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O
Hey, I got your book. You talk about how to combine forecasts and I wanted to see this with a regression. I regressed (price.shift(-30)-price)/vol against EWMAC_16x64 and get p-value=0 but R^2 tiny (between 0.01 and 0.001 depending on instrument).

But what really confuses me is that when regressing against the combined forecast the R^2 almost always gets worse. What am I missing?
globalarbtrader
globalarbtrader
It's pretty common when forecasting in financial data to get really poor R^2. I prefer to look at performance. Even if you do this it's still possible by luck that you'd get worse performance with multiple trading rules rather than just with one, if that one rule just happens to be the best. But I'd personally still rather have multiple rules as it's more likely to do better out of sample.
P
Hey are you still following/trading the stocks in play (gappers)? If so, would love to get together with you and chat about them. Been a part of Meir's room, Aziz's as well as Livetraders (the last two just the trials) for about a year now. Looking to find others interested in the same. Thanks
M
Can not beat that food and beverages. Sure you enjoy the new place. I;m sure as there it is growing.
M
Speedo,
Nice to see another from Texas. Have been located in the Lubbock area for years. Children are in Plano and Houston. Your Family close to your area?
Pardon the intrusion been reading a few of yours posts. Enjoy your answers and is calmness or easy going the wrong word.
Good Day
Mac
speedo
speedo
Hey Mac, lived in Dallas for years but my Sister talked me into moving to Fla recently, they have a bar and restaurant on the water....not sure what to think yet but fortunately can trade from anywhere.
S
I tried to send you email to the address you gave in the forum but it doesn't work anymore.

I have been working on open source, vendor agnostic financial data and execution framework (mostly in Python).

https://github.com/zmapi

Please come to chat in IRC #zmapi @ freenode.net ...

or send me email:

"".join(["".join(["s" + "e", "bastian"]), ".", "jylanki", ".", "gmail", ".", "com"])
taco
I like GBP this week, its lurking in the shadows but its the strongest
D
Hola, he visto que eres un trader de españa que también hace day trading full-time en acciones americanas como yo. Si te interesa nos podemos poner en contacto para compartir experiencias e información sobre nuestro trading. Un saludo!
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