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I'll answer as if the backtester design goals were driven by specific system in development or planning. There's a lot of data to process in the market and atleast for my own system development I like to focus on data that I think may provide value in the system development. For that reason I chose to capture data from my broker - they offer so much data ...

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Among matching rule, do not forget "auction calls", in most markets, you have one at the open and one at the close. To give you the main reasons to use one matching engine rather than another: Auction calls (i.e. fixings) are good to digest a lot of orders in a very short amount of time. It is why after a trading suspension, the trading starts with an ...

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A variety of powerful, many-core processors are beginning to make their way into the the hardware acceleration space that was previously completely "owned" by FPGAs. Companies like Tilera, Adapteva, and Coherent Logix all provide these processors here in the US, with Enyx from France also making inroads. The true measure of effectiveness of these massively ...

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I want to highlight the “digital signal processing” (DSP) block with ALUs. Today’s FPGAs have hundreds of programmable DSP blocks – the very largest having thousands. Now, suddenly, you have thousands of small processors at your disposal, all able to perform calculations in parallel. This is vastly in excess of parallelism provided by the Xeon Phi or GPUs. ...

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Backtesting, to me, necessarily involves testing against (realised) history of the securities under question. Wikipedia also seems to support this interpretation. http://en.wikipedia.org/wiki/Backtesting This history of the realised prices, of the securities under question, was generated by a certain pricing "model" or distribution. If you test against a ...

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Have you checked White's "reality test" (White H. A reality check for data snooping. // Econometrica. 2000. № 68. С. 1097–1126.)? Anyway, when you use Monte-Carlo, you always have a variation of "double hypothesis" issue, noted by Fama: first hypothesis is that your model of the market is right, and the second - that trading rule you test (against your ...

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A different approach to the more usual algo approach here, Bollinger Bands are a measure of the volatility, differences between buyers and sellers. So as either buyers or sellers are bought/sold out the bollinger bands squeeze beyond the average as a precursor to a sharp trend movement. I use a Bollinger Band Squeeze to highlight an imminent price movement ...

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In Hamilton's book there is a chapter on Spectral Analysis. It is equivalent to Fourier Analysis of deterministic functions, but now in a stochastic setting. Intuitively, it is similar to the 'construction' of a Brownian motion as the limit of a Fourier series with random (but carefully selected) coefficients. Extracting and studying these coefficients can ...

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The direct filter approach (DFA) is a time series filter which is calculated in Fourier space. DFA minimizes the mean square error of a time series $y_t$ compared to a filter estimate $\hat{y_t}$ $E[(y_t - \hat{y_t})^2] = \frac{1}{2 \pi} \int_{-\pi}^{\pi} |\Gamma(\omega)- \hat{\Gamma}(\omega)|^2 h(\omega) d\omega$ The minimization is done in the ...

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