Analysis Tools That Vic Niederhoffer Used ?

[Fundlord]

2 quotes from James Altucher regarding Vic Niederhoffers use of statistical testing:

"Victor and his crew would spend all day testing ideas: What historically happens to the market on a Fed day? What happens on options expiration day if the two prior days were negative? Do stocks that start with the letter “x” outperform? Nothing was beyond testing."

"Over the past 16 years, buying the close on SPY (the S&P 500 ETF) on the last day of the month and selling one day later would result in a successful trade 63% of the time with an average return of 0.37% (as opposed to 0.03% and a 50%-50% success rate if you buy any random day during this period)"


What are the analysis tools that some of the pro traders use to develop an edge ?

Im looking for tools to analysis historical odds/events.

For example:

What are the odds the SP500 gains 1% on a Monday if closed down the previous Friday.

What are the odds that AMZN is up when the overall market is down

etc

Where can I find such a tool without paying for a bloomberg terminal or manually looking through thousands of price bars.

 

[EquityGuy4321]

VBA, R, Python. They are all free and relatively easy to learn.

 

[Fundlord]

VBA, R, Python. They are all free and relatively easy to learn.

How does one get started with these, I run my trading from a 15inch MacBook Pro max specs if that matters.

 

[Fundlord]

Factset

Thanks

Do you have to be part of a financial firm to request their product ?

Any idea on the cost ?

 

[marketsurfer]

Thanks

Do you have to be part of a financial firm to request their product ?

Any idea on the cost ?

Sorry , im in an airplane and the post was cut short.

Factset is just an idea, i have no idea what VN is using now-- i know he has bloomberg and does lots of proprietary research with direct exchange data.

We use a derivative of wolfram alpha to help turn my ideas into actionable form.

 

[EquityGuy4321]

How does one get started with these, I run my trading from a 15inch MacBook Pro max specs if that matters.

I remember looking at Factset and it wasn't cheap (though not as expensive as Bloomberg). Issues with data quality as well.

VB runs as part of the Microsoft Visual Studio environment. Probably same cost as all the other MS products.

R and Python packages can be downloaded from the internet for free (just google them). There are tons of free resources on the internet to get you started. Note that many hedge funds are using these these tools.

One thing to keep in mind is that VN (his team members, actually) wrote his original testing platforms from scratch. If you want to do something original you might consider putting in the time to learn some programming skills so that you have maximum flexibility to test ideas in the future.

 

[Fundlord]

R and Python packages can be downloaded from the internet for free (just google them). There are tons of free resources on the internet to get you started. Note that many hedge funds are using these these tools.

What are the tools that hedge funds use, Id rather be learning the best language rather than the ones on the way out ?

I dont need something super high tech just something to calculate the scenarios I mentioned above, I am not interested in building algos or models.

 

[Speculate]

Why the interest in following some guy who's crashed more times than Malaysia Airlines?

Clearly if you test all this nonsense, eventually your going to find something that appears to correlate, when all youre doing is finding patterns in randomness?

His brother Roy seems to have more logic in his approach - fading extreme moves with some propitiatory sentiment feedback/alerts if my memory serves me correctly. I havent seen his returns in a while.

 

[Jakobsberg]

If you have Excel you can import the data from google finance (just end of day data) and write the VBA scripts in there.

From the examples given though it sounds like data mining which isn't going to work going forward.

 

[EquityGuy4321]

That was my point...R and Python are actively used and will most likely be actively be used going forward. You can't go wrong by learning either.

If you need to loop in your analysis, you will need something like the packages I mentioned. If not, just use Excel. I've personally found some very interesting things over the course of my career using Excel.

Or, try something like TradersStudio.

Edit: As per the above post, Excel+VBA also works.