https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2956161
this page can help you: http://datagrid.lbl.gov/backtest/index.php
Euan Sinclair suggests to keep things simple: http://blog.factorwave.com/volatility-forecasting-for-traders
1896, DJI http://stooq.com/q/d/?s=%5Edji 1789, SPX http://stooq.com/q/d/?s=^spx 1709, UK index...
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2745220
Interesting question. But if price raises from 100 to 150 (typical elite-syle backtest profit :-) log-ret error became intollerable To avoid...
Are you sure? Averaging daily log-return to get yearly return introduce error: it seems me need trasform numerator of SR formula to a linear...
Nec spe nec metu
Daal, kelly f is: (r-Rf)/v, were r = expected return, Rf= free-risk ret, v= expected variance of ret Tipically you use history to forecast r and...
cjbuckley, E. Thorp in his famous 'The Kelly criterion in blackjack, sports betting and the stock market' (2006), shows that Warren Buffet is...
in real-world, where average sharpe-ratio are in order of 0.5, continuous finance kelly criterion (f=1) works great. of course, in dream-world of...
in R: alarm() or using package tuneR : http://music.informatics.indiana.edu/courses/I546/tuneR_play.pdf
The core of strategy (long overnigth, short intraday w/o filter) is here (credit to Jay Kaeppel):...
Yes, but only using past tense verbs
Take GC futures 5 minutes data stream: #1 at 09:30NY record price P1 #2 at 15:40NY record price P2 and #3 if P2 > P1 then: #3a long overnite...
Sorry, I haven't error message, but only a warnig about next release of getSymbols function. Script works for me with R version 3.1.2...
jk, you can get good explains using r-help function (?merge, ?do.call..) or googoling R-Sig Archive (or stackoverflow). Sorry, I don't use IB....
... getSymbols(WatchList,from ="2014-01-01") Close <- do.call(merge,lapply(WatchList,function(x) Cl(get(x)))) # head(Close)
Separate names with a comma.