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1) Purchase Matlab and devote a solid 3 months to learning to program in it. Why Matlab? Matlab is designed for scientists, engineers, data exploration, rapid model/algorithm development. It has the best and most complete math and visualization capabilities out-of-the-box. That's why it costs...

That's very bad advice. I specialize in highly parameterized strategies and optimization frameworks that are pretty good at rapidly solving 100+ dimension parameter spaces. Of course I also rely on intuition and experience. Its not that difficult actually. The thought of deliberately over...

I recommend you look for a quantitative hedge fund to license, trade or finance your systems, or maybe even hire you. Prop shops are possible too. Do be prepared to share performance statistics and address questions about scalability and execution simulation methodology. Some of these...

Count me in too. Anyone else?

My partner and I are seeking an aggressive software engineer with experience in C and C#, quantitative trading systems, algorithms, databases, and efficient code. We believe this is a rare opportunity for anyone passionate about efficient testing and deployment of quantitative trading systems...

After a long hiatus from trading system work, I am getting back into the game. PM me if you are willing to purchase or trade other data for this NYSE TAQ set.

Yes it is possible. There are quantitative traders that can look at the system trades and statistics and have a good idea of the basic setup or opportunities the system trades, then hone-in on a match using optimization or search methods. However, I wouldn’t fear this too much because such...

I once partnered with a company that offered to trade my systems for me. I broke off that relationship because they could not and would not guarantee the privacy for my system code, or pay me as promised. I have a friend who took his systems to a different company to trade for him. He...

Yes it is a crime. But don't think that will stop an individual trader or programmer from reverse engineering your EXE to get a peek at your formulas. There will be no evidence to prove the crime took place. Even if you have evidence the institution happens to start using similar methods, you...

That's not secure. Machine code can be trapped, debugged, disassembled and converted back to the original formulas. Regardless of whatever roadblocks or encryption you put in, the code must eventually execute on the CPU. There are of course very sophisticated methods to block debug trapping, but...

However, it is questionable whether any survey of systems or patterns can be made random, in a practical sense. The systems/patterns will always be formed based on specific choices of input data, input normalization, choice of market, basic trade rules, and the time frame. It is unreasonable to...

It's definitely not useless. This test is highly related to testing for autocorrelation of returns, and more distantly the Sharpe ratio, win% or profit factor stats. All of these calculations are related mathematically and are very useful for quantitating risk and system character. A robust...

Excellent post For convenience.... http://www.elitetrader.com/vb/showthread.php?s=&postid=734309#post734309

I see the connection you are making between randomness and whether price is stationary or not. Here is a clarification for some of us. As you know a non-stationary price series can be forced into being stationary by subtracting out a moving average. That won't make price easier to trade because...

No, the paper talks about very long term, low frequency systems, which can not and does not generalize to high frequency systems. Patterns that "fit the tested data better" (or overfit) typically have many degrees of freedom and/or less testing data. Patterns that are obvious to find have...

Take the paper with a grain of salt. They used monthly data, 30+ year testing periods and public domain automated trading methods.... i.e. trend following. Anyone who's spent a few years testing systems will know you might as well beat your head against a wall instead try to find statistically...

You didn't find a statistical edge in terms of papertrading results? What about statistical edges measured in terms of forecast correlation?, What about edges that papertrade with zero spread costs? I have found such edges are quite easy to find. The challenge is getting them to trade with...

That's a bit of a contradiction. The whole point of doing the statistical tests, and more importantly using a statistically significant data set (and/or a significant number of trades) is to figure out probabilities the 100 strategies will work, walking forward. Better yet, if you can automate...

So? Every indicator lags more or less. Reduce the lag and you increase noise and only see a narrow, short term perspective. Lag is actually essential for many indicators to have predictive ability.

You mean depth of market? Yes historical DOM is available. I have several indicators that make use of DOM structure and dynamics. Some need to go deep (>=10 levels), some that only need inside depth. One can also build indicators on order transaction data (adds, changes, deletes, executions...