Tag Info

Hot answers tagged

1

Your source is not particularly clear about why what they're doing is a Z-score. To give some background, what they're doing is calculating $$\frac{R-\mu_{R}}{\sigma_{R}}$$ where R is the number of runs and the mean and standard deviation are of the number of runs. It's really more of a test statistic than a Z-score per se. The denominator in their formula ...


1

Firstly, I suggest you to use more recognized source to study and compute quantitative finance model or indicators; in such case, for instance, you could take as example the following paper as reference. Precisely there, the authors describe some common errors that one can do in computing the Sortino ratio; although surely you did not do any of them, ...


1

In trading you need to make a lot of simple computation of a very large flow of data. FPGA are perfect that for. It is typically FPGA that will host marketfeed handler (see NOVASPARKS website, or ACCELLIZE) ; analytics computations ; risk computation (see ULLINK solution for instance). For more, this generic article is not that bad: Introducing ...


1

FPGA's are used to run the latency sensitive HFT strategies. They can also be used solely for parsing whatever protocol is in use (FIX, ITCH, etc..) and routing the decoded objects to a CPU for number crunching. They can of course be used for anything else but these two uses are what is most common now.


1

I think the problem is not that you optimize a wrong criterion, but the trading strategy itself. Compare this to testing a hypothesis: if you reject at p-value of 1% then the proportion of true discoveries among all discoveries is, say, 70% (high "expectancy"). If you reject at 10% then the true discovery proportion is 40% (lower "expectancy"), but you make ...


1

Use your total wealth allocated to the trades as denominator. Total wealth allocated would include all collateral. In this way you (or your broker) make sure that the denominator is always positive. Presumably this would also reflect what you really want to track. The only problem that remains is what amount of your wealth needs to be allocated. But this is ...


1

I am using NodeJS for a similar project. There's not a ton of packages on NPM for finance and stocks, so I wrote my own, that might help you get started: Fetching historical stock data, including intraday: https://www.npmjs.org/package/node-activetick Charting, analysing, forecasting the data: https://www.npmjs.org/package/timeseries-analysis You can ...


1

Cloud9Trader uses Node.js on the back end and JavaScript across its technology stack, including for writing the trading algorithms themselves. https://www.cloud9trader.com


1

We use node.js at alta5. The event-driven, non-blocking I/O model performs well in data-intensive real-time applications like a trading platform. http://alta5.com/



Only top voted, non community-wiki answers of a minimum length are eligible