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...
I've always used Sharpe ratios calculated separately from daily, monthly and annual returns. Each time scale reveals different performance...
Several years ago I helped create a quant hedge fund management company and I personally developed systematic strategies that used some fairly...
Historical T&S data: https://www.tickdata.com/ (high quality) or http://anfutures.com/ (possibly lower quality) Historical (~10 years) of...
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...
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...
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...
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....
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...
Exactly. This is the huge flaw with the common approach of using "rolling" in-sample optimization / out-of-sample verification. The top-level...
I'm thinking of subscribing to ActiveTick for historical options trade and quote data. Were these issues resolved? Have you downloaded...
Thanks! ActiveTick looks nice. They have US equity options tick data from Jan 2010 to present with millisecond resolution timestamps. Looks like...
Has anyone compared these vendors and determined which vendor offers the best value / money for: All trades and quotes or 1 minute OHLC with...
Hey Mike how are you?
Thanks. Looks like nanex does a good job logging and extracting their data. It may work well for me.
Thanks! Just contacted Nanex. Weeks to write extraction code? That seems odd. Have you used Nanex data? How does it compare to other...
What vendors sell historical futures data covering a large variety of worldwide contracts and exchanges? Ideal frequency is 5 or 15 minute...
http://www.banktech.com/business-intelligence/barclays-plans-to-sell-anonymized-data-t/240157194...
Bumping this old thread... I am interested in purchasing access to 6 to 12 years NYSE TAQ. Original NYSE data files. Not WRDS or other...
(following up on http://www.elitetrader.com/vb/showthread.php?threadid=43063 ) I'm looking for US & world economic number forecast and release...
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