I think the above is exactly right. GP (or evolution in general) is just a better method to search complex results than most methods. The real questions are what are the good building blocks for the results and how to tell which of the methods is ...

Systematic trading

Just remembered that you use c++ (if I remember correctly) - there the difference between objects and arrays should be minimal anyway. 'Java is the language that is full of performance traps.

Systematic trading

By the way currently I'm experimenting with a new market, I don't want to post anything yet but it's worth mentioning that on this market I found couple of strategies by hand that give solid results on 20 years of data and this market a) Has no ...

Systematic trading

Yes I'm ok with it, I get so low memory usage and so much speed that I can exclude some stocks easily. I try to find strategies that work with hundreds of stocks so eliminating a few doesn't matter. I use "the worst possible" approach so I don't ...

Systematic trading

I'm not sure if I understood correctly, by exponent I meant the amount of decimals and no, I can't store numbers with larger amounts than 65535. That has been enough for most meaning >99% of stocks. Short is signed and you don't need negative values ...

Systematic trading

If you are not aiming to speed then that is totally okay. If you want speed some day, benchmark the array version and you'll be surprised how big the difference is.

Systematic trading

Yes, I store the exponent to the equity type.

Systematic trading

Yes I am. Java char is a unsigned 16-bit value, nothing more (it's the only unsigned 16 bit value by the way). It can be converted to int just by casting. url

Systematic trading

Hint: For speed use arrays of primitives anywhere where you can (no object arrays as they are basically pointers). That way cpu cache starts kicking in. For example my 1 min equity data looks like this: public int barCount; public char[] open; ...

Systematic trading

It would be interesting to see data about longer term correlations, the world is now more networked than it has been 10-20 years ago and I would assume that even the uncorrelated portfolios are more vulnerable to systematic, liquidity crunch type ...

Market facts

Great stuff :-) I was thinking more about fat tails than kurtosis in general.. The distribution above seems to be such that I think kurtosis represents peakedness but not that much fatness of tails.. Any idea what would be a good measurement for ...

Market facts

I don't mind discussing about facts if the argument can be decided by facts, that's how science is made It would be interesting to see some data about this as I also don't think the above is true (the higher the timeframe, more normal the ...

Market facts

This is also interesting: Web search queries predict stock market trading volume url (paper) url This is even more interesting when combined with the other fact that volume and volatility are correlated (see previous post linked paper). ...

Market facts

Volatility is clustering. It's also very interesting that autocorrelation is "insignificant". (autocorrelation means correlation of asset price compared to previous price) One source: url So basically volatility follows volatility but up or ...

Market facts

One more, then I'll see if someone else would like to contribute.. CFTC publishes a weekly report called "Commitments of traders". You can use this report to see how much different types of players market have invested to different markets (for ...

Market facts

Different currenct pair turnovers vary quite a lot. Turnovers and a lot of more data can be found from "Triennal Central Bank study" by bank for international settlements. url

Market facts

continuing from previous post.. So as market is not normally distributed, how it is distributed and how does this affect our trading? Here is one link with some distribution curves and some more information about how ít affects actual trading ...

Market facts

Here is another: Market is not normally distributed. If someone else would like to provide some good links (including data about kurtosis) feel free to do so edit: Here is one link related to this Stock Market Prices Do Not Follow Random Walks: ...

Market facts

I'll start.. Some fx pairs are more correlated than others. By trading two non-correlated pairs (or any markets) you will diversify your profit curve is usually smoother (drawdowns don't cluster as they do in closely correlated instruments) ...

Market facts