Search found 57 matches

by ratio
Tue Jun 22, 2010 11:08 pm
Forum: Testing and Simulation
Topic: CSI Data daily change are breaking the system
Replies: 3
Views: 1982

CSI Data daily change are breaking the system

CSI Data is posting data modification that affect the past. We start to see on our daily order sheet, position that where not there the previous day, and some that we disapearing without any reason. We trace it to the fact that CSI is making data change, adjustment in the past. Those change affect o...
by ratio
Mon Feb 08, 2010 1:03 pm
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70113

I would be interested in seeing your FuturesInfo Dictionnary. How many instrument in there? Are they all easily tradable? I had made some research on what is available to trade through Interactive Broker. But it was really difficult to find a very large of instrument. We output from CSI, but even th...
by ratio
Thu Jan 07, 2010 6:59 am
Forum: Testing and Simulation
Topic: Found it!! Historical Index Constituents data
Replies: 2
Views: 2652

Found it!! Historical Index Constituents data

Nasdaq can be found here: http://www.nasdaq.com/indexshares/historical_data.stm

Others are in the included files.

Been searching this for ever, finally found it. Sharing it.


Denis Hamel
http://www.ratiocapital.com
by ratio
Mon Nov 23, 2009 12:33 pm
Forum: Stocks
Topic: Where can we find the major Index components accross time
Replies: 2
Views: 3654

Where can we find the major Index components accross time

We want to design a portfolio that would have all Ticker (inluding delisted) that ever traded in an index. ex: TSX 60, SP 500, etc. We would then attach an external file that have the startdate and end date where that stock was included in the Index. This would allow us to simulate a portfolio that ...
by ratio
Mon May 18, 2009 2:46 pm
Forum: Testing and Simulation
Topic: How to SPEED UP simulations by 2 to 50 times (or more)!
Replies: 12
Views: 6551

It is all related to the size of the testing we are doing. Since we do very large test 20,000 stocks we had to get a machine with vista 64 bits, TB 64 bits and 8 gig of ram. Recently with the release of TB 3.0 8 gig ram cannot load the test anymore, we have to run it on a 12 Gig ram machine. We boug...
by ratio
Mon May 18, 2009 8:32 am
Forum: Testing and Simulation
Topic: How to SPEED UP simulations by 2 to 50 times (or more)!
Replies: 12
Views: 6551

We run our testing on Dell XPS Studio with 12 gig ram and an Intel Core i7 920 processor. Plus we added a Intel SSD Drive, wich give a little bit more speed for the loading of the data. This is really, really fast, we run our test with 20,000 Nasdaq, OTC symbol over 1992 to 2009 on this. This sell i...
by ratio
Sun Nov 30, 2008 7:30 pm
Forum: Testing and Simulation
Topic: Need a list (or a portfile.adm) of all tradable commodities
Replies: 1
Views: 2373

Need a list (or a portfile.adm) of all tradable commodities

I thought I ask, if someone already have one or many portfile.adm for CSI for all the commodities that are easily tradeable.

I do subscribe to the CSI world Package.

And/Or the futures dictionnary for thoses.

That would save me a lot of time!

Denis
by ratio
Sat Apr 19, 2008 5:59 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33212

Long only, no leverage
by ratio
Thu Apr 10, 2008 12:48 pm
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33212

This is a the equity curve of a system we are building for Canadian stock, So far the result are better on stock system than on Future. This is a Long term system, scanning around 1400 stocks every day. The system hold a maximum of around 10-15 stocks at any time. So I guess the result is yes lttf w...
by ratio
Fri Mar 14, 2008 2:48 pm
Forum: Testing and Simulation
Topic: Toronto area Reference for TradingBlox please
Replies: 5
Views: 3133

Montreal here.... close enough?
by ratio
Wed Feb 28, 2007 6:10 pm
Forum: Testing and Simulation
Topic: Stock Data with Fundamental
Replies: 3
Views: 2686

Thank you.

It's only about 50 times less expensive at AAII.

Hope I can find the same thing for canadian stock

Denis
by ratio
Wed Feb 28, 2007 2:46 pm
Forum: Testing and Simulation
Topic: Stock Data with Fundamental
Replies: 3
Views: 2686

Stock Data with Fundamental

Anyone know where I can find historical Stock data but with the FUndamental, like PE, Sales, Assets, etc. I know of Hemmscott, pretty good, but too expensive. I had a look a FetchXL witch Fetch the data from Hemmscott in excel. But it seem that it is very difficult to get this kind of data. I would ...
by ratio
Wed Feb 14, 2007 8:38 am
Forum: Testing and Simulation
Topic: Anybody using Quad Core Machine for testing
Replies: 28
Views: 19764

But do we need to install Win XP 64 ?
by ratio
Sun Feb 11, 2007 7:28 am
Forum: Forex
Topic: Hedge fund are becoming big...
Replies: 0
Views: 4402

Hedge fund are becoming big...

Apparently they have enough power for the G7 to look more closely.

http://www.theglobeandmail.com/servlet/ ... iness/home
by ratio
Sun Feb 11, 2007 7:16 am
Forum: Data Providers and other non testing software
Topic: CSI Stock Data - further dangers
Replies: 5
Views: 5598

A few year ago when I was more in stock, I had used http://www.datasharks.biz , they basically download EOD data from Yahoo finance, and since Yahoo finance ge their EOD from CSI.... they also download EOD from BriteFuture and FutureSource If you look on Yahoo finance at the bottom of a quote page. ...
by ratio
Mon Jan 29, 2007 9:02 pm
Forum: Testing and Simulation
Topic: Suggestion
Replies: 0
Views: 2425

Suggestion

When Generating Order , on the report, In the Order section, I think It could be usefull to have the Closing Price of the contract for which we have order. This would help us get a feeling of the potential of that trade to get fill in the market. This could be next to Price Execution or after the Ex...
by ratio
Mon Jan 29, 2007 10:49 am
Forum: Trend Indicators and Signals
Topic: Pattern for signal
Replies: 2
Views: 5852

Pattern for signal

Anybody had experience with using past market price pattern to generate signal. I wrote this Program that basically calculate all the price pattern for a given length of day. ex: 2 day, and all relation of OHLC to the other days. HEre is an example of Corn on a 2 day pattern. The pattern is like tha...
by ratio
Sun Jan 28, 2007 12:34 pm
Forum: Testing and Simulation
Topic: Strategies based on abnormally high volumes
Replies: 2
Views: 2574

I Have not program mine, but I follow a trading system, based on canadian stock, that do approximatively that. Enter on Momentum and volume. So far here are some of the result: 2007 YTD: +24.62% 1 Year : + 106.77 Since inception: (September 2004) + 529.49% But what is the most interesting, is that t...
by ratio
Wed Jan 24, 2007 12:49 pm
Forum: Testing and Simulation
Topic: Optimization what it is.
Replies: 8
Views: 5662

Funny how thing happen. On testing my system, I decided to change the portfolio I was using. So rather than modifying the parameter, I modify the instrument and kept the same set of parameter. So I took, the Trending Portfolio in TB and test against. From 1982 to 2007 I got a 45% CAGR with a MAR of ...