Recent content by ehbeehefak

So trading in investment banks function like a broker, where customers use the bank to execute their orders, did I understand it correctly? Also, can you clarify what you meant with "Prop firms' process originates with the flow of orders usually from an exchange."? Why would an exchange send...

So how exactly do they facilitate customer order flow? What kind of strategies are employed when executing customers' orders?

Hi everyone, I have a question that I wanted to ask for a long time, if you guys can help me about it I will be very grateful. I just cannot grasp what differences exist between trading done in Sales&Trading departments of Investment banks and trading done at Proprietary Trading companies &...

Thanks for suggesting the package. If I may ask, being a non-US (also non-UK&EU) citizen do I have through the long process of opening up a real account even if I only want to do paper trading?

Hi everyone, I have been developing an amateurish backtesting framework in R based on packages like Quantstrat. The framework consists of backtesting, parameter optimization, walk-forward analysis and other statistical tests that I have learnt from books written on the topic. Now the problem I...

Oh, seems that my ad blocker add-in blocked it. Thank you for pointing it out :).

Thanks for the answer. Can you specify which book you are talking about? I did a search on Amazon and there a lot of books written by him.

My question wasn't about how long should my test set and training set be, it was about in what fashion the parameters were optimized. If you have 2 parameters, you can just bruteforce every possible combination and plot them as a surface, however when you have 3 or more parameters, you have to...

Thank you for mentioning HMMs, didn't know what they were but will look into it.

Genetic Optimization is just an alternative to brute-forcing all parameter combinations. Does not answer my question about the methodology. So, 50+ parameters? Do you first optimize the first one keeping the other 49+ with their default or some predetermined values, and optimize one parameter by...

No, I am not suggesting that the optimization is producing a local maximum, I am suggesting that the optimization might produce a global maximum but with "nearby" combinations having profits drastically lower than the found maximum your excel solver finds. I have read a lot that those global...

That means you did 2-parameter strategy optimization (the fast-sma and the slow-sma). It is easy to find the combination that results in maximum profit, but the problem is that might just be a "peak" combination as opposed to a "plateau" combination of parameters...

What were the results? How did you plot them? Can you show some example plots?