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Does walk-forward testing/optimization give better results with your models/data? (I would find that odd.) I have no strict rules for data sets and optimization methods / targets. But if I optimize I like to see my models generate hundreds of trades in my training data set. And my...

Maybe it would be easier to discuess if you took a trading model which wasn't secret and presented the full results? (Say: Buy/sell on two moving averages and short-term RSI.) Exactly what explains your results is anyones guess. What parameters are you optimizing? I like the...

It is hard for me (or any other outsider I assume) to explain what is going in your datasets and optimizations. But if you have something that trades 10 times a year then optimizing over one year is not going to do any good. And if you have something that only exposures itself very little (is...

What is wrong with in-sample / out-sample testing and the sharpe ratio? I use those. Why not "whatever works for you"? I have no quarrels with "the trend is your friend and cut your losses" - it does not work for me - my dominant strategy is mean reversal - but surely there are more than...

I would recommend this (in fact I have seen this recommended in an options trading book) if you work in an investment bank. This will give you good yearly bonuses and steady career progression ... until your firm goes under and you will have to look for another job. :-D

And then theres the 25% move on earnings reporting. Not something to trade with a thight stop/loss.

I am trading this and I have noticed some wild after hours movement. Yesterday there is a spike up at around 5 pm. (Even more noticeable on my interactive brokers datafeed.)

Why the heck does it matter that you can reduce some legacy code to 1/5 (in number of lines of code)?! If it is well encapsulated, has got a usable/sensible interface - then it is if it aint broken, dont try to fix it. Performance issues most likely lie elsewhere than in a low level...

This one pops up on Google news: http://www.nytimes.com/2009/07/19/weekinreview/19segal.html I wonder just how far away from "class resentment" America is? At what level does the social inequality becomes unbearable and your society starts falling apart? Surely it is not just the...

Look thru the older most active threads at this forum: http://www.elitetrader.com/vb/forumdisplay.php?s=&forumid=48&pagenumber=1&sortfield=replycount&sortorder=desc&daysprune=1000

I browsed to these to blogs from Max's blog: http://quantemplation.blogspot.com/ http://blog.fosstrading.com/ Looks interesting.

As we all know the entire telecommunications industry is one giant Perl-script - so why not? :-p

Equalizer - let's try google: http://www.google.com/search?client=safari&rls=en-us&q=Sergey+Aleynikov&ie=UTF-8&oe=UTF-8 Apparently we are talking about a Perl-script?

I think the biggest difference is the programming language/environment: R vs. C# or Java. C# and Java are object orientated application development languages with an edit/compile/run-cycle and big IDEs like Netbeans or MS Visual Studio. R is a mathematical/statistical scripting language...

Ok. Thanks. I am a newbie at R. I did not mean belittle it in anyway.

lolatency - thanks for a good read

bodanker - what is the trick of "blotter"? I downloaded it and tried "the turtles" example. I don't get what is special about it other than it runs amazingly slow on my mac? (Also is there any documentation of it?)

I trade three ETFs that are fully shortable via my interactive brokers account. I trade them because the alternative futures would give me too high exposure. I am currently short all three.

I read nuclearphynance and the twsapi yahoo group.

Interactive brokers - via their TWS-Excel integration.