Search results

Yes it can go down to under 50 instruments too at times.

Excellent 2 questions. These are as liquid our markets are. Market generally follows 80-20 rule. i.e. 20% of stocks have 80% market cap. The system holdings also should not be too much further away from that, as so is the liquidity. There is little less correlation among the holdings compare to...

Thank you. I am preparing a small presentation and we could do it a video call first if you are interested in a week or so. I am NC based. I am planning to visit Chicago and NY area in couple of weeks, so will certainly touch base with you.

That's is what I keep on hearing. So i tried different other combinations on a mini scale, but it did not works as a system expected or mixed results. All these small systems never felt me confident that it can work long time in varying market. Finally I realized that instead building a system...

None taken. It is not holy grail. Actually the starting point for any good system developer should be to making a "peace" with the understanding that there are no holy grail. (Knowing vs making a peace are 2 different things.) So there are no holy grails. There is only Statistics. That is not...

Yes that curve looks good (good question). and That is one of the one of the main curve I look at when doing my job (of 2% manual intervention). Other chart important are pie charts of Sector investments, large-cap vs small-caps, signal types, hold period distributions etc etc. We don't want to...

Drawdown: good question. less than 15% Win rate: at portfolio level it is less important metric. As most of trades will end in breakeven or many in small losses and few in big wins. profit factor: again at portfolio level it get's complicated. It beats index ETF (as a system) is good enough...

Not sure what you mean. I am imagining a Technical partner(me) + Business side Partner (you?) to take this to next level. If you are asking if strategies OR signals for sale then NO. Basically, there is no singal strategy. It is at portfolio level, combination of many strategies, Fully...

Yes, that is lots of stocks. (it's a good question asked) Only with high numbers, the signal/noise ratio improves. in spite of studied electrical Engineering, it took me good 10 years to actually realize it in trading/system development and that's a shame. Yes it outperforms Index ETF. I think...

What is your definition/expectations for wonderful system? Background: Software Engineer (20+ years) and trader. Only Stocks listed in NYSE/NASDAQ. No options, no forex, no futures.

Background: I am not sure if this is the right forum to put it out, but is my best guess so here it is. In last few years, I have developed a fully automated trading system to trade Stocks. It starts early morning, updating database, earnings events, news etc. Then it submits several orders...

I see GME is getting stopped (circuit breaker) every 5 minutes now. Does anybody know highest record of number of stops for a single stock in a day?

any comments Guys? Just trying to understand what a small cap CEO can or can not do as manipulation. Have seen it happens all the time with low float stocks.

So I read Section 16b rule as : "requires company insiders to return any profits made from the purchase and sale of company stock if both transactions occur within a six-month period." Time A: Let's say insider holding 30% for a long time 5 years plus of a small cap 20 Million Market cap...

backtesting is datamining, isn't it? You start with some hypothesis, code it, backtest/optimize it. You can curve fit anything in back data. But Causation and Correlation are different things.

in the back testing...you will find what you are looking for. :-) trick is not to try too hard and see what is reasonably obvious. But then that would have already factored in the market. No?

Not this latest update, but i have tried the previous one. it is some sincere hard work. Though the product is far from a finished product. (no offense please.) I am not sure what your goals are, as this is a open source product. It is java on windows right? I would consider joint...

Interesting. Any developers on ET who works on Trade-manager? please PM me.

something that works on futures will not work on stocks. They are different monsters. What software, platforms to use is depend on your goal. I would suggest you first list down what features you want, what is must deliverable, what are stretch goals etc. Then compare all available software...

there is no correlation between complexity of the underlying models and performance of algorithm. As said by Mandelbrot, "The only criteria of trustworthiness is replicability in time". hope that helps, -Sun Light