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It would be interesting to see comparison of sell at market open vs sell at market close vs sell at +/- standard deviation (Bollinger Band) vs sell at +/- average true range. I can't find it now but I recall seeing a paper that selling at market open works better than selling at market close...

VB.NET. More modern and will be easier to maintain going forward. (Assuming you're on Windows platform.) OTOH if your programmer has tons of libraries already written in VB, it may take him less time/effort to code up something in VB.

Crystal ball :cool:

It is expected that optimal values will change over time. However. If the change is a regime change you will actually be better off only reoptimizing when a regime change is evident. By example, if two regimes are 12 months followed by 2 months, it might appear that optimizing every 1-2 months...

Automated trading is when lots of people flip burgers for you. The operation process involves burger, fries, and a drink. Sometimes this is simplified into "Combo #1". Software is frequently teenagers and college students. The software automates the trade of "fast food" for "money". Some Web...

http://lmgtfy.com/?q=pump+and+dump

Gah. Of course I meant to say the sum of the squared deviations divided by the number of items.

Dude. Stdev is just the mean divided by the number of items. Or divided by (number of items minus one) when the number is less than twenty. ... your list of numbers: 1, 3, 4, 6, 9, 19 mean: (1+3+4+6+9+19) / 6 = 42 / 6 = 7 list of deviations: -6, -4, -3, -1, 2, 12 squares of...

http://www.trade2win.com/traderpedia/Technical_Analysis#Common_technical_patterns_and_indicators You're looking for indicators that include price and volume? Also realize that there are many ways to calculate MA and MACD... SMA, EMA, TMA. Then there are many ways to use MA as an indicator...

Interesting, forex arbitrage using Haskell. Conclusion: Any possible opportunities have been arbed away instantly, so this method does not appear to work. http://www.fatvat.co.uk/2010/07/foreign-exchange-arbitrage.html

I tend to agree, however standard deviation is easy (fast) to calculate and often it's good enough. Risk/variance prediction is a very difficult problem so if you can approximate it then why bother figuring out the "real" value.

If your system does any kind of time series analysis or modeling, then ideally it should take into account random/chaotic/noise influence. If your system is not based on time series analysis but is instead based on technical analysis or other methods, then randomness won't matter. Book search...

Futures preferred. Index OK. ETF third choice. It looks like pitrading is one of the cheapest ways to go.

If it's not random walk, what are the other possibilities? For example you could model data as random walk or white noise or abcxyz. Take all of these models into account, and you should be able to somewhat tell how to classify different data.

It's really up to your personality/style. FWIW I've tried crazy weighting schemes and they performed maybe 0.05% better which is not significant. Much easier to equal weight. Also consider what kindof market your system is good in. If you get 10 buy signals a day in a bull market, and 1 buy...

That's good for EOD data. Intraday historical tick or bar data though?

I have been looking for cheap index / futures data for global / international indexes. Unfortunately it's much easier to find ETF data. For Japan, EWJ or ITF.

One config change in PostgreSQL makes the speed similar to CouchDB, Tokyo Tyrant, Redis, MongoDB, Cassandra and Project Voldemort, and PostgreSQL can be tuned to make it even faster: http://www.pgcon.org/2010/schedule/attachments/141_PostgreSQL-and-NoSQL.pdf

I don't suppose you know anything similar for intraday data? :cool:

Make sure to test any of these new NoSQL databases like Tokyo Cabinet before using them on an actual system that trades real money. For example there are reports of MongoDB dropping/deleting/corrupting data. For example if you disable any logging, consistency checks, etc from PostgreSQL it's as...