Search results

You seem to be assuming that the banks are not using these strategies when, in fact, they are. As are many hedge funds. Certainly they will not be in a rush to let you know the details. But automated, quant driven models are being traded on every timeframe from seconds to days. They are...

I agree also I guess you know this Berny, but I would argue that just seperating stocks into 2 groups isn't enough. Also need to split by time - eg in-sample could be 2000-2004. Out-of-sample 2005-2007...

Looking up the posts of acrary is good advice. Sounds like you have already complemented one of your system's biggest potential weaknesses - single stock disasters. Your system looks like a dip-buying method to me. I could be wrong but it doesn't really matter. If you expose 20% of your...

Hey Jonny - why make the post so cryptic? Would be good to know who this "guru" poster is. Or even what you are refering to in NMW. If these are trade secrets, fair enough but then why bother posting at all?

Quite surprised at the cost of Factset. I had it for a while when I was working at an IB here in London but didn't think it was that costly. I assume you've checked out Bloomberg. Cost is certainly less that you have been quoted for Factset but not certain how far back their fundamental...

Interesting post Mark. This raises the interesting question of whether switches can be effective - obviously your view is that they can. How did you get comfortable that your switches are robust? My problem with this topic has been that (a) the market does not switch from bull to bear so...

1) The flat period would concern me unless I knew what was causing it. If you do not know, then some mechanism to switch off the system or otherwise trade the equity curve would be comforting. 2) I'm not sure the system is picking up steam as such. It is just that volatility has increased...

Monitors are Viewsonic VX2025wm LCD widescreens. Decent kit. Laptop is a dual core Asus - won't bore you with the spec but it's not bad. I was really concerned and very confused - I am no comp novice but I have never seen anything like this before either and to have two monitors blank out...

gnome - thanks very much for your help. i have finally solved the mystery - here's what was going on in case anyone experiences something similar.... whilst my desktop was out of action (virus) i had borrowed one of the monitors to use with another machine (laptop). it was this monitor...

thanks gnome yes - i had indeed tried the "extend windows over 2nd monitor" - or at least I would have except for the fact that it does not present me with the option. I may try uninstalling the NVidia driver, altho I couldn't use the 2nd monitor before installing it in the first place...

Hi guys - I know there are one or two computer experts out there so... I have just had to do a complete re-install of windows XP pro on one of my home machines after a virus took down my system beyond repair. I had not got a full image backup so I have been through the process of downloading...

Yup - TickData.com

i trade CL and have done for 6 months or so. volatility has gone insane recently - i've had to cut my trading size by approx 1/3 to adjust to my risk parameters. i trade a mechanical breakout strategy which has been doing great but we'll see what happens next - the market is changing and with...

This book is well worth a read - not so much for the specific trading rules that LBR and LC suggest (most of these back-test pretty poorly these days without modification) but for the way they set about analysing patterns (agree with Gaj here). As others say, you may be able to find the...

Downloaded a whole load of stuff from OpenTick. It's a great resource, but also fantastically frustrating due to the random holes in the historical data. I would still like a clean ADV data history if anyone has interest in making a trade. Cheers

Cheers - i'm looking into OpenTick - not sure how far back I can pull up data for. In the mean-time, I'm still open to offers!

Hi folks Here's the deal - I am looking for intraday historical data for NYSE Advancing Issues (ADV) on a 1 min resolution. I am also interested in VIX & Decliners on the same basis, but ADV is my priority right now. I'd like data going back as far as 2001. In exchange I can offer 1m...

Thanks for the thoughts. Ride winners, cut losers can be good advice but it is not all that is needed in this case. Also, on posiiton sizing, if I am reading you correctly (increase positions after a loser? or after a trade is on-side?) - position sizing is clearly important but first I want...

**sigh** it really can be hard work on here sometimes. no - that is not my point at all. i have done a significant amount of work on this topic already. sometimes it helps to find other traders to collaborate on projects and bounce new ideas off each other. if someone else has a working...