Recent Content by prophet

  1. What Do Hedge Funds Think of Technical Analysis?

    For price improvement, to move large size and for market making. TA can reveal some fairly useful mean-reversion or stat-arb phenomena that can...
    Post by: prophet, Jan 30, 2023 in forum: Technical Analysis

  2. sharpe ratio

    I've always used Sharpe ratios calculated separately from daily, monthly and annual returns. Each time scale reveals different performance...
    Post by: prophet, Jan 29, 2023 in forum: Strategy Building

  3. What Do Hedge Funds Think of Technical Analysis?

    Several years ago I helped create a quant hedge fund management company and I personally developed systematic strategies that used some fairly...
    Post by: prophet, Jan 29, 2023 in forum: Technical Analysis

  4. Where to get time and sale data for emini Es & nq?

    Historical T&S data: https://www.tickdata.com/ (high quality) or http://anfutures.com/ (possibly lower quality) Historical (~10 years) of...
    Post by: prophet, Jan 29, 2023 in forum: Data Sets and Feeds

  5. sharpe ratio

    A consistent Sharpe above 3 with useful capacity is super hard to achieve. Years ago I helped create a quant hedge fund and I personally...
    Post by: prophet, Jan 29, 2023 in forum: Strategy Building

  6. USVI - St John & St Thomas

    I used to give the exact same advice. It is hard to operate a business there. The "brain drain" of workers leaving the VI is a constant drain on...
    Post by: prophet, Jun 6, 2022 in forum: Hook Up

  7. USVI - St John & St Thomas

    St. John wins in terms of natural beauty. I'd personally go with a small inexpensive house on St. John with less of a view and put the money I...
    Post by: prophet, Jun 6, 2022 in forum: Hook Up

  8. USVI - St John & St Thomas

    I lived on St. Croix in the 1980s, then visited once every 1 or 2 years since then and l still own a house there. I visited St. Thomas and St....
    Post by: prophet, Jun 5, 2022 in forum: Hook Up

  9. USVI - St John & St Thomas

    Did you encounter any traders or hedge fund managers on St. John or St. Thomas? I'm curious whether the USVI's hedge fund industry is growing or...
    Post by: prophet, Jun 5, 2022 in forum: Hook Up

  10. on parameter (over)fitting

    Exactly. This is the huge flaw with the common approach of using "rolling" in-sample optimization / out-of-sample verification. The top-level...
    Post by: prophet, May 30, 2022 in forum: Strategy Building

  11. Anyone else have ActiveTick problems?

    I'm thinking of subscribing to ActiveTick for historical options trade and quote data. Were these issues resolved? Have you downloaded...
    Post by: prophet, Jan 14, 2017 in forum: Data Sets and Feeds

  12. 5-minute snapshots of all US options

    Thanks! ActiveTick looks nice. They have US equity options tick data from Jan 2010 to present with millisecond resolution timestamps. Looks like...
    Post by: prophet, Jan 14, 2017 in forum: Data Sets and Feeds

  13. 5-minute snapshots of all US options

    Has anyone compared these vendors and determined which vendor offers the best value / money for: All trades and quotes or 1 minute OHLC with...
    Post by: prophet, Jan 12, 2017 in forum: Data Sets and Feeds
  14. prophet
    Profile Post

    Hey Mike how are you?

    Hey Mike how are you?
    Profile Post by prophet for metooxx, Jul 9, 2014

  15. Historical futures data for many contracts & exchanges?

    Thanks. Looks like nanex does a good job logging and extracting their data. It may work well for me.
    Post by: prophet, Aug 14, 2013 in forum: Data Sets and Feeds