Recent content by Corey

Used rsruby successfully, but it doesn't seem to work well with Rails, which I tend to use as a front-end. I've successfully found my way around using it though...

Good luck finding shares to short. That is the real issue with the strategy.

More important, how do you trade it? MAESTRO posted, sometime around Dec 2009, a method talking about taking current price and dividing it by a volatility estimate (I think he used a 30-day ATR). De-trending (using a linear regression or something like that), you would get something that was...

Well, in my opinion, it depends on the interface you want to use it with. I found that for the few times I want to use parallelism in extreme, booting up EC2 with Ruby and DRb was cheaper than buying a whole bunch of mac-minis. On the other hand, if it is something frequent and you have a good...

You want to minimize the signal error covariance between the systems -- i.e. allocate your capital such that when one system is making 'bad' trades, others are unlikely to do so. So if you have 5 systems and 3 all tend to make 'good' / 'bad' trades together, by optimizing your allocation on...

I should have said they <b>easily can be</b> a complex form of curve fitting if not used an intelligent manner. In the wrong hands, they are a dangerous tool. In responsible hands, it is just another powerful tool.

'Black-Box' machine learning, like neural networks, are an elaborate form of curve-fitting because they have no natural interpretation. Those that have a 'geometric' interpretation (in N-Space), prune inputs, or whose output can be interpreted often have great value. Specifically, I...

This claim could be easily refuted. He is saying that reversals take place in conjunction with the moon cycle -- whether they are bottoms or tops. Since the moon cycle is 29.5 days, and this guy says that the reversals occur 'around' the moon phase date (i.e. -2-3 to +2-3 days by his claim)...

There are plenty of available packages for scientific computing in Ruby. The ones that spring to mind are the gsl bindings (ruby-gsl), statistics2, R bindings (ruby-rmathlib or rsruby), LAPACK bindings, libsvm bindings (RubySVM), etc... Let me give you an example of how I used Ruby lately: I...

And perhaps you do indeed colocate, and for you, speed and efficiency is an issue because your strategies rely on it. In that case, C, C++, or Java (Server) may be the appropriate solutions for you. But I still stand by my belief that for most people, disk and network I/O are bigger...

And I highly doubt that you are using C++ in such a manner that requires its efficiency. Unless you are doing high frequency trading, the language choice really doesn't matter. Latency always trumps anyway (I/O is always your bound, not CPU at this point). Just write code in whatever language...

A thread only runs on one core at a time. If your application is single-threaded, it will only run on one core. What core it is assigned to comes from the operating system. Often, you will also see the process being reassigned from core to core as threads are rescheduled. So yes -- you...

Is it merely downside volatility, or both upside and downside? Typically, you get a skew in equity options because they "crash down," whereas commodities "crash up." Are you getting liquidity issues on both the up and down sides?

Well, it really comes down to access patterns. How do you plan on accessing the data? What data will be frequently accessed together? Are calls to data clustered? Can we take advantage of caching (memcache could be useful)? You could take a perusing through High Performance MySQL...

Yep, and I consider them to be the devil :D No 'evidence' why, I just did not enjoy using them. Perhaps I didn't spend enough time, but I never particularly liked Java anyway. My post was meant to be my anecdotal experience using Ruby versus other languages. Everybody's mileage will vary.