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I am still working on my "Pair Stability" indicator. Here are some examples: High Stability This high stability/highly correlated pair is only suitable for intraday trading. Modest Stability This pair tracks really well most of the time. Looks suitable for fundamental based...

I completely agree with you that liquidity is an important constraint. Unfortunately, I don't really see a good way to go about it. The most liquid markets have so much volume, that at the very least, a logarithmic scale is needed. Total volume is more indicative usually, but there are...

I cannot object to the Chinese, or anyone for that matter, wanting abundance. I am not claiming that a Janitor at Goldman Sachs is entitled to 100x the abundance that a Janitor in a sweatshop in China gets. I am concerned that our contrived, convoluted system of innovation is fragile...

Thank you, Tom, for adding the acronym AOT=Ahead-Of-Time for the type of compilation/optimization done by C++ compilers. When I wrote earlier, I had to say "compile-time optimization vs JIT", but I only did that for lack for knowing the AOT vs JIT. Aside from AOT vs JIT, the subject of...

I will give your idea a try. Half of the problem is getting the code to compile, but there is a second big hurdle. When Gretl was a console app, it looks like the core calculation code was in libgretl. when they went GUI, the separate was lost. When I look at the data structures, they have a...

I was surprised that you thought that compile-time optimizers were smart enough to convert loops into multiplication. I once worked with a guy who had worked for Cray. The team he worked in was dedicated to tweaking the C and FORTRAN compilers to get the best benchmark numbers possible...

The package is libgretl for cointegration. I spent over 10 hours trying to get C code written for one compiler to work as extern "C" within C++/CLR. Then I spent another half day trying to get various gcc base packages such as Eclipse going. In the end, a poster suggested connecting to a...

I have an econometric C library that I have not been able to port to C++/CLR. If I could pack it in a DLL, then I could use it. My old favorite Borland C++ Builder 6 doesn't work under Windows 7, and besides, I remember gcc doing a good job performance-wise.

I don't know your software. Are there confirmations somewhere, anywhere. Can you get the time and sales data for that point in time? Talk with your broker. CAC40 is not a US exchange. Who was the actual executing broker? Since you know the approximate time and price and executing...

That is exactly what I have done. I use C++/CLI for calculation and C# for display. Everytime, I add a reference to the .Net assemblies in my C++/CLI code, I see a performance hit. Then I go looking for an STL equivalent, if none, roll-my-own. To keep the C# clean, there is a C# assembly...

It is worth researching. There is a reason why the CFTC requires CTAs to keep independent trading records from the brokers, and there is a reason why these are reconciled. I had enough trouble with one of my long-term systems that I insisted that broker place the orders manually for me. Sure...

Here is an updates list of futures markets with 10 year rank correlation on daily return (log difference) at 90% or higher (market price converted to historical USD value first.) Name Name Linear Rank Pair...

I went through and removed most of the Forex markets from my analysis. (The trading profit/loss on SGX/JPY converted to historical USD isn't very intuitive.) Before giving an updated table, I want to talk about time period. I find correlation and cointegration to be highly interesting...

I hoped that providing a concrete example of some inversely related futures markets might spur this thread along. I forgot to mention in the original post that the tables is a correlation after converting to whole contract value in historical US dollars. I will change the code to exclude Forex...

Yes, we need to enable "File and Printer Sharing (Echo Request ICMPv4-In) Public.

I appreciate your sharing. I have known someone with such deep knowledge of the international monetary system who is able to consistently front-run based on an exceptionally deep understanding of public information and practical implementation details. About all that I can really conclude is...

Oh, and as far as successful goes, I will have to take your word for it. In my small experience, I have seen a few new products from Europe make it. I have seen fewer new products from Japan and Hong Kong make it. The rest must be outside of my limited knowledge. Patent statistics says...

I hope that you are right that was with the UN toothless and the US penniless that the rest of the world gets about the business of improving their lives in a cooperative manner. It could turn out that all of the divisions in the countries of the world really are the result of proxy fights and...

As far as back-testing, cloud disk space is not cheap compared with purchasing the hardware and housing it locally.

Locutus, I think that Paul_Alan was quite directly answering you with some examples. The read is about the stock market, I believe. The stock market is heavily rigged to an upside bias. Paul_Alan mentioned many of the ways in which this is implemented in regulation. It is just as ingrained...