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Does anyone know where I can find an up-to-date list of securities trading on the Nasdaq and NYSE? I just need a list of the 7000+ tickers for stocks, etfs, mutual funds, et cetera. Ideally some sort of text file would be amazing (even if it is slightly out-dated). Thanks

Ignore my comment at your own risk. I agree with you -- not every system works in every market -- especially if you develop niche systems. My point was this: if your system's parameters are non-adaptive, and you choose the parameters to maximize returns over a given data set, you should...

A potentially beautiful discussion for the mathematical minded ruined by metaphor gibberish. Well done, gentlemen! Next time I try to use math in my models, I will remember the geniuses at ET and just start blabbering about sports instead... I doubt the majority of posters in this thread...

Yes, it is. You went back, say what didn't work and tweaked it until you got the results you wanted. That is like me taking my models back to 1987, seeing that they do poorly on the day of October 19th, and decide to tell them not to trade on that day. Okay, not as bad, but you get the...

Updated. Thanks guys.

So why not use a non-linear curve fitter to crunch numbers overnight and go long/short the securities with the highest mu/sigma ratio? It's simple until you realize that sigma and mu can change...

Great quote from Wilmott forum's on Correlation vs Cointegration:

Anyone know any papers about risk-management in non-market/sector neutral pairs trading strategies? e.g. PGE-LLY vs XOM-BAC (not saying they are a valid pair, but just as an example). PGE-LLY may be a sector neutral trade, but XOM/BAC has two separate sectors involved ... which makes risk...

My guess is that the firm in question is Jane Street? They have been using OCaml for a while now. The biggest benefit is the type safety. Basically, when the program compiles, you can ensure that you won't have any type conversion errors or the like, which can occur in dynamic languages or...

...talk about a thread necro :eek:

I still don't understand what gives Taleb credibility ... just because he wrote two semi-entertaining (though highly narcissitic and blatantly obvious) books does place any more value on his judgement. Why in the world we listen to people like this, I don't know. He isn't saying anything...

I got excited for a moment -- I thought you meant <a href="http://en.wikipedia.org/wiki/ML_(programming_language)">ML</a>, not Matlab... Anyway ... can't wait to see how this group shapes up. Would love to hear some more about people's experience with parallel clusters. Pelican HPC looks...

Given that Gates' image is strongly associated with MSFT, it might send a bad message to shareholders if his kids are using the competition's products... It makes sense.

Been using Matlab for some scientific computing projects. Would love to join a group about trading with matlab...

Thanks for the links Stox. I'll update ASAP. Trading BLOX Free Historical Data: http://www.tradingblox.com/tradingblox/free-historical-data.htm

How much correlation (more importantly, covariance) analysis did you do between strategies? In my eyes, there are three primary ways to create diversification: time frame, strategy, and instrument. Mean-reversion trading currency over 5 minute intervals should be non-correlated with...

I thought the returns over the last year proved that they did! ZING! Yuk yuk yuk yuk...

Added a few more libraries for Ruby and Python. Still looking for more libraries!

Typically, you would use a broker with an API that you can use within your C++ application. You might be able to use hooking libraries to connect your C++ application to thinkorswim...but that is pretty dirty and unnecessary...

List updated. Thanks for the additions guys.