What are you trying to say, that doesn't make any sense.

Systematic trading

This is about amplifying noise in a complex markovian network (a stock market is one), so basically about volatility causing volatility without any external stimuli. What this means (IMHO! I haven't done the full research yet), you could model noise ...

Systematic trading

I'm not sure how many people here will appreciate this link but here it comes.. It's kind of eye opener when you understand what the paper says. url

Systematic trading

As you can see from your post, efficient market relies on multiple participants who find inefficiencies and exploit them. Unless all inefficiencies have been found (which is quite a bold claim) there are still inefficiencies that can be exploited. ...

why have you accepted the price-predictability assumption?

Again a link, this is a must thing to know if you are interested in training any model url

Systematic trading

Interesting article once again, does anyone have any insider comments that he wants to share? url

Systematic trading

Nope and at the moment I'm quite happy that I'm not :-) This article describes quite well why.

Systematic trading

This might be interesting to some of you.. url

Systematic trading

One link more url

Systematic trading

This is worth reading.. Any comments? (BlackMage?) url

Systematic trading

People lose because it's a zero sum game (and one part goes to broker) and people who play against the small trader have all the money, computing power and brain power money can buy. Simply said, you have to have a serious quantified edge if you ...

Why do most traders lose money in the market?

Long time without posting here, I have been developing a new set of strategies on totally different market (and trading them too, don't ask about the market) mostly using very large datasets and Weka. If you haven't checked out Weka and are ...

Systematic trading

IMHO the optimization only works if you can compare the results correctly. If you have a very large amount of non-correlated data and you can find a fitness method that works well (without aplifying noise/curve fitting) then optimization might work. ...

Systematic trading

Diversification only works if you have a strategy that works on some principles that are common on multiple markets. If you can find a strategy that works equally well on multiple markets that is an indication that the strategy actually works (as ...

Systematic trading

Have you read this thread at all? TLDR The tester already exists.

Systematic trading

What do you mean by "cannot be free" and "is very costly"? Yes, my tester works with portfolio of strategies and equities so it's probably "pro" software if you want to define it that way (see the past thread). Anyway I have decided to go on with my ...

Systematic trading

I have been thinking of creating an online (web based) version of my trading algo tester so that anyone could test strategies. The language would most likely be simple rule based system or a lisp-like parse tree. I think rule based would be better ...

Systematic trading

Another interesting link here.. "Buffett's Alpha" Abstract Berkshire Hathaway has a higher Sharpe ratio than any stock or mutual fund with a history of more than 30 years and Berkshire has a significant alpha to traditional risk factors. However, we ...

Systematic trading

Very true. One of the most interesting things is how fast his edge disappeared.

Systematic trading

Long time without posting but somehow I thought this might fit here perfectly. How I made $500k with machine learning and HFT (high frequency trading)

Systematic trading