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Definitely. Backtesting is also essential. How many different indicator settings can one trader possibly watch in real time simultaneously? A lot less than one can consider through backtesting. Anyone not backtesting their ideas or indicators is giving up a huge advantage.

Actually, good indicators convey more accurate information than the raw data unless you assume we are all savants that can apply numerically complex models in our heads. That is why we use indicators. Indicators make make patterns and opportunities more obvious so our brains can focus on the big...

First you say: "indicators cannot tell you something that is not already on the chart" Then you say: "they may be helpful to filter the noise in the price data and to make it easier for the eye to spot trends which is the primary goal of a speculator" There is WAY too much confusion in...

http://en.wikipedia.org/wiki/Autocorrelation Autocorrelation of returns is correlation(return[1...t-1],return[2...t]), or in other words the correlation between a series of returns and the same series of returns shifted one period forward or backward. Returns can be per-minute, per-day, or...

Anyone looking at autocorrelation of returns versus: 1) time scale of returns 2) design space parameters ??

Maestro, Now I’m really confused. You want to find gems with “extraordinary talents and passion”? Indeed there are many such gems on ET and other forums. But how are your actions actually achieving that goal when there is a much more direct approach? Why not research our posts and...

No. There is a huge difference between seeking validation and arguing for our ideas, as many of us do on ET, and posting grand claims without proof, only to later supply proof, as some kind of test or game. Serious, honest people supply proof when making grand claims. Maestro ought to...

The interesting question here is why is Maestro saying all these things? Why submit a few photos that could have been faked, receive criticism, only to then post photos that proved his setup was real? To what end? Now he does it again. Anyone who says “I wrote 6 books, over 150 scientific...

Mathworks ranks coders based on how fast they can read ASCII data in m-code? Am I missing something here or is this task just a little trivial in the scope of tasks Matlab is capable of? Why bother with such optimizations when (1) it's better to write it as a MEX function and (2) you'll likely...

This data is still available. Any takers?

I use a client/server architecture (quote/execution server + system clients). What was your alternative to client/server? A single multi-threaded app?

Hi HLB, Yes I should have used labels or constants in those examples. Structs are also helpful for organization, though I find it easier to write data(:,3:5) or data(:,open:close) if I want the OHLC fields as a 2D array instead of having to construct [data.open data.high data.low...

It's even simpler if you use a high level language like Matlab. You could start with a single data structure you load from a csv file like: data=load('year_of_bar_data.csv') ...where the columns in the csv file could be: date, time, open, high, low, close, volume plus any other...

So instead of just having OHLC + volume per bar, you'd like to see some other information, per bar, like recent volatility, VWAP, or S/R estimates? You can do this per-tick as well, though per-bar is easier to start with. If this is your goal you can certainly do it with Matlab and Mathematica...

I must have misinterpreted part of what you wrote. Sorry. Regarding the performance penalty with Matlab… how are you using Matlab? Real time processing of market data? I agree there is too much overhead for RT work. However, if you are using Matlab for model development or backtesting, you...

Anton, thanks for the clarification

What penalty? C/C++ is easier to prototype with? Perhaps you can say this if you have an extensive testing and trading infrastructure already in place. Otherwise anyone doing hard core math operations will benefit greatly from Matlab and Mathematica. This is especially true when prototyping...

You appeared to be talking about tick or bar data, not some massive objects. How you store the TAQ data is dependent on how it will be used. Beyond archival purposes, compression is only useful to the point at which it improves throughput from disk without too much CPU overhead to...

What is "Mathlab"? Do you mean Matlab? High performance on Athlon 64 is 10M or 100M objects/second, not 1M. Everyone knows NYSE TAQ can be compressed. So what? I can squeeze 36 months of NYSE TAQ into 20GB with ordinary RAR compression. But then it can't be easily queried. Consididering the low...

This is exactly what I do for my systems, except that I use a blend of M-to-C translated code and hand written C for extra performance where it counts since I do per-tick analysis. I originally thought I could take my Matlab backtesting code, compile it to C, link it in with a real time data...