Search results

Hi, I'm always using IB's TWS market scanner to list stocks based on Highest Option Implied Volatility. Today however, I get an error message 'no items retrieved' . Is anyone experiencing the same problem? (The rest of TWS works fine, including market scanner for other parameters than option...

These (and many other) algorithms are readily available (for free) within the R language (www.r-project.org). Since it's open source, you can also take the C source code directly and use it in your own projects.

Just to clarify, I am the developer of the 'Kauai' system on Collective2, and use the alias 'Science Trader' on that website. I am not related to the person posting under the science_trader alias here. I do not manage millions of dollars, but in 2008 I did outperform the Dow, S&P500 and...

Some of the approaches in the area of statistics and machine learning might be useful to look into. For example, cross-validation is a common method to mitigate the problems of curve-fitting to some extend. Walk-forward testing can be considered a particular implementation of...

Click on "The Grid" under "Find a System" in the menu on the left. Then under "what it trades", make sure only "options" is selected, and you'll notice there are currently 32 options systems offered through C2.

I know it works in real-time, but why would that prevent it from working after hours? In fact I've used it after-hours many times: sometimes it works, sometimes it doesn't. I contacted IB a week ago about this problem through chat. They weren't able to solve it or explain what the problem...

I created a "Market scanner" page in IB's TWS. It works fine during market hours, but after hours (like now) I often get a yellow line saying "no items retrieved" instead of the scan results, regardless which parameters I choose. Is that normal?

Most likely the differences are due to: - sample size (e.g. 3 years, 5 years, 10 years etc.) - unit of analysis (e.g. daily or monthly returns) - frequency of updating (calculated yesterday or a week ago) - and perhaps the benchmark used (e.g. S&P500, Russell 2000 etc.)

To directly answer your question: Yes, I follow the signals of this system (note: I am not the developer). It trades NYSE-listed stocks Monday at the open with no leverage. Over the past 2 years it averaged 50% per year. I also keep a blog, where I show some analysis of this and other...

The out-of-sample testing (and cross-validation in general) is only a partial solution. It works nice if your out-of-sample results are similar to your in-sample results every time. More likely they are not. If it looks bad, you reject your hypothesis (=trading idea) and start over again...

I bought a Dell Dimension PC at Dell Outlet, used it for about a year without any problems and then sold it on Craigslist for a profit.

Newey and West discuss some alternatives in: Newey & West (1994). Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, v61, n4 (October 1994): 631-53. see also: http://cran.r-project.org/doc/vignettes/sandwich/sandwich.pdf

Using R, this would collapse to a single line: > a <- "00012301200123456780000001230100001234500" > > paste(lapply(lapply(strsplit(strsplit(paste(a,"0",sep=""),"0")[[1]],""),rev), paste, collapse=""), collapse="0") [1] "00032102100876543210000003210100005432100" >

Walk-forward testing is a specific application of a technique known as cross-validation. It means you take part of your data to optimize a system, and part of the data to validate. So, suppose you consider a strategy around a moving average. You take the first 3 months of data, and find that...

R (...my shortest response ever)

Yes, I use standard Markowitz (quadratic programming) and reoptimize monthly. This is quite arbitrary and I wouldn't really know how to estimate the "optimal reoptimization interval", as it will obviously suffer from overoptimization if I would base it on a historical simulation. Because the...

But then the question becomes: what to do when the out-of-sample results look bad? Many people will feel tempted to redesign the trading system, and repeat the procedure, until they discover a system that worked well in both the in-sample and out-of-sample period. Needless to say, such a...

I use mean-variance optimization to determine the weights of the systems in my portfolio. Because I reoptimize regularly, systems whose performance starts to deteriorate are "gradually" stopped out, i.e. their weight will diminish over time, and may reach zero eventually in case they haven't...

I would suggest to first start trading manually on a demo account. Once you have a profitable strategy that works manually, you can start thinking about automating it. From your posts it seems you want to start at step 5, instead of step 1. Without any experience, moving from step 1 to 5 will...

Yes, TradeStation (www.tradestation.com) has all that.