Real-Time Software that Supports Multi-Variate Regressions

Discussion in 'Trading Software' started by Transatlantic99, Nov 27, 2008.

  1. Hi,

    I was wondering if anyone knows of any real-time trading software thats supports serious econometrics/time-series analysis functions and stats, either natively or through some add-in or interface.

    I am not looking for the simple linear regression on price itself. Rather, am looking for functions and stats on regressing something against a variety of explanatory variables, and pulling out t-stats, R^2, durbin-watson, A.I.C, correlations, etc...

    One solution I have found is Tradestation <--> Matlab.

    Am not aware of such functions/libraries for things like NinjaTrader, OpenQuant, or MultiCharts. Does anyone know? Thanks.

  2. vita


    I'd suggest MATLAB connected to your data source provider through their API particularly if you consider making your analysis more sophisticated. This requires more work upfront but gives you flexibility once things are up and running.

    Alternative solution would be Excel API + a third party Add-in. See e.g.
  3. OpenQuant can reference any .NET or COM dll as well as invloke native dll functions right from the strategy code. Thus you can connect to Matlab, R and other stat packages from OpenQuant. You can browse our forums to see how OpenQuant users do this.

    We also offer simple time series analysis out of the box (mean, std, correlation, etc.) but I don't think there is a good reason for a trading software company to re-invent the wheel and compete with well established stat software.

  4. NinjaTrader_Ray

    NinjaTrader_Ray ET Sponsor

    As can NinjaTrader.