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The data shows a long way to drop if NYC reaches the trough of the 2003 recession.... Log Chart

I would be very interested if you could expand on this. Similar to the previous poster, I have tested a handful of intraday pairs and did not find it to be profitable....

Lo, Attached a PDF of charts I threw together very hastily based on your last post. I emphasize hastily so please let me know if there are errors. EQ is just a snapshot of earlier posted curve. Ultimate arbiter of effectiveness of a technique, MA, indicator, whatever is profitability. If...

Since the concept of cubic splines came up I wanted to get thoughts regarding this, I understanding Mr. Jurik has a monetary incentive for pushing his method: A favorite method among engineers for smoothing time series data is to fit the data points with a polynomial (eq, a parabolic or cubic...

Boston is fun for a beer filled weekend. Anymore then that, the meat-head frat boy college bar scene gets very old. Weather sucks and omg the DRIVERS! Degradation of New York would be a good thing IMO. Lower rents, cost of living, should hopefully stimulate some interesting people to move...

I dont think they are, thats why 'loser' is in parenthesis.

Pairs trading is a clever way to transform an otherwise non-stationary process into say weak-stationary but it too is exposed to volatility shocks that happen extremely quickly. For example, financial stocks made great pairs trade for a number of years. And they still do offer good...

NYC wasn't designed for middle class aspirations. It's built around the uber poor and the uber rich. The middle class is like an organism the other classes leech off of, work for the rich to support the poor. It's retarded to think you can live comfortably off 60k in the city but if thats...

LOL, Jersey. The city is livable on shoe string budgets. Just ask all the aspiring actors/singers/painters/...traders. For example, did you know you can get a hotel room in midtown for ~$60/night

Both last posts make the point: Greater profits = Greater risks Whether it be liquidity or news risks, sometimes these are one and the same. This is not always the case of course but a pretty general rule in markets. So how would you counter this? In general, in an increasing...

Perhaps I'm not asking my question correctly and I am sincere in my question: I can see how a more stable distribution about some line will result in more efficient results. IOW, I have 2 systems: 1) I short X+SMA and buy SMA-X, cover @ SMA. 2) I short X+F(x) and buy F(x)-X, cover @...

Maestro, LoLatency, Others: Help me out, here is a very simple strat using the boxed version of WMA. Top/Bottom ticks eliminated, 0.01 commish, and no optimization. Profitability seems robust across some random parameters I selected. How can Splines or other forms of curve-fitting improve...

Guys, I live in manhattan and the restaurants around me are packed! I went to SouthSide in Soho a couple Sundays ago and it too was packed! Maybe it was an off night in MeatPacking? The place kinda blows anyway unless you got connections to the right spot (Tenjune or something). Went to Brass...

Your saying an ARMA model is better then a WMA or an EWMA (typical functions in TA software)? But my question is, how can this be the case if the probability distribution or (regime) changes on you? I have back-tested stupid simple WMA strats that perform great on 'select' equities and...

Co-integration isn't a difficult calculation per say but trying to do it an excel over a couple 100 stocks can be difficult. The comment is correct, sometimes you'll find IBM co-integrated with HNZ. Is that spurious or not? Depends on the trader I guess. Same with stationary systems, pairs...

Because correlation is not the appropriate measure; look up co-integration. Ignore corr and focus on back-test results. [Although most will likely ignore me instead!]

MacroEvent still around? This vol is a b*tch or a blessing depending on the design for small martingale strategies.

365 days is kinda short period, also need to make sure you have enough sample size (at least 30 trades) to make sure you findings are statistically significant. I have a pairs trading algo coded in WealthLab so I can run some testing for you, PM if needed. Just wanted to bump my question...

Bingo! Fit past data does not guarantee future performance, in fact the closer the fit, the less robust the performance will likely be. Linear interpolation and ASSUMING the covar doesn't change is a big assumption IMHO although there are techniques to at least attempt to profit from this...

Guaranteed for the past but how does it respond to out-of-sample data? If its closer fit does this result in less robustness?