Trading System Data Diagram

June 22, 2009
98 Views
Before programming a system, I find it helpful to diagram the flow and dimensionality of data. By breaking it down you can avoid complexity. Here’s an example of a diagram (usually mine are hand drawn):

click to enlarge
Notice that we actually start out with one dimension here so the maximum dimension is 4.

The system diagrammed above is more complicated than those implemented in the code I’ve posted previously. Specifically it uses multiple models instead of one and performs portfolio optimization at the end.

Before programming a system, I find it helpful to diagram the flow and dimensionality of data. By breaking it down you can avoid complexity. Here’s an example of a diagram (usually mine are hand drawn):

click to enlarge
Notice that we actually start out with one dimension here so the maximum dimension is 4.

The system diagrammed above is more complicated than those implemented in the code I’ve posted previously. Specifically it uses multiple models instead of one and performs portfolio optimization at the end.