Traders' Roundtable

Perhaps FRED2?

http://research.stlouisfed.org/fred2/

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 ...

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 ...

........ 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 ...

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 ...

...One more thing...can Veritrader handle this kind of scaling (described in the previous message)?

If it can, perhaps I should just buy it and save my efforts...

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 ...

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 ...

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 ...

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.

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 ...

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 ...

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 ...

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 ...

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 ...