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For stocks that do not have enough data during a historical period one approach would be to use a proxy (i.e. beta * proxy returns - in case that proxy returns = 0, then your proxy is cash). Depending on the weight of the asset in you portfolio, excluding the asset from the analysis may not be a good idea even if there isn't a perfect proxy for the ...


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Don't need to re-invent the wheel, I suggest you to isolate the time-consuming part of your algorithm in a c++ dll and to call it directly from Ninja trader or whatever platforms. Regarding the data here three advices: Identify exactly the data you need (ex: if your strategy is based on bar data, you may not need higher/lower prices...) Always keep a ...



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