Sornette LPPL program

Discussion in 'Trading Software' started by GloriaBrown, Jan 16, 2015.

  1. Anyone knows any software for LPPL? So hard to write everything by myself.
     
  2. ThomasB

    ThomasB

  3. ThomasB

    ThomasB

    From what I understand, the code is actually working
    but crude. He is optimizing over 7 parameters instead of what Sornette proposes in his latest papers (slaving 4 parameters).
    So he gets stuck in the first local minimum in an unnecessary blown up search space.
    Do you expect much from LPPL?
    I found Sornettes trading simulations rather discouraging.
     
  4. I expect a lot ha ha. Yeah it should be 4 parameters instead of 7. How do you try out LPPL?
     
  5. ThomasB

    ThomasB

    Is that irony (i am not a native speaker)?
    A few years ago we tested it at my former employer. Wasn't really successful.
    Sornette published a paper where he combined it with pattern recognition to do actual trading. Could not find it on his page but the results were not impressive.
    Anyway you can't use R or matlab to program it properly because you need to intercept gaussian elimination and simplex optimization. Take "numerical recipes" then it should not take more than a week.
     
  6. You work in a trading firm so you do backtest for your job?
     
  7. ThomasB

    ThomasB

    Not anymore, but this was a part of my last job.
     
  8. Can you give me some suggestion on how to test if a trend is coming/stop? I still cannot find a good research paper about this yet.
     
  9. ThomasB

    ThomasB