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I read that definition of high frequency trading too and thought it was just odd. I would imagine they wouldn't want to keep their positions open at the end of the day, but I would imagine something that is more rapid than daytrading would be going into the range of seconds and even shorter...

I assume you mean that it's not about some wheel and deal to get the feed explicitly earlier. However, if the HFT folks generally get the data faster due to the technology, they in effect get it earlier anyways.

So the feed by itself would look like a level 2 feed perhaps shifted in time? I'll preface all this with the understand that if I was a supercomputer or whatever and I touched that data feed at a given time the outcome would wind up really different, but I was generally interested in what I...

Out of my own curiosity, I wonder what kind of data an HFT system would have to work with at all. Are we talking something at a level even more basic than level 2 data?

I think I've seen something similar to this when I was trying to find a volume/price relationship. I wasn't able to apply it across all US equities that I could touch so I have had to shelve it. For the situation you show, I can't imagine a hedge fund going through all that trouble. The...

The gap is messing it up. I think the MA with the longest period (the one with the longest tail) hasn't completely compensated for the gap by the time price begins to catch up to it again. I was developing an MACD mean reversion system that looks pretty good but some of the individual...

This could be pretty broad so for now I will focus on a problem I'm having. I have been trying to develop an MACD-based trend following system. When I run it on individual charts it looks good. It blows up when I run it across 8,000+ equities though. I look at the picks it makes and see a...

I see threads straying sometimes into discussions of Random Walk Theory. Then I saw in the linear regression maestro talking about working in a fund, trading, with that in mind. Generally I am surprised with how many people on here subscribe to it and still talking about trading. So I...

I would wonder about calculating the risk (I just asked about that in another thread). Anyways I have wondered about this too. I had thought that portfolio theory, and the newer post-modern portfolio theory would have something to say about this if you were able to at least statistically...

I would be interested in how you calculate your risk.

Jack, I'm not seeing this principle from the paper holding for the open-open system I intend to use. That's what I roughly inferred when I first played with volume, but eventually couldn't make anything out of it. Looking at some charts (daily ticks) tonight, what seems to happen is there's a...

I don't know about that scoring system, but maybe there's something to the relationship. I guess what to expect is as a trend continues, the volume will start to dwindle. Now to be so metaphorical as to be corny, that is like the ocean receding before a tsunami. Then there's a reversal. At...

I think that's the right basic formula, but the time span people use and how they immediately compound it with other stuff implies to me that there isn't really a standard. I wasn't initially successful with that indicator so I haven't reviewed what I tried for months, but I had tried ways...

okay I'm game to play with A/D and volume since I just blew a week trying to make stochastics do something for me. No go. I'd call that an example of curve fitting; I could optimize it to the point that over a year it'd trade individual stocks a handful of times and gain each time, but applied...

I don't know if I'm veering too much off topic here but neural networks geek me out and I love to retell this story. I'll probably only stop when somebody finally makes fun of me for constantly bringing it up. The neural network software was neat4j. I think that software worked fine. It was...

Yes this is what happened when I got the fools gold. I was normalizing the inputs to a span of zero to one to make it more suitable for the NN models I was using. I was doing that by creating a normal distribution of my test window, which involved getting a mean and standard deviation. The...

To be fair I do have a BS in computer engineering. I was using NEAT since it's what I could readily find without having to try to come up with a neuroevolving network from scratch. Despite this, after I ironed out all the bugs, it tended to saturate. Generally it decided each training pass...

The argument still seems to be good/bad curve fitting, and even if it's completely bad in the first place. And then you can complicate it by accounting for trading style. Maybe for one person's trading style it's a bad idea, but essential for another trader. The strategy I'm trying to...

I've seen neural networks used for classification by encoding the outputs to represent different situations. Say, detecting letters in an image would be a classification problem, and the neural network could have a different output neuron for each letter. The "regression" method as in the...

A lot of what traders seem to consider to be curve fitting would be known as selection bias to other people. So when people talk about curve fitting on here that's what I tend to think about. I wonder if a lot of arguments are stemming from that. It's similar to how algorithmic trading is...