Recent content by Stoxtrader

Any of the available options have their strengths and weaknesses. The nice charts and graphs from R are no fluke. R is extremely good at visualization. As an investment, VisualStudio (for both C/C++ and C#/VB.NET) is a great IDE to invest in. I see nothing wrong with mixing and matching, as...

I've seen it advised to hire three programmers from an online site such as Guru, and give them all a simple task that should take no more than 4 hours to complete. The one who you feel does the best job, hire them for the actual project. Mind you, this advice is for basic stuff, not high...

Not having a stop loss. That is, when trend trading, assuming overall market volatility hasn't jumped, odds are when your stop loss gets hit then there's no profit to be made staying in the trade any longer.

I'm not sure about MATLAB, but R can call C++ functions. So, for example, some libraries in R are already written in C/C++ with an R wrapper. For integration with Excel, it depends what you mean by "integration". Pretty much anything can output (and input) .csv files.

Aha. Searching for "easy to borrow" brings up this, a blog post implying that Thinkorswim is a good broker/platform for shorting. http://investingfreak.com/2010/05/special-best-lesson-ever-on-how-to-find-shares-to-borrow-of-stocks-at-different-brokers/

FinViz keeps a list of "shortable" stocks, but like IB I think the list will never be realtime updated. Does *any* broker or other service keep a list of shortable equities, updated often enough to be considered realtime?

I use Excel/VBA, R, and Postgresql for backtesting. How are you storing your data? In Excel only? I strongly recommend a database (MySQL, Postgresql, Sqlite, SQL Server, Oracle, etc). For integrating with Excel, VB.NET or C# might be an OK choice, although in terms of financial/statistical...

Higher end ("enterprise") drives should last longer, or at least have a better warranty. And higher end RAID cards would save the drives, of course then you're spending as much as $10,000 on the RAID card alone.

Rocko, I'm curious if you decided on screening/backtesting software. The requirement to run locally, on local pre-existing data, seems hard to search for. Some vendors work off of local data, but it's not clear if the data is in a convenient format to import/export.

Confusingly there are two applications named OpenQuant: C# and VB.NET http://www.smartquant.com/openquant.php Groovy and Java http://code.google.com/p/openquant/ With NinjaTrader you can definitely use C#, it is not limited to NinjaScript.

> I'd rather not again waste time writing UI code, for example. Do you need a UI though? Or is a text interface acceptable? > 3. Flexible programming APIs that let me hit it from a variety of languages. Considering Java, C#, C++, and Python. Specifically I do not want to have to use the...

A rule of thumb is to have a sample size of at least 30, in order for the backtest to be somewhat predictive of future results. So monthly returns for 2.5 years (30 months) suffices, whereas monthly returns for 1 year (12 months) does not. If both strategies were for 2.5 years or more, they...

Um. Yes. More details are needed here. Why does the strategy require a large number of cores/threads? What are the time constraints? What hardware is this strategy being run on, and what are the bottlenecks? For example, if low latency is a requirement then single threading may very well be the...

The difficulty is the word "isolates". There are many variables that determine house prices, most likely including nonlinear relationships and seasonal effects. However if one wanted to do a really simple (and bad) analysis, one could put average house price in column A, and interest rate in...

https://www.google.com/search?q=econometric+model+house+price