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  1. Historical SP500 constituents database?

    The only place I know of so far is CRSP, they supposedly have the weights for each stock every day. Unfortunately it is super-expensive and I...
    Post by: black diamond, Dec 10, 2009 in forum: Data Sets and Feeds

  2. Historical SP500 constituents database?

    I tried to do this using the current S&P 500 and the historical add/drops from the S&P website. Don't do it that way! It sucked and I gave up, I...
    Post by: black diamond, Dec 4, 2009 in forum: Data Sets and Feeds

  3. How to research and verify trading ideas

    Here's a paper that has my favorite way to measure earnings surprise. They call it ABR - it is the 4 day abnormal return around the earnings...
    Post by: black diamond, Nov 12, 2009 in forum: Strategy Building

  4. How to research and verify trading ideas

    Size - I am pretty sure I have seen a published study where the earnings reports in the holding period actually add to the returns of the system,...
    Post by: black diamond, Nov 12, 2009 in forum: Strategy Building

  5. How to research and verify trading ideas

    Hey Talon, More good stuff. I never traded this but have backtested it. Here's what I did. This is from memory, if the discussion continues...
    Post by: black diamond, Nov 9, 2009 in forum: Strategy Building

  6. Can linear regression analysis really predict the future?

    I don't know but my linear regression model told me I would see a thread like this one day.
    Post by: black diamond, Nov 4, 2009 in forum: Strategy Building

  7. % of portfolio in one "sector" - What constitutes a sector?

    I think about it more like don't let your ideas add up into an unintended sector bet.
    Post by: black diamond, Nov 4, 2009 in forum: Risk Management

  8. % of portfolio in one "sector" - What constitutes a sector?

    There are sector portfolio definitions and historical returns at different levels of granularity at:...
    Post by: black diamond, Nov 4, 2009 in forum: Risk Management

  9. How to research and verify trading ideas

    Hi Talon, Good thread, please ignore the aholes and keep with it. Also for the skeptics I can somewhat vouch for the idea - I have seen the...
    Post by: black diamond, Nov 3, 2009 in forum: Strategy Building

  10. New study says: Technical Analysis is garbage

    Seriously, I don't see what the 'controversy' here is. Of course its not conclusive but I think it is cool that somebody runs these tests and...
    Post by: black diamond, Oct 20, 2009 in forum: Technical Analysis

  11. New study says: Technical Analysis is garbage

    Page 5 you bitch! Sorry I couldn't resist.
    Post by: black diamond, Oct 20, 2009 in forum: Technical Analysis

  12. Ranking indicators across all equities

    I actually think differently. IMO it is easier to get something that works on a basket. Say there is a predictable component of a stock's return...
    Post by: black diamond, Oct 19, 2009 in forum: Strategy Building

  13. Ranking indicators across all equities

    No, I don't mean a scanner. There are different ways to do it but what I am thinking of is called a Fama-Macbeth regression, and it definitely...
    Post by: black diamond, Oct 15, 2009 in forum: Strategy Building

  14. BOX breaks rank - small market makers have a chance again

    The short answer is I don't know. Without knowing much about this market I would guess the third one. But I can imagine scenarios where the...
    Post by: black diamond, Oct 14, 2009 in forum: Options

  15. BOX breaks rank - small market makers have a chance again

    Post by: black diamond, Oct 14, 2009 in forum: Options

  16. BOX breaks rank - small market makers have a chance again

    Thanks for the reply. I understand, I just don't agree. You might be right about what rules the exchange should choose but I don't think...
    Post by: black diamond, Oct 14, 2009 in forum: Options

  17. Ranking indicators across all equities

    This is similar to what a lot of quant equity strategies do, and the basic framework is in the public domain. I can post more on it later maybe...
    Post by: black diamond, Oct 14, 2009 in forum: Strategy Building

  18. BOX breaks rank - small market makers have a chance again

    Nitro - I am curious why you think payment for order flow is bad. Do you think this is true in general? I would think if a market can...
    Post by: black diamond, Oct 9, 2009 in forum: Options

  19. Market makers mostly sell options, and the public buys?

    You can tell from CBOE data when MM's are long or short. It varies. FWIW I was told by someone who worked on a swaptions desk that they...
    Post by: black diamond, Oct 2, 2009 in forum: Options

  20. What time Friday 4 Unemployment Report

    When I am kind of rich I am going to hire a bunch of people to impersonate BLS workers and do my own survey so I will know ahead of time. Then I...
    Post by: black diamond, Oct 2, 2009 in forum: Trading
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