Search results

I agree completely.

”Knowing what you intend to build”?? Then we must be masters of all markets, with our crystal balls able to foresee the design of a profitable system before any testing or simulation is actually done. Discipline balanced with flexibility and adaptability. Markets change. Systems must adapt...

I’m sorry I come off as defensive. I'm just trying to have an interesting debate here, and hoping the truth will come out. I won’t argue these points anymore. Let our previous posts stand for others to judge. You are missing or ignoring the distinction between (bad) strategies that simply...

You're only half agreeing with me here. We all agree on correctness and good design, including efficient design from the start. But what if the strategy requires a certain minimum amount of data to test as valid? According to you, you'd reject the strategy if it didn't validate with the amount...

Hi Martin, Yeah it is getting old, and taking too much time. Maybe we should call a truce? Agree to disagree? Perhaps I am using the term “optimization” a little broadly. The choice and design of an algorithm is usually considered optimization of the overall program. Some of the most...

The debate between Sparohok and myself concerned optimization vs. expressiveness for backtesting, not real time execution of a system. I assumed your post was also talking about backtesting. I agree completely with you regarding the need to handle real time market bandwidth/spikes when...

Future needs? Markets change in unpredictable ways, especially long-term. You can’t predict that. Like I said to Sparohok earlier, what happens when the market changes, rendering your systems unprofitable? You will fault yourself for not trying to improve profitability in the past while...

The point I keep trying to make is that optimization is actually easier, much easier than you portray. Yes, beginning programmers shouldn’t have to worry about it. However, it is wrong to say they should neglect it completely. They should know just enough about proper algorithm design and use...

Sure the analysis might be valid, maybe even serious. Plenty can do serious analysis with a calculator, or all in their head. However, in a comparative sense ten minutes per day of quantitative analysis is not serious relative to what is possible with longer computational times. Analysis on 100...

Why do you make such silly arguments? Plenty of traders are making money without any computational optimization, both now and 10 years ago. Most of us system traders use our brains to analyze and trade, in combination with available computational tools, now and then. There were plenty of...

Yes, there may be a somewhat steeper learning curve. More advanced analysis always has a steeper learning curve. Significantly more complex? Certainly not. A little more complex, yes. However, none of the extra complexity matters once the basic data manipulation infrastructure is in place, and...

Excellent design.

Sorry for the confusion. I realized my mistake but missed the 60 minute post-editing window. I was only criticizing the lack of main memory issue and the advice to stuff all data into memory. I agree with the part about using flat files. Sorry!

Do you even realize what you are saying? Computational efficiency does matter when you are talking about 1 to 4 orders of magnitude improvements. Who wouldn't like to have the equivalent of 10 to 10,000 times as much computing power? In the end what matters most is how fast systems are...

That's excellent! Care to share any other details? I use Matlab and C (MEX functions).

Tick delimited time scales are not usually appropriate for calculating covariances. It is better to index the ticks by some time interval, accumulating or averaging the tick delimited information into time-delimited bins. Then do the covariance. You’re also not tied to fixed-time length bins...

I'm not sure how database query speed can be accurately compared here. It depends on physical record size and internal organization. Does the query require a transpose or many drive head seeks? Is the data stored in a contiguous block? One advantage of flat file formats is that you can choose...

2000 combinations * 81000 records / 10 seconds = 16.2M records*combinations per second. Not bad. In Matlab and C on a 2.5GHz Pentium 4 it is possible to do: 6.7M ES ticks * 17 system variations * 1014 per-tick stop loss formula combinations / 16 minutes = 120M ticks*combinations per second...

Wrong in general. The problem must be approached differently. Ticks are no less efficient than an equal number of bars or any data points for that matter. If you are refering to the increased number of ticks versus bars over time, then yes there may be more computations. However, not all...

There's no free lunch. You are trading in computaional and algorithmic challenges for less opportunities design-wise.