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I am not from the US, but went to a "top-tier" university where I am from, top 5 to be exact. The why is that I always loved statistics, machine learning, finance and trading. I want to do what I love. At least, I want to try to get into a job I love.

Hi elitetrader, I have coded a reliable and sufficiently realistic vectorized backtesting script. It is mostly based on quantstrat and related packages in R. I have tried to implement methods to avoid overfitting based on techniques written in papers that most of you might know. I am testing...

Thanks for the link, seems Finam is a good source with volume data. I will have to crosscheck the volume with another source though.

The thing is Dukascopy is free and I don't have the resources to buy data from another source. However, volume charts from Oanda doesn't seem to be similar to the Dukascopy one and I can't seem to download Oanda's daily data.

Hi everyone, Just downloaded historical data from dukascopy, but when I plotted Volume against time, I think there are a few irregularities and problems in the data. I donwloaded 5 minute bar data of BID prices from 01.01.2013 to 31.03.2017 for EURUSD pair. I have attached the plot of Volume...

Thanks for the answer. I am not sure I am able to understand your reply clearly but maybe you can tell whether the following strategy can be made a parameterless one: There are 3 signals: 1 - MACD cross, 2 - SMA cross and 3 - EMA cross. How do I use weightings to minimise correlation between...

Recently I have come across something that I couldn't grasp. In this chat (https://chatwithtraders.com/ep-103-dave-bergstrom/) the speaker talks about parameterless signals to avoid data mining bias and overfitting. However, I am having trouble grasping the concept of parameterless rules... Even...

As a side note: I emailed Mr. Thomas Wiecki about the blog post on Quantopian (http://blog.quantopian.com/parameter-optimization/), and I am waiting for an answer. The blog post was closed for comments.

My most basic trade is as follows: I use MACD crossover as an entry to short/long position with a %2 risk calculated by the distance of the stop loss and the position size. The exit is just closing the position either by a trailing stop or a reverse signal from MACD. I don't reverse my position...

Thank you for your answer. Seems that retail platforms are inferior to what is capable with one programming his own platform. I just could not grasp what you were asking in the first paragraph? I define a trade as entering and exiting a position (round-trip). I define transactions as entering or...

You were right that it is capable of Walk-Forward analysis however, the blog post doesn't mention any capabilities towards generating 2D/3D graphs to see whether the optimized value has persistence in nearby values (whether the optimization returned a "peak" or "plateau" value). I am going to...

I don't think Quantopian can do Walk-Forward Analysis or generate 2D/3D graphs to see whether the optimized value has persistence in nearby values (whether the optimization returned a "peak" or "plateau" value) or do Monte Carlo Simulation.

Hi everyone, I aim to be a systematic trader, however I cannot decide which software/programming language to choose to dive into for my purpose. I am looking forward to your advice. Let's say I have a MACD Crossover system in hourly graphs with a higher Time Frame filter. I also do risk...

You are clearly one of the most knowledgeable people in this forum, and I thank you for your answer every time you provide one with explanation and understanding that my capabilities are much less than yours. This answer is an example of that and I thank you for your informative answer. I did...

Thank you for your answer. It really did help me paint the picture :). Can you give an example where it is impossible to express the idea in vector calculations? I could not come up with a trading idea that was impossible to express :D. The reason I started this thread was because of an article...

Hi everyone, What are the differences between vectorized and event-driven backtesting? Which type do you use? Is the difference important for non-HFT strategies like swing trading? Which one is more realistic? Any help is appreciated, thank you and I wish everyone profitable trades.

Someone at another forum said to see whether unpredictable problems happen. If you start WFA with problematic system, the results can be inaccurate, however just testing the system may show these problems so that they can be fixed.

In detail? Whoa, good one Louis CK. I just started this thread after I read, Building Winning Algorithmic Trading Systems, + Website: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading by Kevin Davey The Evaluation and Optimization of Trading Strategies by Robert...

Oh man. You have some serious problems. Ok, I found that you mentioned doing backtesting in a post. Because your discussions are not productive and you are always condescending, I'm not going to ask any further. And to state the truth, all we saw was a diploma with covered name and date. This...

Can you elaborate on your answer? :D