AlgoDeal – the Career Companion for the Retail Quant

[Versiunea romaneasca] [MQLmagazine.com in romana] [English edition]

When I entitled the site “MQLmagazine” I had in mind, of course, MetaTrader. But I’m not a fundamentalist. If any free multiasset backtesting tool emerges, it is welcomed to MQLmagazine. And I was pleasantly surprised to find AlgoDeal… Never forget to roam LinkedIn groups, you never know what’s lurking there.

AlgoDeal comes with a brand new business model, that is welcomed, especially for us, the doomed retail quants. I think it could be called prop trading online. Similar to advanced prop trading groups that use automation, it can trade your strategy, with their money, and give you a share of profits, of course, if the strategy is selected by them. At the same time the activity is not locked in a building somewhere in a civilized city in west, where you get access if you manage to get thru the arrogant HR, rather, it’s something that you can work home. The platform is designed for quants, so it should give you the full power of a quantish backtesting platform, that you could never get your hands on other that by working in a hedge fund, thing that we know is impossible for the God-forgotten quants (that had to become quals, for these reasons) of the Eastern Europe.

AlgoDeal

Market Runner (this is the name of the platform) is not, however, a trading platform. Because you will never use it for trading. Instead , is a multiasset backtest platform. It’s not so easy to install. The support section of their website details installation a lot, yet problems may arise. Because Market Runner is written in Java. So need to have the JDK installed, plus an IDE, and the recommended one by their team is Eclipse (you get pretty extensive details on installing in the support section, and their team is ready to help if you have issues). Also files inside the backtester are prepaired to be used with Eclipse.

The concept is interesting. As opposed to other quantish tools, it doesn’t need separate data download, because it comes with its own.. Also, besides local testing , it also has remote testing, done on their servers. Other tools that may be available on market are not only expensive, but highly dependant on data quality. Secondly, Market Runner is not a math or statistics package, like MatLab , S-Plus or R, where you would need to approximate the backtesting process , Market Runner is indeed a backtesting engine, and what you write are directly strategies.The strategies are classes , the main program is the backtester, already written.

AlgoDeal Sample

Do you see the buy(1) and sell(1) ? There is no close there…, which means these are not “orders”, these are “deals”. The Buy opens the position, on the open of the bar (onBarOpen() event) and the Sell closes the position on close of the bar (onBarClose() event). Do you remember a certain trivial dispute about MT5 being dumbed down for “conspirational reasons” by “prohibiting hedging”? Well, it seems hedge fund platforms seem to obey the same rules of the civilised world of markets, the hated positional system.

The backtest looks like this:

AlgoDeal Backtester

So Market Runner has a few advantages:
1. Multiasset backtesting, not yet available on MetaTrader. As a side note, we have been asking for a multiasset backtester from MetaQuotes for about four years , and some guys that we never even heard about did it in a few months!
2. Java-based, allows you to build Java skills, so it’s good for career, cause the hedge funds are always looking for Java programmers. Java is a double edged sword however, what you gain in career skills you lose on language accomodation.
3. It’s free – so it gains MetaTrader interoperability. Probably in the future what MetaTrader will not be able to backtest will be backtestable on AlgoDeal and what AlgoDeal will not run will be tradable on MetaTrader.

However, the limit seems to be one minute data, as for MetaTrader. I am not completely sure of this limit, I know it applies to futures data. So you must have in mind the data source before, should you attempt backtesting strategies with sub-M1 action.

In conclusion, AlgoDeal adds itself to the retail quant’s arsenal along MetaTrader5 as a both backtest tool as well as a career tool. The ultra selective HRs might throw your CV to the trashcan if they see MetaTrader5 and MQL, but if AlgoDeal and Java appear, then your luck might change. At the same time, you can see the same strategies from MetaTrader5 thru the eyes of a different backtester. Until then, you can even plan MetaTrader5 strategies directly on AlgoDeal, avoiding wasting time waiting for the MT5 backtester.
Visit their site or the discussion on LinkedIn.

One Response to “ AlgoDeal - the Career Companion for the Retail Quant ”

  1. Investeo on March 10, 2010 at 1:34 pm

    Thank you Bogdan for opening new horizons. By the way - there is a good list of quant books on algodeal’s website.