry world’s highest honor — for his work in the excruciatingly esoteric field of differential geometry.

"Jim Simons is without question one of the really brilliant people working in this business," says quantitative trading star David Shaw, chairman of D.E. Shaw, which boasts returns above 50 percent this year. "He is a first-rate scholar, with a genuinely scientific approach to trading. There are very few people like him."

Renaissance Technologies fund whiz James Simons first traded stocks in the early 1960s, while in graduate school at the University of California at Berkeley.

Thanks acid. These guys show us, that the Zorro approach is a realistic one and can surely lead us the beaches.

Good to see your demos still running.

Yeah, we just need to find and employ at least a hundred of PhD's, and we're good to go.

Jokes aside, these veterans are inspiring. I have read each of these two (not exactly short) articles twice.



So far, so good... 1.14 is very promising.

But, I'm not sure that all API bugs are weeded out yet, Zorro developers did what they could to improve robustness, but I think we're still waiting for the proper solution from the FXCM.

Other interesting articles.
http://www.strategyquant.com/articles/

They have a nice gui to program and test with but whats behind the gui and what the core will provide to us traders doesn't look that good as Zorro.