Search results

How about buying OTM puts when the market is extended and then converting them synthetically to calls if the market does correct? Then you can participate with >100% exposure at times and still control your risk. I don't know how well this works in practice, but it's something I've been...

After the action this week, I think there's a lot of people wishing they had sold over 1.39. Do you have your bets in?

It's more an issue of magnitude rather than sign. It currently costs ~$400/oz to "print" an oz of gold and essentially nothing to print $100 bills. Which one lends itself better to the possibility of a measurable change in money supply?

I'm surprised that Timber Hill would publicly admit that their market making agent was fooled by this. A team won the 2004 Penn-Lehman Automated Trading Project doing very close to the same thing: http://www.cis.upenn.edu/~mkearns/projects/newsandnotes04.html

It depends entirely on what you are expecting. I wouldn't exect commercial apps to support it, although a few might. I also wouldn't expect huge speedups. I took an algorithm that I had proved out in C# and implemented it in CUDA. Naturally the speedup was enormous. Then I took the same...

I've approached trading from a few different angles. The first was to sit down in front of a screen full of charts and try to make money. I'm about as far from a natural born trader as you can find and I have learned more about myself doing this than I wanted to know. One thing that I...

I didn't use a normal distribution for the trade draws. I used binary outcomes (if you win, you win this much, if you lose, you lose that much). I took his average profit, average loss, and win percentage only as a description of the profit factor. I'll post some pseudo code describing what I...

I was curious about that too so I tried to duplicate acrary's results. I got close but am not 100% sure it's right (and it's late). Maybe acrary will stop back in tomorrow and let us know. What I think causes the difference is the drag effect caused by fixed fractional betting (that acrary...

With IQ Feed you can access 30 days of historical tick data (including US index and equity options). I use QCollector to collect the data and a custom app to generate the QCollector portfolios for each expiration month. Like other posters said, though, it will take you 5 years until you have 5...

My vote is C# hands down. I used to prototype in Python but switched to C# a while ago because I can develop in it way faster. I can hack C and C++ with the best of them, but I wouldn't use either for any of my trading work unless I had a really good reason. Fuck VB. My 44 makes sure...

By any chance, does anyone have a spreadsheet showing daily long/short results for ~1 year that they would be willing to share with me? I have an edge in the ES around the open and I want to see if it could be better applied to opening orders than to trading the ES outright. Thanks.

I'm glad to see this thread is still going... The timestamp issue is a problem, but it happens to not be much of a problem for me. A lot of the data I'm working with is from iqfeed which only has second resolution. The data does have implied order within a second but I threw that out. I...

Infobright is still going strong. The db is over 400 million rows now which is over 80% of my recent data. I had to redesign the layout a few times, but I think it's solid now. At first I didn't realize there was a fake enum type specified by a comment of "lookup" for VARCHARs, so queries are...

nitro, I don't know if you're still looking at this, but over the weekend I setup Infobright (3.2 RC1) and have started some testing. Currently I have to say it is awesome. As a first test, I have loaded ~250 million rows of tick data. I tried the same in SQL Server and it totally choked...

The surprise fed actions on 10/15/98 and 1/3/01 were both good for pretty nice spikes up that could hurt if you were holding leveraged shorts.

Someone else might be able to give more insight, but I think you're right that the settlement price isn't just the price of the last tick because that is too easy to influence. If I remember correctly, for the NYMEX energy contracts, the closing period is the last 2 minutes of pit RTH, and the...

I think it was Andrew Lo that published a strategy that bought stocks that were down on the day and sold stocks that were up. You might be able to find something in his research to help guide you.

By any chance does anyone have a source for the historical makeup of the S&P? Specifically I would like to find the top weighted components on a monthly basis going back 10 or 20 years, but I haven't turned up anything in a quick search. Alternatively, does anyone know of somewhere to find a...

Here's a 1 lot ES bought at cash close and sold the next day at the open. I skipped Friday entries and also excluded commissions.

One exercise I went through that might help someone else was to create a file that had random binary inputs and an output that was some logical combination of the inputs. I ran that file through an NN program and some other statistical analysis programs to see that they could predict the...