Fatty Fat Fat

I have chosen, for now, to use Interactive Brokers to execute trades. They seem to provide a good, cheap per-transaction service, reasonably priced market data and fast-enough execution. I have no complex arbitrage strategies or any ideas requiring immediate execution. Ideally, I’m not trying to develop a trading strategy that is extremely sensitive to individual ticks in stocks. At that point, I’ll have to rethink brokerage and costs of trading.

Rough analysis in excel and matlab.

And lots of blogs. The internet is still a great resource for anyone with the time to filter through the garbage.

Read more about building an automated trader
Automated Day Trader — My initial statement of intent to design/research/implement an automated trader.
Automated Day Trader: Ignoring Non-Trade Indicators — Simplifing assumption to ignore news and such and focus only on price behavior.
Automated Day Trader: Double Moving Average Crossover, Test 1 — My first test in the marketplace, implementing a very primitive strategy. In retrospect, it was a hasty and bad decision, but I was impatient to do something. I got lucky. Basic statistics on my first 48 hour trading period.
Automated Day Trader: Tools – IB for execution, Excel/Matlab for all my number crunching.
Automated Day Trader: Most Technical Analysis is Crap — Why technical analysis isn’t real, but it is. And why I’m trading a strategy that I don’t have 100% confidence in the theory that supports it.
Automated Day Trader: Momentum — Momentum seems better than identifying peaks and valleys to me. Bonus: momentum indicators are easier to program than some sort of shape recognition algorithm.
Automated Day Trader: Double Moving Average Crossover: Udate — An update and my more recent thoughts about moving average crossover strategies.
Moving Average Crossover: Analysis — The day I retired the autotrader so more research could be done. Thoughts for further research.
Moving Average Crossover: Backtesting SPX – Backtesting SPX data using the first moving average crossover strategy. This methodology was later employed to pre-test all of my strategies, rather than diving in blindly like my first run.
Moving Average Crossover: Optimization Basics — Basic theory for optimizing a primitive moving average crossover. Introduction of stops and other features to improve moving average crossover performance changes this, but its a start for the uninitiated.
Moving Average Crossover: Theory — A more in depth discussion of theory, from the perspective of standard market theory and some numbers with backtested strategies. This is the post I wish I had read before I ever started dabbling in autotraders.