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This is something I have been spending a lot of time on myself. Until recently, I have been back-testing using the R statistical package, and minute data saved as flat files. However, the data manipulation, updating, and maintenance has become a nightmare. In the last 2 months, I decided to bite...

Okay, thanks. The potential for bugs is why I am thinking I would probably continue to use the same buy and sell triggers as I have been before, based on the SPX index, rather than the ES price. This algorithm has been very well tested over the last 6 months but I have been trading the SSO. I am...

Okay, I have been studying rapidminer for a little bit, and I am now a little skeptical whether this will do what I want. It seems that this does not do a full lexical grammar analysis of the sentence structures, but does a very sophisticated word count. Without the correct grammatical...

I think all of the players were guilty, not just the rating agencies: The foolish and gullible customer who took out loans that they could not afford; The unscrupulous mortgage broker who mis-represented the loan terms and scored sales to those gullible customers knowing full well that they...

There are a few problems with this one sided view. Businesses cannot prop themselves up without consumers. Who are the biggest consumers? The middle class. Who traditionally protected the rights of the middle class? The government. The government used to be a balancing force because it could...

The question I have is why in the world are you developing strategies while live trading? Common sense says you should be trading on a simulated account, developing your strategies and checking out your trading stats on paper. Then after a minimum of 6 months, start using tiny position sizes and...

This is very impressive. I will have to study this a little to figure out if I can use this quickly in my code. It looks like there is a command line executable version which presumably you can use to run pre-designed processes. That might be the way to use this. I could perhaps train a...

But like a previous poster asked, how would you deal with national defense? I mean if only some of us fund the military, then how can we selectively NOT protect the individuals who opted out?

I think noob is illustrating the absurdity of extreme libertarianism.

Yes I agree the SMAs and EMAs contain sentiment information, and therefore market direction and momentum. However, there are certain problems with it. First the shorter time frame SMAs cannot "see" too far forward (e.g., the 1-4 hour timeframe). It is easily affected by noisy spurious spikes...

thanks this looks really good, they even have a sentiment detection module. I am debating whether to use their training scheme, or actually just code in a dictionary of specific nouns and verbs and count occurrences. When you use trained statistical models, you never know what the model is...

I think what will happen is your selected NNs will be trained to pick up on outliers, i.e., those trades that make tons of profit and happen to coincide with whatever inputs you have. So you will be fitting to those very rare, coincidental trades that made money, i.e., so rare that they will...

Anyone out there know of a free source news analytics software / library package? Or does anyone have experience with commercial packages such as this one? http://thomsonreuters.com/products_services/financial/financial_products/a-z/news_analytics/ I am investigating ways to incorporate...

Hi, I have been implementing and testing various day trading strategies on the IB TWS Java API. My recent strategies involve entry / exit signals generated from pivots and daily ranges. I have been monitoring the SPX but trading either SPX options or the SSO ETF. I am thinking about shifting to...

Yes, this fact did occur to me -- since no single strategy can last forever, in the ideal case, after successful forward tests, one would presumably go live for a year or so, make significant money, then start to see the algorithm falter, and then go back to steps 1 and 2 and either tweak the...

I am curious to know what stage of ATS development everyone is in. I am in stage 2 and still have a long road ahead. But my forward tests are starting to look very promising. 1. just started, still actively coding and debugging 2. forward-testing and refining strategies, still paper trading...

hi kidPWR I have been applying it to stocks as well and I am finding that the LSD-SLD spread is just not enough to cover the commission and slippage when I use it on daily bars. I haven't surveyed all the stocks to see if such a spread does exist consistently for some stocks. I agree that if...

I wonder about the following thought experiment: if you create a price trajectory based on a random walk with parameters of your choice, with suitable memory length (i.e., dependence of current price on N last prices + random factor) then what would happen if you tried to "predict" future prices...

Hi all, I believe the significance of Nuke's method is that it uses a Bayesian conditional probability in predicting whether a bar is going up or going down, based on the 90th percentile LSD SLD: Let's say you are betting long. If the bar has gone up beyond open+LSD90 then the probability...

hi Bill, Well, those dangers are there even if you are just using a broker's trading system or platform. At this point, I envision putting a big "use at your own risk" disclaimer. The user can test all he wants on the IB paper account for as long as he wants before going live. I would also...