Recent content by prophet

For price improvement, to move large size and for market making. TA can reveal some fairly useful mean-reversion or stat-arb phenomena that can help an institution move more size and thus expand their AUM capacity. TA can also reveal momentum phenomena with decent capacity.

I've always used Sharpe ratios calculated separately from daily, monthly and annual returns. Each time scale reveals different performance characteristics. If I had to pick only one I'd pick Sharpe ratio of monthly returns, annualized of course. I typically process daily returns though a...

Several years ago I helped create a quant hedge fund management company and I personally developed systematic strategies that used some fairly popular technical analysis techniques. Even though the TA elements were quite common, properly developing, tuning and optimizing the systematic...

Historical T&S data: https://www.tickdata.com/ (high quality) or http://anfutures.com/ (possibly lower quality) Historical (~10 years) of 1-minute bars and real time T&S: https://www.iqfeed.net/

A consistent Sharpe above 3 with useful capacity is super hard to achieve. Years ago I helped create a quant hedge fund and I personally developed strategies that delivered a 3-year Sharpe ~2 fully market-neutral return to our investors. We won some hedge fund industry awards for that...

I used to give the exact same advice. It is hard to operate a business there. The "brain drain" of workers leaving the VI is a constant drain on the economy and increases cost of living. Crime is a problem. I've lost three friends on St. Croix - 2 were murdered (one political, one drug related)...

St. John wins in terms of natural beauty. I'd personally go with a small inexpensive house on St. John with less of a view and put the money I saved into a nice boat or even just co-own or borrow a boat. Key to enjoying the USVI is having the right source of income and a good network of friends...

I lived on St. Croix in the 1980s, then visited once every 1 or 2 years since then and l still own a house there. I visited St. Thomas and St. John a couple times in the 1980s and I liked the ruggedness of St. Thomas and the natural beauty and hiking trails of St. John. The best way to enjoy...

Did you encounter any traders or hedge fund managers on St. John or St. Thomas? I'm curious whether the USVI's hedge fund industry is growing or contracting. I used to live on St. Croix and operated a labor-intensive property management business there. It was only profitable when I was able...

Exactly. This is the huge flaw with the common approach of using "rolling" in-sample optimization / out-of-sample verification. The top-level research process (R&D decisions being made) ends up optimized over the out-of-sample periods. The out-of-sample periods are no longer fully out-of-sample.

I'm thinking of subscribing to ActiveTick for historical options trade and quote data. Were these issues resolved? Have you downloaded ActiveTick historical options tick-by-tick trade and quote data? If yes, were you happy with the data quality and completeness? Discussing this on another...

Thanks! ActiveTick looks nice. They have US equity options tick data from Jan 2010 to present with millisecond resolution timestamps. Looks like access to historical options data will require either the $90/month or $300/month subscription. Has anyone here used their ActiveTick subscription to...

Has anyone compared these vendors and determined which vendor offers the best value / money for: All trades and quotes or 1 minute OHLC with best bid-ask snapshots, 10 years and all (or most) symbols, survivorship bias free? Nanex prices published at...

Thanks. Looks like nanex does a good job logging and extracting their data. It may work well for me.

Thanks! Just contacted Nanex. Weeks to write extraction code? That seems odd. Have you used Nanex data? How does it compare to other vendors? $250 per month is reasonable if Nanex logged the data from multiple exchanges consistently and with quality timestamps. It still might be...