How about buying OTM puts when the market is extended and then converting them synthetically to calls if the market does correct? Then you can...
After the action this week, I think there's a lot of people wishing they had sold over 1.39. Do you have your bets in?
It's more an issue of magnitude rather than sign. It currently costs ~$400/oz to "print" an oz of gold and essentially nothing to print $100...
I'm surprised that Timber Hill would publicly admit that their market making agent was fooled by this. A team won the 2004 Penn-Lehman Automated...
It depends entirely on what you are expecting. I wouldn't exect commercial apps to support it, although a few might. I also wouldn't expect huge...
I've approached trading from a few different angles. The first was to sit down in front of a screen full of charts and try to make money....
I didn't use a normal distribution for the trade draws. I used binary outcomes (if you win, you win this much, if you lose, you lose that much)....
I was curious about that too so I tried to duplicate acrary's results. I got close but am not 100% sure it's right (and it's late). Maybe acrary...
With IQ Feed you can access 30 days of historical tick data (including US index and equity options). I use QCollector to collect the data and a...
My vote is C# hands down. I used to prototype in Python but switched to C# a while ago because I can develop in it way faster. I can hack C and...
By any chance, does anyone have a spreadsheet showing daily long/short results for ~1 year that they would be willing to share with me? I have an...
I'm glad to see this thread is still going... The timestamp issue is a problem, but it happens to not be much of a problem for me. A lot of...
Infobright is still going strong. The db is over 400 million rows now which is over 80% of my recent data. I had to redesign the layout a few...
nitro, I don't know if you're still looking at this, but over the weekend I setup Infobright (3.2 RC1) and have started some testing. Currently I...
The surprise fed actions on 10/15/98 and 1/3/01 were both good for pretty nice spikes up that could hurt if you were holding leveraged shorts.
Someone else might be able to give more insight, but I think you're right that the settlement price isn't just the price of the last tick because...
I think it was Andrew Lo that published a strategy that bought stocks that were down on the day and sold stocks that were up. You might be able...
By any chance does anyone have a source for the historical makeup of the S&P? Specifically I would like to find the top weighted components on a...
Here's a 1 lot ES bought at cash close and sold the next day at the open. I skipped Friday entries and also excluded commissions.
One exercise I went through that might help someone else was to create a file that had random binary inputs and an output that was some logical...
Separate names with a comma.