Recent content by Deep Algorithms

I don't think that trend is actually all that well-defined in classical technical analysis (TA), other than being the general direction of a stock, etc. Trend is actually a rather ambiguous concept (in math, TA, or otherwise), and depends on additional information. Intuitively, I think...

Of course. But you're taking what I said out of context. Commodity_Trader implied that compounding returns had something to do with being able to double his/her investment every year. I take this to imply the idea that after n years, there will have been an average doubling of the amount of...

Not to sound argumentative, but I think I was the one that implied that 20% returns are possible, in response to your comment about Warren Buffett. In any case, no you don't need to send me your audited trading results. Though, 1 year of results does not prove a record of consistency. But a...

No, it is not possible. Name one trader who has consistently doubled his/her money every year? Your mention of Warren Buffett is incorrect. His average annual return since the 70s is closer to 20% in excess of the T-bill rate, at least measured by shares of Berkshire Hathaway. Although, he once...

This is a good point that is often overlooked. I just wanted to point out some additional information though, because once you consider everything behind this fact, it is a bit more illuminating. Based on a study of a number of mutual funds and hedge funds over an extended period of time, the...

I think the first paragraph of my prior post came out wrong. Some business or economics problems of course involve serious number crunching work, just perhaps not to the scale of multi petaFLOPS (which is what I meant). Since I see no way to edit my post, please disregard that statement.

Not to sound offensive, but I am not sure that problems in business or economics qualify as "serious number crunching work", which is the point of my prior statement and what I was discussing. I was thinking more along the lines of problems that necessitate the use of a supercomputer, such as...

I think the title for this thread should have been along the lines of why Linux/Unix environments are ignored, instead of Macs. In any case, as indicated in other posts, the reason is that a lot of trading software is developed either for retail traders, and the majority of retail traders are...

As you have seen firsthand, there is a very real issue of limit orders being filled. The standard way of handling this in backtesting is to set an amount by which price must be penetrated in order to consider the order filled. This may not be realistic though. While it helps ensure that limit...

IB is still snapshot (either 1s or 5s, I think), so you get condensed ticks. Is this a problem for forex? Maybe, but probably not. I think that some charting programs may not process this correctly (sorry, I don't have a good example - I just know this has been brought up), but a lot probably...

For currencies, I would recommend that you use your broker's data. If your broker isn't a true ECN, the behavior of the data at the fine-grain level will be dependent on them. If you need a lot of historical data and your broker doesn't provide it, Dukascopy is good (and free).

I have built hundreds (if not thousands) of trading systems, some of them profitable, and concur that simply trying to build a trading system using indicator-based rules rarely (if ever) works anymore. I should also point out that many traders start out down this path, but eventually give up and...

I am not sure if there is a source of free intraday data that goes back that far. There may be, but I am just not aware of one. There are a number sources where you could pay for such data though. I would recommend QuantQuote, but there are many others (IQFeed, etc.).

I don't really see R alone as suitable for automated trading. There are a ton of useful statistical, etc. functions (to analyze data), but to try and work within the confines of it to handle all of the aspects of trading would be more of a hack than the development of a real trading application...

Try: http://eoddata.com/symbols.aspx That will give you currently listed symbols though. If you only want 2013 symbols, you will have to cross-check for (de-)listed symbols in 2014. There is a number of other places that you can get the information too. Just use Google.