Hi, I'm always using IB's TWS market scanner to list stocks based on Highest Option Implied Volatility. Today however, I get an error message 'no...
These (and many other) algorithms are readily available (for free) within the R language (www.r-project.org). Since it's open source, you can also...
Just to clarify, I am the developer of the 'Kauai' system on Collective2, and use the alias 'Science Trader' on that website. I am not related to...
Some of the approaches in the area of statistics and machine learning might be useful to look into. For example, cross-validation is a common...
Click on "The Grid" under "Find a System" in the menu on the left. Then under "what it trades", make sure only "options" is selected, and you'll...
I know it works in real-time, but why would that prevent it from working after hours? In fact I've used it after-hours many times: sometimes...
I created a "Market scanner" page in IB's TWS. It works fine during market hours, but after hours (like now) I often get a yellow line saying "no...
Most likely the differences are due to: - sample size (e.g. 3 years, 5 years, 10 years etc.) - unit of analysis (e.g. daily or monthly returns)...
To directly answer your question: Yes, I follow the signals of this system (note: I am not the developer). It trades NYSE-listed stocks Monday...
The out-of-sample testing (and cross-validation in general) is only a partial solution. It works nice if your out-of-sample results are similar...
I bought a Dell Dimension PC at Dell Outlet, used it for about a year without any problems and then sold it on Craigslist for a profit.
Newey and West discuss some alternatives in: Newey & West (1994). Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic...
Using R, this would collapse to a single line: > a <- "00012301200123456780000001230100001234500" > >...
Walk-forward testing is a specific application of a technique known as cross-validation. It means you take part of your data to optimize a system,...
R (...my shortest response ever)
Yes, I use standard Markowitz (quadratic programming) and reoptimize monthly. This is quite arbitrary and I wouldn't really know how to estimate...
But then the question becomes: what to do when the out-of-sample results look bad? Many people will feel tempted to redesign the trading...
I use mean-variance optimization to determine the weights of the systems in my portfolio. Because I reoptimize regularly, systems whose...
I would suggest to first start trading manually on a demo account. Once you have a profitable strategy that works manually, you can start thinking...
Yes, TradeStation (www.tradestation.com) has all that.
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