Recent content by jaypaul

This was not clear: "It is not a stability (drawdown risk) issue that kills your system" I should have more simply said: Low relative variation of correlations over time seems to dictate low drawdown risk, even if the correlations are weak on average. Drawdown risk is what kills...

Metooxx, Sorry, there are really two questions I had: What is the proportion of computation spent analyzing real-time data versus past data (backtesting, etc.)? Now, considering only real-time processing, what types and quantities of CPUs are you using, or how many numerical operations...

Why is it a waste of time? If I can develop and trade a profitable system on my own, why share it? I'm not after really big money. I'm already financially secure. I don't want devote all my life to this either. I don't want to worry about my employer stealing my ideas and systems. I want to work...

I'm processing every trade for every issue in the TAQ database. I start with 36 months of data (49 GB), which contains 14958 unique CUSIP numbers. I filter this down to about 120 statistical channels per-day per-issue (2.4 GB cached data). Most of these statistics are derived from T&S. That...

That's a great income! At that rate, I can catch Bill Gates within my lifetime. What constitutes a "small" research project? I do 3-year 5000 stock analysis on an ordinary PC with 768 MB ram. I work with 5000*5000 element matrices and other hideously large data structures. Why such large...

Matlab is not good at data management. You just call external C routines or DLLs for that. Matlab is not suited for processing data in real time. You use it to backtest a solid trading system offline, then convert the core Matlab functions to C and compile that into your real-time app. The...

I like to separate price change "signals" into a "spectrum" of components, that when added back together give the original price change signal. Some call this filtering or decomposition. The premise is that understanding some parts of price action accurately is preferable to understanding...

This is not a 20,000 man-hour project. It could be done by one person in under a week using the proper tools. I would write everything in Matlab, including the GUI. The quantitative code would be concise, elegant and fast. You can do a single line of Matlab code what would take tens of lines...

Not all trading systems simply fail. It's more a matter of how well they adapt to changing markets. Some tips: 1. The goal of designing a system is not only to "trade profitably", but more to "adapt to changing markets". If you want a system that can adapt in the future, first make sure...

I mainly have a question about time & sales vendors, but would love to discuss testing methods and setup. Let me first explain what I’m doing. I have designed and back-tested a few automatic trading systems that require a good-sized chunk of time & sales data. Why use time & sales? I...