Here's some interesting information shared by RTS:
I wonder about other non-US exchanges.
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- Max Dama
- Berkeley, CA, United States
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I have two sites, one on automated trading and the other on general topics.
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11 comments:
Check out: http://coreyhoffstein.com/
sc
What is meant by splines here?
Corey,
I like your page of resources- there are a lot of good things there: http://coreyhoffstein.com/automated-trading-resources/
Seeker,
I think it means local/subset curve fitting using simple, quick functions. It's one of the quickest interpolation/extrapolation/prediction methods.
Regards,
Max
Where are splines mentioned?
Max,
Nice blog. I see you use the IB TWS API ... any suggestions on where to find a complete contract list for them? Searching on their website is a pain!
Can you provide the original location of this chart?
Anon,
I received it through an email.
Regards,
Max
R,
I agree it's a pain. I don't know a good source.
Regards,
Max
Max, I'm a big fan of your blog.
I develop algo trading strategies as a personal hobby.
I wonder if you'd comment on your thoughts on using GP to develop trading rules?
Also, I'm very curious what types of strategies do you use yourself. Is it statarb, can you share anything without giving away your secrets :-) ?
thanks.
Thanks anon.
I don't think GP adds much, it will likely just overfit. You could use it to generate interesting candidate strategies and then audit/filter them yourself afterward.
I use whatever works. Basically a basket of small opportunistic strategies.
Regards,
Max
A interesting GP tool for general purpose could be Eureqa. I've found out that esp the use of the AIC or BIC fitness metrics result in pretty robust models. The resulting formula's are easy to implement in various languages or a spreadsheet. http://ccsl.mae.cornell.edu/eureqa
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