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Dear All, I finally figured out how to setup and run a scalable server with Amazon EC2 (Elastic Compute Cloud). It sounded to me like the ideal platform for an algorithmic strategy since it would be very reliable and could also temporarily boost computational power for an occasional...

Dima, Sorry about that, you are totally right. I guess you can only get historical data for ETF's, stocks, etc and not the indexes on Google finance (try SPY to see for yourself). What a useless exception. Yahoo finance can give you historical data too. After you enter a symbol on yahoo...

Dima, Click "download to spreadsheet" next to the update button. Open that file with Excel . The file will be in csv format which Excel has no problems with. Regards, Max

Dima, Google finance. Click on historical prices near the top right corner of the chart. Then select the date range and make sure to click update before downloading to a spreadsheet. Regards, Max maxdama.com

fluttrader, Here's a quote from page 5 of acrary's thread, "One series of studies I did was to find out what were the important factors in consistency. I did tests on size of expectation, % wins, profit factor, number of trades within a timeframe, and the effect of dispersion of trades...

bigdavediode, I looked up Ralph Vince's books on Amazon and the other reviewers agreed with you. I ordered his newest, it should be interesting. intradaybill, Thanks for pointing out that my reply to you didn't make sense. Here's what it should have been "I was defining profit...

I'm interested too. It's too bad entries have to use their proprietary system. Max

Corey, I looked up the details of the GARCH model and I agree it's a step up from VaR. If anyone else is interested and not completely familiar with it, here's an introduction short tutorial from NYU. I will test a GARCH model soon. intradaybill, I was defining profit factor as avg...

squeeze, Good question- no, I'm a nineteen year old computer science student at UC Berkeley. I'm approaching automated trading from the theoretical AI side, whereas I gather that most people on ET approached it from the day-trading side. Which is why i am looking for outside opinions...

I re-read an old post from acrary which stressed the importance of being consistently profitable over a certain interval. It made a lot of sense to me to approach profitability in this way because it's logically the only way you can trade for a living. If you don't get a paycheck each week, you...

dtrader98, Thanks, I certainly agree that it would be impossible to create a quantitative NN from scratch based on the story. Input selection heuristics would be a good addition. While writing I also realized it would have been more complete to explain how the hidden layers [advisors] are...

I wrote the following story to help beginners understand neural networks. I've noticed on ET that many people have a vague idea that NNs are very powerful but not a very good understanding of how they work. This story is about how the backpropogation training technique can be used to create a NN...

momone, I agree. It seems like they never tire of answering the same questions. Regards, Max maxdama.com

Batman28, I just want to make the strategies. I'm glad some good, hard to find projects are being posted. Regards, Max __________________ maxdama.com - The log of my research on and implementation of automated trading strategies

chvid, Thanks for those two links, I hadn't realized JSystemTrader was still in active development. The other one, truetrade, looks stillborn, here's a quote from the developer, "Wish I could [continue], but I've left it alone for a while and don't have any plans of returning to finish...

Dear All, I have been using OpenQuant for about a month but it doesn't support high and low-level strategy self-optimization so I am looking for a new development platform. So I am interested in switching to an open-source platform for unlimited flexibility. Here are the ones I have found...

Journeyman, You are correct, I am showing the opposition of robustness and over-optimization for a generalized approximation algorithm. I did not mean to indicate that the charts represented a trading system's performance. It is more of an abstract, academic demonstration. Thanks for pointing...

UDon't, RightEdge looks prettier (antialiased-looking charts) than OpenQuant. It also looks like they are making basically the same piece of software. The reason I didn't pick RightEdge was because I was worried the developers might get burned out before finishing/polishing the software (it...

From a Computer Science Major's perspective, OpenQuant is a fine piece of software. It was clearly planned and coded by a team with good software design experience. Two signs of this are its modularity and model-view-controller (MVC) pattern- both of which indicate that it was planned to be a...

ATLien, Great link to the MIT OCW site, unfortunately Scheme won't help learn C# at all. They are as different as peotry and a lego instruction manual. Scheme is the language used by the Structure and Interpretation of Comp. Programs book (SICP) which is taught in that course. Some of...