I don't have etf data at hand right now, but using futures instead (i.e. ES instead spy, CL instead uso) gives the following picture: (I think...
Ok so I'd say there's a similar effect in individual stocks, attached are all plots of the SP100 stocks (maybe the constituent list is not really...
I'll take a look at equities too and post results here if you're interested. What I can say for now is that the effect is definitely visible in...
and here's a zip file with the same evaluation for a range of futures markets.
Interesting post, acdtrader. I'll definitely follow up to your post as automated trading is my main area too. Meanwhile, as I'm working...
Okay thanks, yes the drawdowns can really be severe with the usual trend following systems... Interesting idea regarding grouping the assets,...
Mav, do you calculate the sharpe ratio of your trading results? (I'm aware that it's not so straightforward to calculate in a prop trading...
thanks for your feedback Maverick, kinggyppo and RCG
I haven't read this thread, but I think it's more interesting (and hopefully lucrative) to find deviations from random walks in real data instead...
Looking at the basics of ACD in detail, I noticed that in his book on page 12, Fisher divides the day into 64 five-minute intervals and states...
They will have no difficulties to accommodate their orders, but still they will have a market impact. Of course, the longer term they trade the...
Platforms like Ninjatrader, Tradestation (and all it's clones) and so on usually provide several sample scripts and systems, either when you...
There are numerous CTAs trading several billions as already mentioned in this thread, so it seems that it is possible. However, this comes at a...
I have the feeling this product is not updated anymore, e.g here http://www.exchangeapi.com/ProductOverview.htm they state: "Is QUANT2IB...
Maverick, do you also follow the VIX future (VX) for your ACD trading? In terms of it's price action and behavior it might be a very interesting...
Just a note regarding the ETF: COW is a portfolio of live cattle and lean hogs, so it wouldn't be a pure LC trade. However, current weight of LC...
I would use something like R or Matlab for stuff like that
tradesignal (http://terminal.tradesignalonline.com/) uses easylanguage (they call it equilla, but actually it's easylanguage with only minor...
Do you need daily or intraday data? For daily data I can recommend CSI (csidata.com, as mentioned by rwk). Symbol changes are handled by having...
On a day like yesterday that's easily possible, see here:...
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