Search found 45 matches
- Thu Jul 24, 2003 9:13 am
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 14700
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 ...
- Wed Jul 23, 2003 10:19 pm
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 14700
- Wed Jul 23, 2003 10:06 pm
- Forum: Money Management
- Topic: Selecting Markets to Trade
- Replies: 14
- Views: 13191
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...
- Tue Jul 22, 2003 7:55 pm
- Forum: Testing and Simulation
- Topic: S&P 500
- Replies: 14
- Views: 13092
- Tue Jul 22, 2003 1:22 pm
- Forum: Testing and Simulation
- Topic: S&P 500
- Replies: 14
- Views: 13092
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 tick...
- Tue Jul 22, 2003 11:24 am
- Forum: Custom C++ or Java Platforms
- Topic: Modulus Financial Engineering
- Replies: 0
- Views: 6726
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
http://www.modulusfe.com/welcome.asp
Chris
- Mon Jul 21, 2003 1:54 pm
- Forum: Trend Indicators and Signals
- Topic: Butterworth Band Pass Filter
- Replies: 10
- Views: 13074
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...
- Mon Jul 21, 2003 1:34 pm
- Forum: Testing and Simulation
- Topic: Slippage for orders on the open and close
- Replies: 5
- Views: 6306
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 ...
- Mon Jul 21, 2003 1:26 pm
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 14700
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...
- Mon Jul 21, 2003 1:02 pm
- Forum: Testing and Simulation
- Topic: Slippage for orders on the open and close
- Replies: 5
- Views: 6306
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...
- Wed Jul 16, 2003 9:20 am
- Forum: Trend Indicators and Signals
- Topic: Butterworth Band Pass Filter
- Replies: 10
- Views: 13074
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...
- Mon Jul 14, 2003 9:28 pm
- Forum: Trend Indicators and Signals
- Topic: Butterworth Band Pass Filter
- Replies: 10
- Views: 13074
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...
- Thu Jul 03, 2003 5:11 pm
- Forum: Custom C++ or Java Platforms
- Topic: Starting Point for C++ Program
- Replies: 22
- Views: 31551
- Thu Jul 03, 2003 1:08 pm
- Forum: Custom C++ or Java Platforms
- Topic: Starting Point for C++ Program
- Replies: 22
- Views: 31551
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...
- Thu Jul 03, 2003 9:10 am
- Forum: Custom C++ or Java Platforms
- Topic: Starting Point for C++ Program
- Replies: 22
- Views: 31551
- Thu Jul 03, 2003 1:56 am
- Forum: Custom C++ or Java Platforms
- Topic: Starting Point for C++ Program
- Replies: 22
- Views: 31551
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...
- Wed Jul 02, 2003 11:24 pm
- Forum: Custom C++ or Java Platforms
- Topic: Starting Point for C++ Program
- Replies: 22
- Views: 31551
- Wed Jul 02, 2003 4:33 pm
- Forum: Custom C++ or Java Platforms
- Topic: Starting Point for C++ Program
- Replies: 22
- Views: 31551
- Wed Jul 02, 2003 2:14 pm
- Forum: Custom C++ or Java Platforms
- Topic: Starting Point for C++ Program
- Replies: 22
- Views: 31551
- Wed Jul 02, 2003 2:13 pm
- Forum: Custom C++ or Java Platforms
- Topic: Starting Point for C++ Program
- Replies: 22
- Views: 31551