Recent content by torel

nice result, thanks for sharing. would you mind posting an equity curve for the year? what asset class (stocks, options, futures etc ) do you trade, what market?

I'm interested in downloading historical market news for stocks or indicies. It would be first sufficient to know the number of news & announcements appeared on the market on a given day in the past. Where can I download such a data series? I know yahoo finance has historical headlines but...

thx for the comprehensive answer. Many PhD students would be glad to be able to publish results and gather credit points that way. You can really take KDD CUP (http://www.kdd2007.com/kddcup.html) as a good example. Besides academia, many serious practitioners participated (and won prices)...

Do you organize a workshop or conference where best ranked participants are invited to submit papers and present their winning strategies and ideas? (Because strategies are not developed for real trading, I assume it is not a problem for winners to reveal their successful ideas - as usual at...

MTE, thanks a lot, but I don't really get your last sentence. Are you saying that underlying+put option = call option? How can I find one with a big gamma? (As I understood gamma is the measure of "asymmetricity")

thanx for your reply. The biggest advantage of options over futures in this case is that options have an asymmetric gain function, so it makes possible to avoid losses and allow gains at the same time (theoretically). I now tried out at IB to select an option for my needs. Fortunately, in...

basic setup: At some point in time during market hours, I would like to hedge my nasdaq portfolio against further declines. I've never traded options, read through some CBOE edu sites, still need help to start. I learned that I should by a PUT option NDX. Questions regarding further...

"having a backtested + papertested / statistically proven method is the most you can hope for as a sign that it will work live" Crucial is that temporal unfavorable market conditions do not shake you out of confidence when going real. That is, one should avoid losing too much too soon while...

frosty, how do you prune your decision tree to avoid overfitting? t

frost, in order to reduce pain, can't you scale down your strategy a litte? Obviously you can't lower position sizes but you could consider tuning other strategy parameters (profit targets, stop loss, timeouts etc) to reduce risk. Sure, this would probably reduce profitability also but you...

frost, curious what AI methods do you use and for what? t

frost, what is your condition for stopping the bot? torel ps.: thx for sharing your experience!

I used to query the site for first trading prices after market open but since the SingleBook integration they fail to provide correct prices. First prices are placed into the column before the last in the opening cross report - they are there, but they are rounded to the nearest integer. The...