Search results

Trading at Settlement? https://www.cmegroup.com/trading/trading-at-settlement.html

Even though the training data spanned more than 55 years, I'm not too surprised a genetic program strategy with so many inputs could show good results after training. So with six independent models trained on the same data, I ran a test on an out-of-sample period of 1238 input instances for...

https://etfdb.com/etf/QQQ/

SA Market Forecaster has already won the gold reversal medal of fast starting of new threads.:D

Thanks. I'd name the hedge fund something like Fractal Recurrent Assets Underlying Dynamic Systems:) What you have done with your FasterQuant software is most impressive, and I think its only a matter of time before some institutional investors use it.

I looked at Genetic System Builder a little mostly because I wanted to see what the nature of its generated code looks like. Here are some notes I took: https://trademaid.info/sysbuilder.htm There are 38 built in indicators, with support for unlimited custom indicators. Even TS/MC locked code...

Inspired by https://www.elitetrader.com/et/threads/200-points-fall-is-coming-up-in-gold.334310/ and related threads, I decided to try using my genetic programming rule generator with astronomical data as inputs to predict future changes in the S&P 500. The inputs are for readings taken from a...

I tried a variation of buying at the next close and selling at the following open with a genetic programming rule generator that I wrote. An example of a rule is: where the inputs are the last five days of SPY close prices (adjusted for dividends and splits), VIX close values, and 13-week...

If the price pairs (prev_close_price, today_open_price) were (100, 50) (50, 60) (60, 75) and you started with $100, the result would be -$50 + $10 + $15 == -$25 for an average of -$8.33 If the test used (today_open_price / prev_close_price - 1) * 100 the daily results would be -50, 20...

For the list of 51 ETFs in the attached lower_corr_liquid_etfs.xls and for the period from October 5, 2006 through July 15, 2019, I ran a simple test using dividend- and split-adjusted open and close prices from yahoo finance. The test simulated buying at the adjusted close price and selling at...

:D

https://www.elitetrader.com/et/threads/the-stock-market-works-by-day-but-it-loves-the-night.329764/

Issues like what you are having are why I mark my connection as metered to keep Windows from automatically updating (see https://www.forbes.com/sites/gordonkelly/2015/08/26/windows-10-how-to-stop-forced-updates) and why I use Macrium Reflect Free (https://www.macrium.com/reflectfree) to backup...

Your backtesting seems to show the exact opposite results of what the article claims. Using yahoo data adjusted for dividends and splits but ignoring transaction costs, buying one share of SPY at the open (regular trading hours) and selling at the close (regular trading hours) from January 29...

http://www.tangotools.com/ui/ui.htm has a comparison of the Sharpe Ratio and the Ulcer Performance Index.

Using yahoo finance SPY prices adjusted for splits and dividends buying a single share at the close (starting Jan 29, 1993), selling at the next day's open (last sell July 11, 2019) without accounting for slippage or commissions, some statistics were: numValues 6659 sum 273.537898999999 min...

If you run google chrome with extension Adblock Plus and remove cookies from nytimes.com, you should be able to read the article.

To get the above image, I composited the results of outputting some others.:D

That's true if the software is coded to take advantage of one or more GPUs. TWS itself probably doesn't support GPUs. But it's likely possible to use TWS and write software that does use GPUs for some calculations.

Yes, you can buy the next day. You can also switch from one fund to another the same day. Your fund, fund family, or broker might add penalties or other restrictions for frequent transactions.