Search found 45 matches

by Chris Murphy
Thu Jul 24, 2003 9:13 am
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 10539

What I am saying is that when you have a lot of parameters your t-score is adjusted which makes it harder to have a model that you can say is due to it extracting an inefficiency vs just being lucky. So yeah you can have a lot of df's but they won't do you any good because your t-test gets adjusted ...
by Chris Murphy
Wed Jul 23, 2003 10:19 pm
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 10539

This is actually not so and the book explains why. This is totally off the top of my memory so my response may not be "technically" correct. When testing with each parameter that you use you will optmize it and play with it to get the result that you feel comfortable with. With each optimization you...
by Chris Murphy
Wed Jul 23, 2003 10:06 pm
Forum: Money Management
Topic: Selecting Markets to Trade
Replies: 14
Views: 9185

Selecting Markets to Trade

Through out this forum I have read that many of you preselect your markets to trade based on the markets characteristics. My gut tells me that this is not the right approach. When selecting markets to trade based on how trendy they have been in the past and then back-testing you are curve fitting yo...
by Chris Murphy
Tue Jul 22, 2003 7:55 pm
Forum: Testing and Simulation
Topic: S&P 500
Replies: 14
Views: 9260

Thanks Peter but unfortunately I need intraday prices not end-of-day. I just checked out yahoo and they don't provide historical intraday prices.
by Chris Murphy
Tue Jul 22, 2003 1:22 pm
Forum: Testing and Simulation
Topic: S&P 500
Replies: 14
Views: 9260

S&P 500

Does anyone know where I can find S&P 500 Historical Cash Prices and the Number of Advancing NYSE issues for every hour of the trading day? I'm very limited on funds so hopefully their is a way to get this data for free but I've looked around and have not had any leads with the exception of tickdata...
by Chris Murphy
Tue Jul 22, 2003 11:24 am
Forum: Custom C++ or Java Platforms
Topic: Modulus Financial Engineering
Replies: 0
Views: 5135

Modulus Financial Engineering

Has anyone used MFE's TA-SDK C++ library? Just found out about it and it looks very promising. They also have StockChartX which allows you to create nice charts.

http://www.modulusfe.com/welcome.asp

Chris
by Chris Murphy
Mon Jul 21, 2003 1:54 pm
Forum: Trend Indicators and Signals
Topic: Butterworth Band Pass Filter
Replies: 10
Views: 9763

Thanks for all of the replies. I did some testing using the filter and like all other tests that I have done I've come to the conclusion that filters are generally bad. If your system has a positivie expectation then that means that your trades have a positive expectation therefore when you eliminat...
by Chris Murphy
Mon Jul 21, 2003 1:34 pm
Forum: Testing and Simulation
Topic: Slippage for orders on the open and close
Replies: 5
Views: 4636

Sounds much more difficult than I had anticipated. For my purposes I suppose that I will assume some slippage, if the system works on this then I should be in good shape. Beside if the slippage kills the system then the system was in poor shape to begin with. It appears though that I could estimate ...
by Chris Murphy
Mon Jul 21, 2003 1:26 pm
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 10539

Here is a great book that does just what you are talking about. I HIGHLY recommend this book for any system developer. The Encyclopedia of Trading Strategies by Jeffrey Owen Katz, Donna L. McCormick. It costs $42 at amazon, http://www.amazon.com/exec/obidos/tg/detail/-/0070580995/qid=1059068367/sr=8...
by Chris Murphy
Mon Jul 21, 2003 1:02 pm
Forum: Testing and Simulation
Topic: Slippage for orders on the open and close
Replies: 5
Views: 4636

Slippage for orders on the open and close

The system that I am currently coding does not hold positions over night. What kind of slippage should be assumed when trades are only entered on the open and close? It seems to me that ZERO slippage should be assumed as this is the actuall price that orders were filled at that specific time. The on...
by Chris Murphy
Wed Jul 16, 2003 9:20 am
Forum: Trend Indicators and Signals
Topic: Butterworth Band Pass Filter
Replies: 10
Views: 9763

Butterworth filters are theoretically a low pass filter, ie MA(X), where the ouput is then the input into a high pass filter, X-MA(X). The equation I listed is the frequency equation. From playing around with it a bit the value w approaches 1 as w approaches lamda. The idea is for the BWFilter to so...
by Chris Murphy
Mon Jul 14, 2003 9:28 pm
Forum: Trend Indicators and Signals
Topic: Butterworth Band Pass Filter
Replies: 10
Views: 9763

Butterworth Band Pass Filter

Ok, I have been trying to figure out how to use the Butterworth band pass filter, I've scoured the net and found this equation: G(w) = {1+q^-1[ (4cos(w)-cos(lamda)^2)/(1+cos(lamda)^2 - 2cos(lamda)cos(w))]^n}^-1 where: lamda = center band location; n = the band form; q = spread around lamda; Now I kn...
by Chris Murphy
Thu Jul 03, 2003 5:11 pm
Forum: Custom C++ or Java Platforms
Topic: Starting Point for C++ Program
Replies: 22
Views: 21464

Thanks for the google search tip c.f.. Works like a charm!
by Chris Murphy
Thu Jul 03, 2003 1:08 pm
Forum: Custom C++ or Java Platforms
Topic: Starting Point for C++ Program
Replies: 22
Views: 21464

Yes, I am very new. The course was very basic and really only taught you how to loop, use arrays, functions, and a bit on structures. I can write simple code but when it comes to input and output we did NOTHING. We never spoke about creating programs, using libraries, linking and the sort. We made f...
by Chris Murphy
Thu Jul 03, 2003 9:10 am
Forum: Custom C++ or Java Platforms
Topic: Starting Point for C++ Program
Replies: 22
Views: 21464

Thanks redbull, I've found the gnu site very helpful.
by Chris Murphy
Thu Jul 03, 2003 1:56 am
Forum: Custom C++ or Java Platforms
Topic: Starting Point for C++ Program
Replies: 22
Views: 21464

I'm getting the following error message: Error : undefined identifier 'std::basic_ios<char, std::char_traits<char>>::nocreate' TrendProgression.cpp line 26 openMode = ios::in | ios::nocreate; Error : illegal implicit conversion from 'int' to 'std::ios_base::openmode' TrendProgression.cpp line 27 sam...
by Chris Murphy
Wed Jul 02, 2003 11:24 pm
Forum: Custom C++ or Java Platforms
Topic: Starting Point for C++ Program
Replies: 22
Views: 21464

I've downloaded the file from ta-lib and am now trying to use it. The website says: "To use the library in C/C++ project, you just need to #include "ta_libc.h" and link to the static library corresponding to your type of application." What does it mean to link to the static library and how do I go a...
by Chris Murphy
Wed Jul 02, 2003 4:33 pm
Forum: Custom C++ or Java Platforms
Topic: Starting Point for C++ Program
Replies: 22
Views: 21464

Forum Mgmnt wrote:
// Get a line from the input file.
sampleFile.getline( (char *) &lineBuffer, 4096 );
Right after this is where I parse to get the open, high, low, and close and then input them into the PriceData Array, is that correct?
by Chris Murphy
Wed Jul 02, 2003 2:14 pm
Forum: Custom C++ or Java Platforms
Topic: Starting Point for C++ Program
Replies: 22
Views: 21464

Thanks redbull. I'll check it out!
by Chris Murphy
Wed Jul 02, 2003 2:13 pm
Forum: Custom C++ or Java Platforms
Topic: Starting Point for C++ Program
Replies: 22
Views: 21464

Thanks c.f.. You will have saved me a great deal of trouble. I'll implement your code this evening and see how it goes.

Chris