Sunday, February 04, 2007

ULTRA Systems & OpenQuant Software

Recently we've been using systems we've developed with a little known market timing product called ULTRA Market Timing from ULTRA Financial Systems Inc. The product comes chock full of simple timing systems that can be combined into composite definition files so that you only trade when at least X number of systems give signals. Our backtests were encouraging so we decided a couple months ago to try a few of our composites out with real money. So far so good. We have one system that trades the NQ or the ER2, (depending on which one is more volatile), and another system that scales in and out of the ES.

I also recently came across a trading product, primarily designed for hedge funds, called OpenQuant, developed by SmartQuant. It integrates portfolio-level backtesting, automated strategy development, portfolio managment, order execution, all with real-time data feeds from multiple sources. Most of the .NET languages are supported through an API. I think other 3rd party programs can be used with OpenQuant through the API. From a quick inspection, the program seems to be something a hedge fund quant couldn't live without. However, I doubt it would be very useful for the average retail trader, unless that trader has a lot of programming experience.

1 Comments:

Anonymous Anonymous said...

Good post.

12:30 AM  

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