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- chrnbr commented May 22, 2011
In addition it should read .84 and .83 (not .94 and .93)
- chrnbr replied Mar 19, 2011
Time varying coefficients — Hello, during development of a backtesting engine in R, I realized an important thing that should be considered when evaluating spreads retrieved by whatever method (regression, PCA, ...). Consider at time t0 we ...
- chrnbr replied Mar 4, 2011
Hi 7bit, this an idea that came to my mind too and should be applicable to all mean reverting processes (trivial;-) ). What is your profit target for the positions, 0,5 std, 1 std, mean level ? Is it really "sell when it goes up" or is it "sell when ...
- chrnbr replied Mar 3, 2011
Hi, getch, thank you for posting the recycle results. At the moment I only can handle up to 4 currencies in my code. I have to do some coding work in order to expand it. (Not a technical problem, just some changes to do.) Will see if I can do at the ...
- chrnbr replied Mar 2, 2011
Hello, thanks for the encouraging responses. Please find some comments/answers below. 1. On coefficient normalization: The link mentioned by getch is IMHO dealing with a different matter. There they talk about weighted geometric means with weights ...
- chrnbr replied Mar 1, 2011
A Third System ;-) — Hi, this is derived from a system using PCA and eigenvalues. Please consider the factor of -1 concerning the spread when comparing the graphs. Regards
- chrnbr replied Oct 19, 2010
Question to the Sixth EA Code — Hi, i know i am OT here, but i cannot post in steve's thread about sixth trading, therefore i try here... Reading the code of the latest Sixth Trading EA i stumbled about the Sleep(1200000) statement in function ...
- chrnbr replied Oct 4, 2010
ex4 & mq4 — Thank you geoff and piptician for all the good work. Being myself a programmer I would be interested in getting the mq4 code instead of the ex4 executable. Is the latest version Tokyo_..._v17 somewhere available on the forum ...
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