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Newguy, If you only tried changing it from 1:2 to 1:1 then it's statistically very unlikely that you'll be affected significantly by curve fitting. You've only added one degree of freedom to the model, which is insignificant because of how much data you're using: intraday data over 10 years...

pbb, There are plenty of blogs where you can see what people have tried, such as maxdama.com. I went through the quest to find a pre-made trade trading software programming environment like most others, but finally decided to go with a system from "scratch" because the trading system...

haha

Psytrade, The backtester appears to be under development. I agree that there are things missing but I'm just saying that it looks like they're making very rapid progress in the few months I've been following it. The biggest warning sign I see is that they seem to have cobbled together a few...

The Marketcetera team has made very rapid progress. It's worth checking out. Regards, Max

Trader922, I've been working on Matlab-based systems too, I'm using it with Interactive Brokers. I'd like to join your "group". The code I've written for connecting to IB through Matlab via IB's ActiveX API is uploaded on my blog, Matlab/IB Code, for people just getting set up. Glad...

Chvid, Unleveraged ETFs also compound on the short side- that's the big difference. And the unleveraged short ETFs still have excess leverage, in the Kelly criterion sense. They have been about 1.3x too volatile to maximize profits over the past year. If volatility decreases this will be less...

Chvid, What Trvlwanderer said about compounding removing the profits is not actually true, I've thoroughly analyzed the ultrashort downward drift that appears if you look at some charts, namely SDS, SRS, SKF, looking for some kind of arbitrage opportunity. There is no intrinsic...

Ok thanks.

Estim, Thanks, this is exactly what I was hoping for. I also started with MatlabTrader and looked at ExchangeAPI. I would like to see the details of each event handler and other support code you've written (such as for creating contracts, etc.). As you may have seen near the bottom on the...

Hi all, I wrote a tutorial on connecting Matlab to Interactive Brokers. I was wondering if anyone has experience using Matlab through IB's ActiveX API, and if so, could you share your TWS-event handler file. I would like to check my overall method of linking the two with someone else. I...

Tampa, I think this is the result you're looking for: And here's the formula If you wanted the "Y" on the other end of the word then switch the arguments to CONCATENATE. The excel file is attached to this post in case you have a problem. Regards, Max...

Exception, It sounds like we are using very similar strategies. Except mine uses a support vector machine instead of a neural net and I'm using Matlab instead of Java. Yahoo and other free services just have EOD price data. However, once you sign up with a broker they will provide data...

dtrader and intradaybill, Thanks for the criticism. You both brought up variations of the three criticisms/assumptions, and added a few more, that I was trying to eliminate to make it practical. Looks like this is not going to be a very fruitful model. What do you think is the best way to...

I'm interested in using Catalan numbers (Wikipedia) to model the risk of maximum drawdown for the sake of optimization. Basically, what I've found so far is that they can be used to find the probability of a large drawdown with certain assumptions. I'd like to know if anyone has found...

mokwit, Thank you very much. The SMF add-in is easy to use and the functions download data very quickly. Regards, Max __________________ maxdama.com - The log of my research on and implementation of automated trading strategies

That would be really useful actually if anyone has a good source. Like the Yahoo finance key statistics page, but including past values too. Max __________________ maxdama.com - The log of my research on and implementation of automated trading strategies

Corey, Recognizing a false belief is always a challenge, you did that for me. I don't mind searching on my own. Advice from someone experienced is really invaluable for becoming oriented in a new idea. I get sentimental when I don't sleep enough fyi. Regards, Max

BlueOcean, See my previous post for the process to download historic data from Yahoo. If you are asking whether Excel can open a csv file, yes it can, just open it normally. Regards, Max

Corey, Thanks for the reply. I was really hoping for good results especially after how long it took to set up so I'm eager to test your suggestions. Three questions: Which AMI are you using? Can you give me some examples of how much the total costs are for some of the processes you...