Search found 8 matches

by davidib
Tue Oct 19, 2010 5:16 pm
Forum: Testing and Simulation
Topic: Continuous Data Building Software
Replies: 19
Views: 7810

Hi Roscoe, THE GOOD: I do have code to build continuous contracts. The basic design is that you provide a set of roll rules (encoded as text like 'roll_on_last_trading_day=-5') and a set of contracts into the algorithm, and it spits out a continuous contract as well as the list of rules that actuall...
by davidib
Fri Apr 18, 2008 8:06 am
Forum: Testing Software
Topic: Logical Information Machines
Replies: 2
Views: 4620

Hi Dean, I've used it a number of years ago. Excellent data content, very powerful, but my take is that programming skills are required to get the same level of backtesting ability that you get in trading blox. When I worked with it, it has a menuing/scripting ability. This worked great in screening...
by davidib
Fri Mar 28, 2008 11:47 am
Forum: Custom C++ or Java Platforms
Topic: Numerical libraries in .Net
Replies: 2
Views: 6676

hey jungle,

thanks for the link. FWIW I purchased webcab components and while it's not open source it is very functional, well regarded (take a look on wilmott.com forums) and Dr. Ben provides great service/user support.

David
by davidib
Fri Mar 28, 2008 11:35 am
Forum: Custom C++ or Java Platforms
Topic: SQL db design recommendation
Replies: 3
Views: 4673

Oliver, like mojojojo said much depends on how you want to use the data. FWIW I have not used a relational db for price data for a long time, I've just used simple flat files to store this info. Lots of reasons for this choice: 0.flat files (i.e. csv files) infinitely easier to manage/manipulate tha...
by davidib
Wed Feb 06, 2008 12:44 pm
Forum: Testing and Simulation
Topic: STIRS Roll in CSI
Replies: 11
Views: 8067

Hi Roger, thanks for the reply. Your tool (:oops:) looks very good. You've got a nice GUI on it and it seems to do the job for you. I agree with you regarding your last statement about different approaches not being worthwhile for you to follow up with. Aside from my belief that a ratio adjustment i...
by davidib
Wed Feb 06, 2008 8:27 am
Forum: Testing and Simulation
Topic: STIRS Roll in CSI
Replies: 11
Views: 8067

Hi Sluggo, the devil is in the details with this stuff. There are so many nuances, gotchas, cases were all your roll rules fails that this is not an easy task by any means. For example, a while back I started in earnest on such a project and ended up having to allow for the user to be able to specif...
by davidib
Wed Feb 06, 2008 6:48 am
Forum: Testing and Simulation
Topic: STIRS Roll in CSI
Replies: 11
Views: 8067

ADMP, I'm in the camp that sluggo mentioned regarding continous contracts. Well I'm not a fanatic and there is a time and place for such contracts, but in general they leave alot to be desired. I've recently (2003) worked for a couple turtles here in Chicago. One turtle used standard, absolute back ...
by davidib
Mon Jan 28, 2008 9:15 am
Forum: Custom C++ or Java Platforms
Topic: Numerical libraries in .Net
Replies: 2
Views: 6676

Numerical libraries in .Net

Does anyone have any recommendations for .Net based numerical libraries that include statistics & probabilities, matrix algebra, ODE? I would have thought that there would be an abundance of such software, but not only are there seemingly few commercially available packages, there does not seem to b...