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You could try it with other programs that use the Yahoo history db. E.g. there are R and Pandas package that do that. If you're suspicious that they block non-browser access, try changing the user agent. You seem to use Java, so e.g.: connection.setRequestProperty("User-Agent", "Mozilla/5.0...

You may get this data at Nasdaq: e.g. http://www.nasdaq.com/earnings/earnings-calendar.aspx?date=2016-Mar-14. Yahoo has it also: http://finance.yahoo.com/calendar/earnings?from=2017-04-09&to=2017-04-15&day=2017-04-10. Both sites use Zacks data, I think. I one wrote a python script to scrape the...

They use the performance data in the published papers. Just look at http://quantpedia.com/Home/How. Of course this is sub-optimal, but backtesting all those strategies would be nearly impossible. Some of them use data that is hard to obtain, like options bid/ask or fundamental data. The site is...

No. For what language/platform should they provide it? There are so many... But they distill the rules in one or few paragraphs of text and refer to the source academic papers for all the details. Still useful, I think. But I only looked at some of the free strategies.

There is Quantpedia: http://quantpedia.com/Screener Some of the free strategies are quite interesting, but you got to pay some $$ to see all of them.

@JackRab: That's what I read elsewhere: If you use trading days your IV will be annualized by 252 and if using calendar days IV will be annualized by 365. About the spline interpolation: Wouldn't that introduce an extra bias if on of the options you use for fitting the spline is mispriced? That...

thank you for your input. what do you use regarding the time to expiration? calendar days or trading days?

I am trying to figure out how Greeks and implied volatility are calculated in Interactive Brokers TWS software. I am trying to match it with my own calculations using the Black Scholes formulas. Maybe somebody already figured that out and can help me here. What interest rate is used for the...

No, but obviously they do their maintenance when the markets are closed, so scheduled maintenance will be on the weekend, I think.

Google for interactive broker system status: https://www.interactivebrokers.com/de/index.php?f=2225&ns=T Due to scheduled system maintenance, clients will be unable to connect through our web, mobile, and TWS platforms [Mesg Id: 394584] 2016/03/12 06:29 It's Saturday, dude..

Easiest solution is probably to convert the excel file to csv (comma separeted text file) and then use R or Python pandas to do evaluation. If the excel file changes often, there are also libraries for both R and Python to read directly from the xls file. Pandas includes it, afaik. I would not...

Congrats to those results. Question about "risk": I can estimate individual position risk using the instruments volatility as a proxy: risk = position_value * stddev(percent_instrument_return) But how do you estimate the total account risk? Just adding up all individual position risk values...

DAX, EUROSTOXX50 and mini-DAX all trade on EUREX, which IB still shows as DTB (Deutsche Terminbörse). Market data is 8€/month for level 1. In the account management under Trade Setup/Market Data Subscriptions, there is a Market Data Assistant, where you can look up instruments and it will show...

About forecast scalars: I am using artificial random data to estimate the scalars and correlations between rules. For example, I created 1000 different random walks, each 100000 bars('days') long and applied trading rules to them: count mean std min 25%...

Thank you! Do you have some more information why ESTX50 is so strongly affected by this? The DAX is a performance index (includes dividends), is this why it doesn't show that pattern? There is probably no easy way to use this for trading? Another thing: Your code for the breakout rule above...

Hi, you write on your blog about scalar estimation 'The odd one's out are V2X (with a very low scalar) and Eurostoxx (very high) - both have only a year and a half of data - not really enough to be sure of the scalar value.' I downloaded data for the Eurex Eurostoxx 50 from Quandl...

Interesting, I think in Technical Analysis your approach is called stochastic (http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:stochastic_oscillator_fast_slow_and_full), minus the smoothening. I will try that, too. After some experiments with the AROON, I found that...

You mention on your blog (http://qoppac.blogspot.co.uk/2015/04/futures-trading-performance-year-one.html) that you are using breakout style rules for your trading. How do you get from breakout signals/events that occur when the instrument makes a new high/low to the continuous forecast needed...

Yes, I thought of calculating the IDM on a expanding/rolling window base and have it time-varying. When new instruments are added to the system because data for them becomes available, you would have to wait for a certain time until you have enough data to calculate the IDM. But as you say...

In your book, you propose to calculate the Instrument Diversification Multiplier (let's call it IDM to prevent RSI (https://en.wikipedia.org/wiki/Repetitive_strain_injury) by measuring or estimating the correlations and calculating 1 / sqrt(W x H x W_t) where W are the weights and H is the...