{"id":1104,"date":"2010-11-07T23:41:17","date_gmt":"2010-11-07T22:41:17","guid":{"rendered":"http:\/\/soci.hu\/blog\/?p=1104"},"modified":"2010-11-07T23:47:52","modified_gmt":"2010-11-07T22:47:52","slug":"az-ats-mukodik","status":"publish","type":"post","link":"https:\/\/soci.hu\/blog\/index.php\/2010\/11\/07\/az-ats-mukodik\/","title":{"rendered":"Az ATS m\u0171k\u00f6dik :)"},"content":{"rendered":"<p>Az ut\u00f3bbi id\u0151ben nagyon csendben voltam, ennek az volt az oka, hogy a sok els\u0151 f\u00e9l\u00e9ves munka ut\u00e1n azt mondtam, hogy most m\u00e1r itt az ideje komolyabban venni az automatikus trading rendszer \u00edr\u00e1s\u00e1t, \u00e9s nem csak \u00e9jszak\u00e1nk\u00e9nt fejleszteni. Ez egy rengeteg er\u0151forr\u00e1st zab\u00e1l\u00f3, intenz\u00edv kutat\u00e1si \u00e9s programol\u00e1si kaland volt, ilyenkor nincs er\u0151m\/kedvem blogolni. Volt benne sok frusztr\u00e1l\u00f3 pillanat, amikor m\u00e1r fel akartam adni.<br \/>\nDe a sok munka \u00fagy n\u00e9z ki kifizet\u0151d\u0151. :)<br \/>\nK\u00f6zel 4 hete m\u00e1r \u00e9l\u0151ben fut a rendszer, \u00e9s azt hozza, amit a backtest \u00edg\u00e9rt. %-ot, stb. sz\u00e1nd\u00e9kosan nem mondok, de jelent\u0151sen t\u00f6bb, mint egy befektet\u00e9s\u00e9. M\u00e1sk\u00e9nt minek \u00f6ltem bele 2 \u00e9vet?<br \/>\nHogy ez mennyire stabil hosszabb t\u00e1von? Ezt csak a J\u00f3isten tudja. 319 trade t\u00f6rt\u00e9nt eddig, az statisztikailag m\u00e1r el\u00e9g jelent\u0151s, \u00edgy b\u00edzok benne, hogy stabil lesz a rendszer hosszabb t\u00e1von is.<\/p>\n<p>Az al\u00e1bbi k\u00e9p p\u00e1r napja k\u00e9sz\u00fclt, ami egy ritka idegbeteg nap volt, akkor jelentette be a FED, hogy 600 milli\u00e1rd doll\u00e1rt tol be a gazdas\u00e1gba.<\/p>\n<p><a href=\"http:\/\/soci.hu\/blog\/wp-content\/uploads\/2010\/11\/feddaytrades.png\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/soci.hu\/blog\/wp-content\/uploads\/2010\/11\/feddaytrades-300x186.png\" alt=\"\" title=\"feddaytrades\" width=\"300\" height=\"186\" class=\"aligncenter size-medium wp-image-1105\" srcset=\"https:\/\/soci.hu\/blog\/wp-content\/uploads\/2010\/11\/feddaytrades-300x186.png 300w, https:\/\/soci.hu\/blog\/wp-content\/uploads\/2010\/11\/feddaytrades-600x373.png 600w, https:\/\/soci.hu\/blog\/wp-content\/uploads\/2010\/11\/feddaytrades.png 815w\" sizes=\"auto, (max-width: 300px) 100vw, 300px\" \/><\/a><\/p>\n<p>A 3. trade 1.5 percig tartott. :)<\/p>\n<p>Jelenleg 8 future term\u00e9kkel (az alapjuk deviza, stock index \u00e9s \u00e1llampap\u00edr), 16 egyedileg param\u00e9terezett algoritmus p\u00e9ld\u00e1ny tradel. Hosszabb t\u00e1von enn\u00e9l t\u00f6bb lesz majd, hogy lehet\u0151leg ne legyenek olyan napok, amikor sz\u00edvinfarktust kapok. A 2. nap pl. ilyen volt, akkor 2000$ buk\u00f3t kellett lenyelnem.<br \/>\nAz eg\u00e9sz t\u0151zsd\u00e9ben ez a legnehezebb, a pszichol\u00f3giai r\u00e9sz. Egyens\u00falyozni a moh\u00f3s\u00e1g \u00e9s a f\u00e9lelem \u00f6vezte mezsgy\u00e9n. F\u00e9lelmetes dolog ez, igencsak megmozgatja az ember em\u00f3ci\u00f3it. Ezt kell persze levetk\u0151zni, ez a l\u00e9nyege az eg\u00e9sznek. Most p\u00e9nteken pl. nem siker\u00fclt, \u00e9s nem ind\u00edtottam el cs\u00fct\u00f6rt\u00f6k \u00e9jszaka, csak p\u00e9ntek d\u00e9lut\u00e1n, annyira meg\u00e9getett az el\u0151bb \u00edrt vesztes\u00e9g. Pedig ilyenek t\u00f6rv\u00e9nyszer\u0171en vannak, benne vannak a backtestben is. Csak m\u00e1s dolog statisztik\u00e1kat n\u00e9zni, meg m\u00e1s \u00e1t\u00e9lni. Mellesleg j\u00f3t keresett volna a kies\u0151 id\u0151ben, nem volt idegbeteg nap, mint egy h\u00f3nappal kor\u00e1bban. Ez alap hiba volt, kifizettem a tanul\u00f3p\u00e9nzt.<br \/>\nTechnol\u00f3giai h\u00e1tter\u00e9t tekintve W2k8 R2, IIS7, .NET4, EF4, WPF, WCF, SQL Server 2008 R2, SQL Reporting Services alap\u00fa a rendszer. Elk\u00e9peszt\u0151 sebess\u00e9geket lehet el\u00e9rni .NET4-gyel, csak rendes design \u00e9s odafigyel\u00e9s kell hozz\u00e1. Meg sok profile-oz\u00e1s. :)<br \/>\nAz SQL Serverben 15 milli\u00e1rd sor van egy t\u00e1bl\u00e1ban, \u00e9s teljesen j\u00f3l lehet kezelni. Ez is tervez\u00e9s \u00e9s indexel\u00e9s k\u00e9rd\u00e9se.<\/p>\n<p>Akit \u00e9rdekel a t\u00e9ma, az al\u00e1bbi t\u0151zsd\u00e9s k\u00f6nyveket aj\u00e1nlom, nekem ezek seg\u00edtettek:<br \/>\n<a href=\"http:\/\/www.amazon.com\/Come-Into-My-Trading-Room\/dp\/0471225347\/ref=sr_1_1?s=books&#038;ie=UTF8&#038;qid=1289169465&#038;sr=1-1\">Come Into My Trading Room: A Complete Guide to Trading<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/High-Probability-trading-Marcel-Link\/dp\/0071381562\/ref=sr_1_1?s=books&#038;ie=UTF8&#038;qid=1289169495&#038;sr=1-1\">High Probability trading<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Encyclopedia-Trading-Strategies-Jeffrey-Ph-D\/dp\/0070580995\/ref=sr_1_1?ie=UTF8&#038;s=books&#038;qid=1288822530&#038;sr=1-1\">The Encyclopedia of Trading Strategies<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/New-Trading-Systems-Methods-Wiley\/dp\/047126847X\/ref=pd_sim_b_3\">New Trading Systems and Methods<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Cybernetic-Trading-Strategies-State-Art\/dp\/0471149209\/ref=sr_1_1?ie=UTF8&#038;s=books&#038;qid=1288822572&#038;sr=1-1\">Cybernetic Trading Strategies: Developing a Profitable Trading System with State-of-the-Art Technologies<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Reading-Price-Charts-Bar-Technical\/dp\/0470443952\/ref=sr_1_1?ie=UTF8&#038;s=books&#038;qid=1288822613&#038;sr=1-1\">Reading Price Charts Bar by Bar: The Technical Analysis of Price Action for the Serious Trader<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Technical-Analysis-Complete-Financial-Technicians\/dp\/0137059442\/ref=sr_1_fkmr0_1?ie=UTF8&#038;qid=1288822683&#038;sr=1-1-fkmr0\">Technical Analysis: The Complete Resource for Financial Market Technicians<\/a> (nekem az els\u0151 kiad\u00e1s van meg)<br \/>\n<a href=\"http:\/\/www.amazon.com\/Quantitative-Trading-Strategies-Harnessing-McGraw-Hill\/dp\/0071412395\/ref=sr_1_1?s=books&#038;ie=UTF8&#038;qid=1288822750&#038;sr=1-1\">Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Quantitative-Trading-Build-Algorithmic-Business\/dp\/0470284889\/ref=pd_sim_b_4\">Quantitative Trading: How to Build Your Own Algorithmic Trading Business<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/High-Frequency-Trading-Practical-Algorithmic-Strategies\/dp\/0470563761\/ref=pd_sim_b_3\">High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Professional-Stock-Trading-System-Automation\/dp\/0971853649\/ref=sr_1_1?s=books&#038;ie=UTF8&#038;qid=1288822917&#038;sr=1-1\">Professional Stock Trading: System Design and Automation<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Trading-Systems-That-Work-Evaluating\/dp\/007135980X\/ref=pd_sim_b_4\">Trading Systems That Work: Building and Evaluating Effective Trading Systems<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Mechanical-Trading-Systems-Psychology-Technical\/dp\/0471654353\/ref=sr_1_1?s=books&#038;ie=UTF8&#038;qid=1288823017&#038;sr=1-1\">Mechanical Trading Systems: Pairing Trader Psychology with Technical Analysis<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Evaluation-Optimization-Trading-Strategies-Wiley\/dp\/0470128011\/ref=sr_1_fkmr0_1?ie=UTF8&#038;qid=1288823056&#038;sr=1-1-fkmr0\">The Evaluation and Optimization of Trading Strategies<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Evidence-Based-Technical-Analysis-Scientific-Statistical\/dp\/0470008741\">Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Short-Term-Trading-Strategies-Softcover\/dp\/1616586389\/ref=sr_1_1?ie=UTF8&#038;s=books&#038;qid=1289169536&#038;sr=1-1\">Short Term Trading Strategies That Work<\/a><br \/>\n<a href=\"http:\/\/www.amazon.com\/Trade-Like-Hedge-Fund-Uncorrelated\/dp\/0471484857\/ref=sr_1_1?s=books&#038;ie=UTF8&#038;qid=1289169622&#038;sr=1-1\">Trade Like a Hedge Fund: 20 Successful Uncorrelated Strategies &#038; Techniques to Winning Profits<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Az ut\u00f3bbi id\u0151ben nagyon csendben voltam, ennek az volt az oka, hogy a sok els\u0151 f\u00e9l\u00e9ves munka ut\u00e1n azt mondtam, hogy most&#8230;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[69,3,5],"tags":[],"class_list":["post-1104","post","type-post","status-publish","format-standard","hentry","category-tozsde","category-elet","category-szemelyes"],"_links":{"self":[{"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/posts\/1104","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/comments?post=1104"}],"version-history":[{"count":5,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/posts\/1104\/revisions"}],"predecessor-version":[{"id":1110,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/posts\/1104\/revisions\/1110"}],"wp:attachment":[{"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/media?parent=1104"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/categories?post=1104"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/soci.hu\/blog\/index.php\/wp-json\/wp\/v2\/tags?post=1104"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}