I've been playing with the idea of moving window systems where the system is learning from the data for a period of time, but then the data...
the event profiler is a tool that performs an event study over a particular pattern in the market data. http://en.wikipedia.org/wiki/Event_study...
You are correct, it is rather difficult to keep look-ahead bias from slipping into the system in various ways (such as the one you describe)...
PostgreSQL, Python, C, C++
Hi. I'm currently working on 1 trading idea and building this framework around this idea. Although the original idea was based on 4 simple...
Why are you moving away from bloomberg?
Python is one of the easiest computer languages to learn (it is often used for intro to programming courses). Any broker or provider you use is...
BATS publishes numbers on the % of volume they represent... maybe they can be used to adjust the volume from Google?
In this case it was a Windows app. :P although I prefer to use "other" operating systems... :)
That was the idea when they bought source code from modulus... I don't know all the details but it ended up being a hassle to maintain, and the...
The market is like the weather in a nice tropical rain forest. Sometimes it is calm, but it doesn't last too long. It is usually stired up, with...
i heard from a friend that Japan, Korea and Indonesia were offline... they said august first... but they have a tendency to say it'll come back...
I used to work for them at HO, left last year If they say 2 months, make plans for it to be offline at least 8 months...
it wouldn't be the first time...
I've seen the products from modulus before... in my previous job they paid a big pile of money for their charting solution, and ended up not using...
I tried a few open source backtester recently, ended making one from scratch... That was the only way I could know every knot and bolt in the...
Check out Andrew Ng's Machine Learning Mooc, it'll give you a solid foundation. :)
why not use your current PHP code as a blue print to port into C?
sounds like you'll need some sort of ML algo, that iterates over b-c optimizing through something like gradient descent, or genetics or forests?
In that kind of time window Pyrhon will work well few instruments at a time. Python can choke pretty quickly as the number of data points grows...
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