Search found 66 matches
- Thu Jun 27, 2013 11:10 am
- Forum: Testing and Simulation
- Topic: Synthetic Stock Data: how to "correctly" simulate
- Replies: 5
- Views: 6130
Re: Synthetic Stock Data: how to "correctly" simul
Note how both bear a much greater similarity to the volatility charts for real price series shown in the above posts I'm not sure of the above posts that your referring too. With that said, your solution does a much better job at capturing the volatility clustering that actually occurs in the marke...
- Thu Feb 28, 2013 8:56 am
- Forum: Trend Indicators and Signals
- Topic: Indicators that are scaled in the range 0 to 1
- Replies: 3
- Views: 6484
- Thu Jan 31, 2013 9:16 am
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 11283
keep in mind that the spreads and liquidity one sees on the screen is often not indicative of the true liquidity in a lot of these ETPs. A rule of thumb: if the underlying is liquid, the authorized participant or market makers will usually make a decent market for you. This is assuming you are trad...
- Wed Jan 30, 2013 3:39 pm
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 11283
- Wed Jan 30, 2013 9:43 am
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 11283
- Tue Jan 29, 2013 2:28 pm
- Forum: Testing and Simulation
- Topic: Master ETF list to emulate futures universe?
- Replies: 14
- Views: 11283
Can go here and sort by "Asset Class"
http://www.etfg.com/research/scanner
Free version doesn't allow any filtering
You will have to go to someplace like yahoo for historical data though
http://www.etfg.com/research/scanner
Free version doesn't allow any filtering
You will have to go to someplace like yahoo for historical data though
- Mon Dec 31, 2012 11:02 am
- Forum: Trend Indicators and Signals
- Topic: How to draw a trend line?
- Replies: 2
- Views: 5787
Re: How to draw a trend line?
Referring to following image, there are 2 trend lines, Does anyone have any suggestions on how to select an right bottom to draw a trend line? so I would draw trendline[1] instead of trendline[2]. Thanks in advance for any suggestions http://i1093.photobucket.com/albums/i438/junk000/TrendLine.jpg I...
- Thu Dec 27, 2012 1:29 pm
- Forum: Testing and Simulation
- Topic: Intra-day bars...
- Replies: 6
- Views: 5642
R = R project = open source statistics softwaredaveineagan22581 wrote:sorry, no idea what ' xts package in R" is.
Regards,
Dave
http://www.r-project.org/
xts = a package/module in R used to handle data, specifically time-based data.
http://cran.r-project.org/web/packages/xts/index.html
- Thu Dec 27, 2012 1:26 pm
- Forum: Testing and Simulation
- Topic: Exploiting contango/backward term structures
- Replies: 1
- Views: 2280
- Tue Nov 27, 2012 3:42 pm
- Forum: Data Providers and other non testing software
- Topic: Transtrend portfolio And European markets
- Replies: 6
- Views: 8151
Thank you. I agree with you that yahoo procures cheap alternative. However the drawdown for me is : 1. It s not an automatic downloadable solution. Can work fine for a few stocks to follow on a daily basis but to adjust the OHLC for every single stock of a big list could seriously become cumbersome...
- Wed Oct 24, 2012 1:23 pm
- Forum: Futures Markets
- Topic: Using Put/Call Open Interest to Predict the Rest of the Week
- Replies: 3
- Views: 5194
Do you have access to option data? If so, the week prior to expiration look at the different OI numbers for the various strike prices of that near term contract. Watch to see if the market moves toward the point that will cause the greater number of Calls or Puts to expire worthless. If you can find...
- Thu Aug 23, 2012 2:23 pm
- Forum: Stocks
- Topic: What happen on Stock market, if U.S. Gov purchase bond back?
- Replies: 9
- Views: 9821
- Wed Aug 15, 2012 2:05 pm
- Forum: Testing and Simulation
- Topic: Drawdown Reduction Threshold
- Replies: 11
- Views: 7269
- Thu Aug 09, 2012 10:32 am
- Forum: Stocks
- Topic: Is there a place for fundamentals in trend trading?
- Replies: 16
- Views: 28403
- Fri Aug 03, 2012 3:16 pm
- Forum: Futures Markets
- Topic: Does Anybody Feel Safe?
- Replies: 34
- Views: 26650
- Fri Aug 03, 2012 9:34 am
- Forum: Futures Markets
- Topic: Does Anybody Feel Safe?
- Replies: 34
- Views: 26650
- Thu Aug 02, 2012 3:07 pm
- Forum: Futures Markets
- Topic: Does Anybody Feel Safe?
- Replies: 34
- Views: 26650
hmmm, my thoughts? I understand, through the media grapevine and from an article in WSJ, capital investors are looking at Knight. I think Knight is a good, cleanly operated company and look like an attractive option for an equity firm to partner up with. In return for capital, gives us a stake in y...
- Thu Aug 02, 2012 11:55 am
- Forum: Futures Markets
- Topic: Does Anybody Feel Safe?
- Replies: 34
- Views: 26650
My broker deals with these questions every day but now that they are owned by Knight, life is a bit easier. Penson was in a financial mess but still left client seg funds alone. When Knight was looking to buy Penson, they had their books and financials looked over with a fine tooth comb to determin...
- Thu Aug 02, 2012 11:53 am
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 62246
- Wed Aug 01, 2012 1:51 pm
- Forum: Testing and Simulation
- Topic: Asset allocation plus momentum , correlation
- Replies: 10
- Views: 10238
I'm familiar with this work. If anyone finds a good long-term list of securities that could be used as a proxy for the 10 sectors he uses, please list them. I found some good long ones on a monthly basis, but not daily. Along the same thinking, there's a good recent blog on this topic: http://cssan...