This was not clear: "It is not a stability (drawdown risk) issue that kills your system" I should have more simply said: Low relative...
Metooxx, Sorry, there are really two questions I had: What is the proportion of computation spent analyzing real-time data versus past data...
Why is it a waste of time? If I can develop and trade a profitable system on my own, why share it? I'm not after really big money. I'm already...
I'm processing every trade for every issue in the TAQ database. I start with 36 months of data (49 GB), which contains 14958 unique CUSIP numbers....
That's a great income! At that rate, I can catch Bill Gates within my lifetime. What constitutes a "small" research project? I do 3-year 5000...
Matlab is not good at data management. You just call external C routines or DLLs for that. Matlab is not suited for processing data in real time....
I like to separate price change "signals" into a "spectrum" of components, that when added back together give the original price change signal....
This is not a 20,000 man-hour project. It could be done by one person in under a week using the proper tools. I would write everything in...
Not all trading systems simply fail. It's more a matter of how well they adapt to changing markets. Some tips: 1. The goal of designing a...
I mainly have a question about time & sales vendors, but would love to discuss testing methods and setup. Let me first explain what Iâm doing....
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