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For simple algorithms, Stockfetcher is easy to use for scanning the equity markets. www.stockfetcher.com However it doesn't support higher level constructs such as looping and recursion.

This has a set period of 14 days. Following Ehlers work, you should calculate the dominate cycle first, and use that value as the period input. See "Cybernetic Analysis for Stocks and Futures," ch. 10.

Price moves in fits and starts, and is notoriously random, and yet not random enough in a purely Gaussian sense. In a way, all technical analysis is an attempt to separate the signal from the noise, and create a more "well behaved" data series. Of course in financial markets, it may well be that...

Try the 2*SS1-SS2 trick to remove most of the lag. Amplitude may change slightly for you, but should be ok for your use.

Have a read and listen to some of Ehlers latest work on spectral dilation. http://www.stockspotter.com/In/TechnicalPresentations.aspx He doesn't even recommend use of a MA any more, but instead advises to use the super smoother. He is also supposed to have a new book coming out in the Fall.

Trades will likely be voided, but one possible play would be to have a standing limit buy of 0.01 on all SP500 stocks each day.

And there in lies the fundamental problem with technical analysis. What defines a trend? When does a trend end, and when does it begin? Is a pullback a pullback or the start of a trend reversal?Trading with the trend works, until it doesn't. When it works, and when it doesn't are random events...

Check out John Ehlers work on using digital signals processing (DSP) techniques applied to conventional indicators. Specifically, look at his use of the dominant cycle, inverse fisher transform as applied to the RSI. Generally, I prefer to use oscillators (like RSI) in an extreme value type of...

Selling OTM options has a high probability but a low reward/risk ratio. If you want to develop a strategy of selling, first sell when IV is relatively high (which you know already), and look to maximize payoff instead of probability. Payoff is the product of probability and reward to risk...

There is one way, and one way only, to make the price of a financial asset go up, and that is to buy it. Therefore, the price of MSFT is going up because there are more people willing to cross the bid/ask spread and buy than sell. Why is demand greater than supply? Every reason under the sun...

Can you describe in general terms what methods you are using to make money utilizing HFT (ie latency arb, rebating, etc.) Also, what are some of the abusive practices (if any) that you have seen among the HFT participants, and what would you do to correct them? Thanks.

Taleb's tail strategy was to take low risk and at the same time take large risk. What Taleb has done in the past is buy T-bills, and use the interest income to purchase OTM options. I do not know if he still uses this method.

Instead of maximizing probability, look to maximize payoff, which is: probability*(reward/risk) Usually, the high probability winners have a low reward, so seek to maximize a combination of the two characteristics. This maximum typically is found with the ATM or ITM options.

Delta can give you a rough idea of probability. For a more quantitative answer, use this formula (assuming a normal return distribution with no skew or kurtosis) X = exp(sigma*t*x)*S where X = future spot sigma = percent volatility t = sqrt(days 'til expiry/365) x = standard...

Try Stockfetcher. http://www.stockfetcher.com/ui2/index.php

It makes the math simple and tractable. Also, to calculate prices below the current price, use negative standard deviations. For example, to have a 90% probability of staying above a given result, use -1.27 std dev. Warning: If you trade under the assumption of a pure Gaussian return...

Example: (Assumes Gaussian return distribution with no skew or kurtosis) Calculate the future price X that is "x" standard deviations from the current price S. X = exp(sigma*t*x)*S t = sqrt(365/365) = 1 sigma = 11.61% S = 444.27 x = 1 therefore: X = exp(0.1161*1*1)*444.27 =...

To a bank, your deposit is your asset and their liability, because they have to pay it out to you on demand. A bank loan is a liability to you and an asset to a bank, because they get interest in addition to the principal paid back to them. Therefore, to a bank, debt is money. A bank wants the...

For every Wizard who bet the farm and won, there are probably 1000 who bet the farm and blew up. It's called survivorship bias.

Socialism - Just what Keynes and the Fabians wanted all along.