The Gateway to Algorithmic and Automated Trading

Going Green

Published in Automated Trader Magazine Issue 12 Q1 2009

If you are looking for an order execution edge, the solution may already be sitting in your dustbin. Shaun Downey explains the practicalities of recycling your stale alpha models for algorithmic trading.

One opportunity still underexploited in the world of trade execution is the use of technical analysis for algorithmic order placement. This opportunity can take at least two forms:

• Purpose-built algorithmic execution models using technical tools, typically in timeframes below ten minutes
• The re-use of existing technical analysis based trading systems or filters (alpha capture models)

In many cases, the latter approach allows an element of

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