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mbc@fastmail.com

That's useful to know, thanks. CUDA is actually my bottleneck right now. I upgraded my power supply and bought a nice GPU. I wanted a setup I could use for a while, so I installed Ubuntu 16.04 LTS on the very first day it came out. Turns out CUDA 7.5 doesn't work with the GCC compiler that...

Rohan2008, thank you for your link. I'm currently collecting everything I can find about deep learning in finance. I think the most interesting thing I've found so far is stacked auto-encoding. It appears to be effective for dimensionality reduction, and the studies that use it do not need a...

In case anyone else is interested in seeing what funds are nearby where they live. Actually, it's not just hedge funds, but any investment firm that files with the SEC. And, unfortunately, it doesn't include many interesting smaller firms. Still, it's a start...

Thanks, spacewiz. I think the Calmar ratio is very nearly covered by the measures I have included. Slight differences - I use 5 years instead of 3, and I use cumulative returns instead of compounded. If you're ok with those differences, then the measure called "Max Drawdown" will provide the...

Thank you for letting me know. It looks like a csv file was corrupted and the contents turned to mush. I've replaced it, and now everything is working again. No data was lost. Your report should work fine now. Just view it from the same IP address you used for ranking.

GAT, Arctic does look very cool. It's column-oriented and compressed. I wonder at what granularity they store the data. I also wonder if they support queries with arbitrary start/end times, and if so, how they do it. If I can figure out how to access the data with Matlab, then I'll install it...

I'm curious to hear how you are storing and retrieving your tick data. I recently did a write-up on the method I settled on: Managing massive amounts of tick data with Python, simply and efficiently Do you do something similar, or just use flat files or a relational database?

Just closing the loop on this. I said I'd post all the data I collected, so here it is: rank.zip Here is my short writeup about the experiment: performance-measure.pdf. To the extent that people can look at two charts and prefer one over the other, I showed that it is possible to learn their...

David Bailey has a related paper out, but with a more provocative title: Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2308659

Thanks, I just added a link to it. The topic of multiple testing is important to me. Two days ago, I had my qualifying exam, and part of my proposal included some ideas I have about incorporating randomization/permutation testing into data mining.

Hey everyone, I've been working on a news feed lately, and I think this is an appropriate place to tell about it. I collect the latest news, whitepapers, and blog posts that would be of interest to systematic traders. It's a curated list, so you won't waste your time wading through dozens of...

Everyone, thanks for your help. I feel like the research went well. I'm trying to get the results published in a CS conference, so forgive me for not making the data public quite yet. I want to mention one thing that came out of the research - people have differing preferences. Some...

MoreLeverage, thank you for your help ranking. I'll be wrapping up the data collection soon. I've been ranking a ton of charts myself to see how well an algorithm can learn my preferences. My next step is to re-rank all the same charts I'm doing now. Then I can see an upper bound on the...

I suppose I've seen a few strategies that were somewhat less interesting to me because the return was only a little above the risk-free rate. But generally, I don't put much weight on the intrinsic leverage of a strategy. I've never used up what leverage I've had access to. If that's the core...

minmike, thank you for doing 50. That puts you in the top 4 contributors. As to your other point, it comes down to a question of the easiest way to extract knowledge from traders. Pairwise ranking can sometimes be tough, if the two charts look equivalent. The alternative, though, is to have...

Thanks, Deep. It looks like Schwager talks about RRR in his book, "Technical Analysis." I'll read it more closely and definitely include RRR in my testing. kut2k2, thanks for calling my attention to SAS. I wasn't aware of the performance measure discussion in that thread. I'll code it up...

I'm getting more excited about this project. I've ranked around 350 charts, and I think I'm gaining more insight into myself and what kind of backtests I find more attractive. Take a look at the pair of charts below. I think I actually like the second one better, even though it has a...

Thank you very much to the first chart ranker. I ran some numbers, and it seems that you chose the chart with the higher Sharpe Ratio 81% of the time. I wasn't sure what to expect in that regard, and it will be interesting to see if that holds for others as well.

Hi everyone, I'm setting out to create a better single metric to use when backtesting strategies. I've always used the Sharpe Ratio, but it isn't perfect. It fails to consider the max drawdown, number of losing months, etc. Also, I'm less interested in strategies that haven't worked for...