Recent Content by ezbentley

  1. Opening Range Break

    A newbie question: How is the opening range defined for futures, most of which trade almost around the clock?
    Post by: ezbentley, Nov 26, 2012 in forum: Technical Analysis

  2. Anyone has experience with Wikiposit data?

    http://wikiposit.org/p?futures It seems pretty amazing that they even have historical term structure data. Has anyone worked with their data...
    Thread by: ezbentley, Jul 14, 2012, 3 replies, in forum: Data Sets and Feeds

  3. Any good book on Statistical Arbitrage?

    Yes. If you look into the Matlab code, the hedge ratio is simple the slope of the regression line. So in excel you can just add a trendline to the...
    Post by: ezbentley, Aug 29, 2009 in forum: Strategy Building

  4. Pair Trading Strategy Journal

    It seems like PTF bases its calculations heavily on the "ratio" of two equities. However, isn't there a problem with the arbitrary choice of which...
    Post by: ezbentley, Aug 13, 2009 in forum: Journals

  5. Any good book on Statistical Arbitrage?

    When people talk about correlation, they usually mean "return" correlation, not "price" correlation. So it's quite possible that returns are...
    Post by: ezbentley, Jul 18, 2009 in forum: Strategy Building

  6. Pair Trading Strategy Journal

    Just a general newbie question to the PairTradeFinder users. Most of the stat arb papers use "cointegration" as the test for mean-reversion to...
    Post by: ezbentley, Jul 7, 2009 in forum: Journals

  7. Is this good for becoming a prop trader?

    If you are really that good with C++, why don't you try to get into a more famous school like UCLA or USC instead of CSULB? Even though I don't...
    Post by: ezbentley, Jul 7, 2009 in forum: Professional Trading

  8. Journey from investment bank to independent automated trader

    Are you implying your stat arb model is actually scalable in terms on holding period? Wouldn't the expected profit decrease with longer holding...
    Post by: ezbentley, Jul 2, 2009 in forum: Journals

  9. Journey from investment bank to independent automated trader

    My understanding is that high-frequency strategies are either market-making or stat arb. Do you agree or are you aware of any other type of HF...
    Post by: ezbentley, Jul 2, 2009 in forum: Journals

  10. Journey from investment bank to independent automated trader

    I agree with you in general. I think what matters is the ratio of expected holding period and the backtesting length. Since high-frequency...
    Post by: ezbentley, Jul 1, 2009 in forum: Journals

  11. Journey from investment bank to independent automated trader

    This is a little off-topic, but can you describe, in general terms, any precaution that needs to be taken when backtesting with high frequency...
    Post by: ezbentley, Jun 29, 2009 in forum: Journals

  12. Any good book on Statistical Arbitrage?

    Very interesting. Some schools even offer stat arb as a course: http://cims.nyu.edu/~almgren/timeseries/...
    Post by: ezbentley, Jun 29, 2009 in forum: Strategy Building

  13. Journey from investment bank to independent automated trader

    I am not sure how high-frequency your data needs to be, but AmiBroker is the fastest backtesting retail software that I know and it supports tick...
    Post by: ezbentley, Jun 29, 2009 in forum: Journals

  14. Journey from investment bank to independent automated trader

    This is great insight. The more I work on my retail trading "business plan," the more I realized that the odds are stacking up against the...
    Post by: ezbentley, Jun 23, 2009 in forum: Journals