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I said ASFASIK - As far as I know. I have used it and only noticed prices as of financial reporting period end dates. I haven't looked too hard for other market data, but have been told common practice is to merge compustat financial statement data with market data from another source. Which...

crsp is also survivor-bias free. crsp has prices, returns, volumes for all NYSE, AMEX and NASDAQ stocks, monthly back to 1926 and daily pretty far back. ASFASIK, compustat PIT is only financial statement data.

I would think about testing it as a portfolio. You would like to know if your signals are clustered in time or evenly distributed, and also how the signal performance varies over time. Also if you want to be statistically anal, your tests are not independent when treat all the individual...

It is real, it is the roll yield being earned/paid as the futures-spot basis goes towards 0 when you move closer the next day you splice the contracts. But it can be confusing in a continuous contract series.

try this: http://www.nasdaqtrader.com/trader.aspx?ID=marketsharedaily

I think he is talking about a 3rd use of mc - a test for signficance using reshuffled data instead of a theoretical distribution. There is also a 4th use I am aware of, to value path dependent derivatives like mortgage backed securities.

Nevermind, I thought you meant G(t) was price but I guess you mean it is a predictor variable. Maybe regress ATR on realized G's?

Solving this analytically using the normal distribution sounds hard and maybe impossible. I think your best bet is to divide t into multiple steps and run a Monte-Carlo simulation. Another idea is to build a binomial tree for the price like those used in option pricing. For each path...

There is a problem with this line of thinking. Valuation depends on the market's expected future value based on what you know without foresight which is unobservable. Today's actual value includes lots of surprises, and is not really a good approximation for the expected future values at all...

These guys already did it: http://www.cxoadvisory.com/calendar-effects/buy-at-the-close-and-sell-at-the-open/

Right on, this is the key issue here, the order book was in a very illiquid and unstable state when the 75k order hit. People are paying to much attention to the order and not the market it was sent into.

Definitely not, look at the volumes. ES volume >>> 5 x SP volume. http://www.cmegroup.com/trading/equity-index/index.html On your other question, position limits apply to how much can be held at one time, but don't restrict volume. You can turn over your position as fast as you want, so...

occasionally but not very well.

Murray is right. Adjacent contracts are two different instruments and the sometimes the front-second spread can be volatile around the roll date. Probably a minor issue with something like ES but not with all futures. Plus you are not allowing for the fact some systems use signals from within...

You can get some rough info on this from the CFTC's Commitment of Traders (COT) report. Their classifications are pretty broad though.

Thanks for the explanation. That makes more sense when you put the shorts into the picture.

Can you describe how you think the afterhrs manipulation works? I am half skeptical and half want to be enlightened. If "they" push the price up, can they really unload all the shares it took to move the price up on gullible traders without pushing the price back down as much? It has to...

There is a correlation expectation priced in the options market. You could trade it by buying options on index components and selling options on the index or vice versa, depending on your forecast for actual correlation vs. implied. I thought about doing this about 5 yrs ago and ruled it out...

I don't have time to catch up on the details in this thread now, but I think I have been down this road before. If this is what I think it is, the trick is that this type of algo works on a stationary price series. At best stocks will have an approximately stationary return series, but not a...

No - but the commssions are not affected by your rebalancing. I don't see why this is not clear. The point of the previous post was to make a simple example where transaction costs don't complicate the issue. I'll make it even more simple. At the beginning of the day you have 50% of your...