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You're hating makes me stronger :D

Thanks for the kind words Equalizer :) ET is definately comical most of the time.. maybe the geeky words in the thread title scared off the trolls. I must admit that Olsen's concept of intrinsic time is a little odd.. especially that there isn't a straightforward way to extend it to multiple...

Stats are definately used after the fact and I believe most of the time stock prices are indeed random walks, meaning they have no known mean and infinite variance as the forecast horizon goes to infinity. However, I don't even look at single prices of stocks.. there are combinations of...

Renaissance Technologies, Citadel, tradebot... a few more small operations. Why does everyone get so offended when it becomes known that someone is making money?

I don't mean common as in a significant percantage of traders are doing it, and I didn't say I'm doing it now but I've been told by several people who are doing this kind of trading professionaly and not by random ET posters. Now, maybe it is some conspiracy that all sorts of unrelated people...

Who cares? Geroge Soros is not operating at high frequencies and he has a lot of money to move around. It is relatively common to make above 100% a year if you are only trading a few million and have a really tight operation. Ultra high frequencies trading is much less risky than long term. For...

lol. Anyway.. back to the point. I don't care about returns from discretionary traders whether full of shit or not.. auto trading only here. Of course discretionary traders can probably make higher returns sometimes but then comes a killer day... the human element plays big there and it's hard...

There is also another measure which can be used, fit an ARMA(1,1) model to the data and then check the coeffcient of the parameter. if it is mean reverting the impulse response will slope down, if is trending it will slope upwards. If it is mean reverting the half-life of deviations from...

Well, I completely concur.. this is why I hedge like crazy and have spent massive amounts of time controlling risks, drawdown, building failsafes, etc. In fact, it is very difficult in my system to even place trades manually.. I'd just have to kill it and log in with a GUI to close out positions...

None of the above.. I don't even look at single assets. I construct 'synthetic' assets and trade those that have the desireable properties im looking for.

This is actually a common idea, get the book "Introduction to High-Frequency Finance" from Olsen. http://www.olsen.ch/research/approach.html The Business Time Scale To allow for this seasonality when analyzing intra-day data, Olsen has developed a model of time in which data from...

My drawdown has been practically 0 (less than 0.5%) in testing, even in out-of-sample data. I can't stand drawndown.. every trade I make is 'optimally' hedged and has very strict stop losses. My stop loss has never been hit at testing and its only set at 1% drawdown from entry. If it is hit then...

Oh shit, I must have been retarded from sleep deprivation. The bias is still there, but it is not only 10 samples because it uses overlapping returns, but the same principle applies. 100:1 means the ratio of 100-period changes to 1-period changes. To calculate the 100 period changes you...

There are formulas that will tell you exactly how much you need for it to be significant but I don't have them for the modified version. A good rule of thumb would be the max length of the VR you should calculate is 3.3% of the sample length. Here is a demonstration, i generated 10 random...

I don't know if *anything* is possible.. but, my main question was the fact that it seems from my results that I am doing it, and surely im not the first in the world to do it. So, it is somewhat of a sanity check... I plan to trade it live next week and see what happens. And, why does that...

Right, the VR is also the F-test. The code I posted is for the modified VR, which can detect trends where the standard VR would only detect randomness. Just checkout QQQQ or some indices.. I only do stuff at very high frequencies and dont look at anything beyond a day so our results would...

Multivariate cointegration is too tough for excel to handle.. you'll need some more specialzed software, or get matlab and checkout the library at http://www.spatial-econometrics.com

No problem. I'm not 100% sure the calculations are correct but they are at least pretty close cause my stuff generates close to the same results in the paper.. I don't trade from matlab but I use it for modelling and playing around with stuff. ANything that I find useful in matlab and I need...

I have been growing this software for several years now so it does have quite a bit of capabiltiies.. I don't trade several times a minute.. I can, but I've found it more optimal for my trades to last 10 to 20 minutes. I built my system to operate at any intraday frequency, I like to have the...

Im trading liquid stocks/etfs.. all have at least 2-3 mil shares a day traded. I realize most academics never look beyond 5 or at most 1 minutes because they make absurd assumptions. I don't use trade ticks at all, they are pretty uninformative I've found. I use full order book depth...