Perhaps FRED2?
http://research.stlouisfed.org/fred2/
Search found 15 matches
- Mon Feb 07, 2005 4:11 am
- Forum: Testing and Simulation
- Topic: Downloading data, keeping format.
- Replies: 4
- Views: 4926
- Thu Oct 28, 2004 2:11 pm
- Forum: Testing and Simulation
- Topic: Major differences between Intraday and Daily backtests
- Replies: 1
- Views: 3122
I'm a novice myself but here are some suggestions that I can think of: As Hiramhon suggested, doing a trade by trade comparison is a good idea. But before you do it, I wonder how do you size you orders? If you're not sizing each trade with a fixed dollar amount, you may want to do so just for the sa...
- Wed Oct 27, 2004 8:03 am
- Forum: Testing and Simulation
- Topic: Maximum Adverse Excursion
- Replies: 16
- Views: 17784
For those who work with bar data, how do you calculate the excursion on the bar where your trade is closed with the exit price between the high and the low (and not executed at open or at close)? In this case you have no way of knowing if your trade has reached the extremes of the bar before its exi...
- Thu Oct 14, 2004 4:15 pm
- Forum: Testing and Simulation
- Topic: After simulation & Testing - How do you start trading a
- Replies: 16
- Views: 16313
........ The risk adjusted returns are lower for entering mid-stream from my testing. ........... Rich Dennis very strongly argued for the opposite of my advice above during the first Turtle class. If you are shooting for absolute returns he's right, if you care about risk-adjusted returns do some ...
- Fri Sep 03, 2004 8:35 pm
- Forum: Money Management
- Topic: Scaling / 'Pyramiding'
- Replies: 31
- Views: 43976
VeriTrader has an internal concept called a unit, that is intended for this sort of thing. A unit is a portion of a larger position. In your case, you would have three units for your position. In addition, you can partially exit a unit. Thanks for the explanation. That does seem a sensible way to p...
- Wed Sep 01, 2004 10:15 pm
- Forum: Money Management
- Topic: Scaling / 'Pyramiding'
- Replies: 31
- Views: 43976
- Wed Sep 01, 2004 8:42 pm
- Forum: Money Management
- Topic: Scaling / 'Pyramiding'
- Replies: 31
- Views: 43976
I'm in the process of coding my systems and I want to able to test various pyraminding/scaling rules. I'm a bit stumped when it comes to the idea of using asymmetric entry/exit sizing. For example, let's say I want to go long a stock. I allocate $10000 for my full position. I want to scale in at chu...
- Wed Sep 01, 2004 11:21 am
- Forum: Stocks
- Topic: Shorting Stocks
- Replies: 6
- Views: 10560
Does the given Nasdaq 100 list properly account for membership changes? Also, I think the Nasdaq is too tech heavy. Would be nice to see the results on SP 500, Russell 1000, or (even better) Russell 3000. But then, of course, the results might be skewed if membership changes are not handled properly...
- Mon Aug 23, 2004 9:42 am
- Forum: Testing and Simulation
- Topic: Calling all Access and Excel experts!
- Replies: 11
- Views: 9131
Should you decide to step outside of Excel/VBA, you may want to check out Python. The language is simple, elegant, very easy to learn, and yet very powerful. Features-wise it compares favourably with C++ but it's much easier to learn. Frankly, it's probably more than you need to write a test harness...
- Mon Aug 23, 2004 5:16 am
- Forum: Trader Psychology
- Topic: reading fine book in trading psychology by Brett Steenbarger
- Replies: 3
- Views: 7830
He also has a good website: http://www.brettsteenbarger.com/articles.htm
The site is nonpromotional (except for a link to buy his book) and has some nice thoughtful articles.
The site is nonpromotional (except for a link to buy his book) and has some nice thoughtful articles.
- Mon Aug 25, 2003 2:24 pm
- Forum: Testing and Simulation
- Topic: How to select a portfolio of stocks for testing and trading?
- Replies: 9
- Views: 8905
Jason, Just a quick note to confirm that your original post regarding CSI is correct: their UA service does contain the inactive stocks. I have not tried it personally but after a series of emails, they've pretty much confirmed it. When I asked them about obtaining the last 20 years of stock data, t...
- Fri Aug 15, 2003 8:35 pm
- Forum: Testing and Simulation
- Topic: How to select a portfolio of stocks for testing and trading?
- Replies: 9
- Views: 8905
Jason, Unfortunately, it seems that the 20 years of history may cost a lot more than $240. The $240 rate you talked about is for the daily download service, which doesn't seem to include all the inactive stocks. I think you may need to separately purchase a data CD from CSI to get the complete histo...
- Fri Aug 15, 2003 2:00 pm
- Forum: Testing and Simulation
- Topic: How to select a portfolio of stocks for testing and trading?
- Replies: 9
- Views: 8905
Hi Jason, Thanks for the heads-up! Actually, I'm more interested in intraday data. However, if CSI sells 20 years of EOD for $240, it does seem to be an interesting offer. I sent them an enquiry via email. One of the responses I got was that their data history is complete and without any missing dat...
- Thu Aug 14, 2003 4:21 pm
- Forum: Testing and Simulation
- Topic: How to select a portfolio of stocks for testing and trading?
- Replies: 9
- Views: 8905
How to select a portfolio of stocks for testing and trading?
I've been lurking around this forum for the last little while and I can see that some of you are stock traders. I have the following newbie questions: How do you select your portfolio of stocks for your system? Do you: 1) Simply use the constituents of some well known indices such as S&P or Russ...
- Thu Jul 24, 2003 8:03 pm
- Forum: Testing and Simulation
- Topic: S&P 500
- Replies: 14
- Views: 13145
You can get some intraday historical SPX here: http://www.medianline.com/data.html http://www.traders2traders.com Some of the data sets are in XPO or OMZ format. If you need to convert them into ASCII, try these tools; http://www.hypertrader.biz/htools/HyperTools%20for%20Omz.msi http://www.hypertrad...