Recent content by Mark Conway

I don't think that's a good idea.

Right on. Developing a great system is feeding back one's observations of the market back into the system to make it better, testing each version iteratively. MC

Eventually I got paranoid enough to code the same system on another platform in case a signal was triggered by a bad tick on one of the feeds, or if one of the platforms failed for some reason, e.g., an ISP or vendor failure (case in point today). For the most part, the signals are redundant but...

Pretzel, that's amazing! Great job. I will be uploading more soon. MC

Back testing, real-time analytics, and real-time trading systems.

What are the strengths and weaknesses of each package, in terms of programming flexibility? I need to convert a whole bunch of TradeStation code and was wondering if both of these supported trendline drawing, pivots, etc.

My best friend called me moments after seeing this post. I read the test to him, and he IMMEDIATELY responded with the correct answer - without hesitation. I told him we'd still be shooting pool and drinking beers even if he was a serial killer :D . Best laugh of the day.

NAVR: 11/25/98: Close at 5.88 11/26/98: Market closed for Thanksgiving 11/27/98: Gap up to 8.63, closed at 12.19 on short trading day 11/30/98: Gap up to 26.75, closed at 15 And that was just the beginning...

Baron, as an ex-computer guy, I completely sympathize. Thanks for a great site.

Corso, a few months ago I was using the VIX in an intraday system that had an unbelievable profit factor, around 6.7. I went to bed that night thinking, this was it, after all these years, the Holy Grail. The next day, I'm sitting there waiting for the first signal, but for some reason the...

Your last question: yes, it is full of arcane formulae but if you have a modeling package such as Mathematica or Matlab, it shouldn't be too difficult for experimentation. You may want to dig into his research here: http://www.ess.ucla.edu/faculty/sornette/pub_finance.asp#finance

Tycoon, I read it. He analyzed all kinds of previous market bubbles using log-periodic curve fitting, e.g., the Formula on Page 232. Much of the technical literature has already covered other methods of fitting such as linear regression and n-order polynomials, but he seems to have covered...

Okay, we can do a quick TS test and post results here... MC

Except for June, July, and November, the indices got smoked the last few days of each month last year.