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  1. Went into a trading firm in NYC... What a bunch of losers

    What's the economics of such a prop-shop? I mean, how much capital do I need to set up a prop-shop... and how much money I can make...
    Post by: mizhael, Jan 19, 2011 in forum: Trading

  2. how to do judge the degree of data-mining/over-fitting in a strategy?

    Sometimes their strategies don't have obvious numerical parameters. For example, they take NASDAQ 100 index, and change the weights of the...
    Post by: mizhael, Jan 19, 2011 in forum: Data Sets and Feeds

  3. how to do judge the degree of data-mining/over-fitting in a strategy?

    Of course they all claim that their strategies are based on fundamental reasons. And why is this: "Also look at the distribution of your pf....
    Post by: mizhael, Jan 19, 2011 in forum: Data Sets and Feeds

  4. Controlling for over-fitting... and Renaissance Technologies

    What's special about commodity market?
    Post by: mizhael, Jan 19, 2011 in forum: Strategy Building

  5. Controlling for over-fitting... and Renaissance Technologies

    Please don't take my "curve fitting" narrowly... How do you exploit dependencies? Using statistical data-mining, right? Then you have the...
    Post by: mizhael, Jan 19, 2011 in forum: Strategy Building

  6. Controlling for over-fitting... and Renaissance Technologies

    Heard that Renaissance Technologies never hire people having Wall Street experiences... and all they hire are quants. So they are not...
    Thread by: mizhael, Jan 19, 2011, 7 replies, in forum: Strategy Building

  7. how to do judge the degree of data-mining/over-fitting in a strategy?

    Hi all, Suppose somebody comes to you with a strategy and with backtest results. The Sharpe ratio is good and the cumulative PNL curve looks...
    Thread by: mizhael, Jan 19, 2011, 20 replies, in forum: Data Sets and Feeds

  8. Critical process/components for building bullet-proof high speed trading systems

    Okay, we had previously already something in existence... so we went our own route. Lets not dwell on which platform to use, etc. Lets focus...
    Post by: mizhael, Jan 19, 2011 in forum: Automated Trading

  9. Critical process/components for building bullet-proof high speed trading systems

    If something goes wrong, you call those people? We of course need an in-house solution...
    Post by: mizhael, Jan 19, 2011 in forum: Automated Trading

  10. Critical process/components for building bullet-proof high speed trading systems

    Thanks for the good point! We are thinking of more detailed processes/procedures, such as time-shifts for human monitoring, etc. Any thoughts/
    Post by: mizhael, Jan 19, 2011 in forum: Automated Trading

  11. Critical process/components for building bullet-proof high speed trading systems

    Of course we have that. And we wanted to focus on project-management/processes/critical components about building a bullet-proof system. Any...
    Post by: mizhael, Jan 19, 2011 in forum: Automated Trading

  12. Critical process/components for building bullet-proof high speed trading systems

    Hi all, My friends and I have been working on building a robust automated high speed (but not super high frequency) trading system/platform....
    Thread by: mizhael, Jan 19, 2011, 26 replies, in forum: Automated Trading

  13. anybody would like to collaborate on building an options backtest platform?

    long history and good quality for options on futures?
    Post by: mizhael, Jan 18, 2011 in forum: Strategy Building

  14. anybody would like to collaborate on building an options backtest platform?

    So the question is where to find long history of intraday data...
    Post by: mizhael, Jan 18, 2011 in forum: Strategy Building

  15. anybody would like to collaborate on building an options backtest platform?

    Hi opt789, Thanks for your invaluable contribution to this thread as a former options MM and then firm trader. It's great to have you here!...
    Post by: mizhael, Jan 18, 2011 in forum: Strategy Building

  16. anybody would like to collaborate on building an options backtest platform?

    At EOD, the spreads of options widen to a ridiculous level such that the backtest is unreliable. But we can use EOD bids and asks for...
    Post by: mizhael, Jan 16, 2011 in forum: Strategy Building

  17. anybody would like to collaborate on building an options backtest platform?

    How far back data does ToS have?
    Post by: mizhael, Jan 16, 2011 in forum: Strategy Building

  18. anybody would like to collaborate on building an options backtest platform?

    Yeah, that's because you are talking about the equity space... while I am thinking of FX and futures... and I will start with 1 or 2 underlying......
    Post by: mizhael, Jan 16, 2011 in forum: Strategy Building

  19. anybody plays options on futures? Bloombrg: how to download and organize data?

    At closes, MMs tend to widen their bid-ask spread, so close bids and close asks are unusable. I have a few strategies that look good using last...
    Post by: mizhael, Jan 16, 2011 in forum: Data Sets and Feeds

  20. anybody would like to collaborate on building an options backtest platform?

    Bloomberg?
    Post by: mizhael, Jan 16, 2011 in forum: Strategy Building
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