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Jul
22
comment What is the ideal ratio of in-sample length to out-of-sample length?
Thanks for pointing out the reference to Aronson. It seems like a very thorough and well-written work, even though I would not have looked at it otherwise because the title is rather off-putting to one who prefers to make scientific investment decisions, whereas technical analysis is typically associated with subjective chart patterns.
Jul
22
comment What is the ideal ratio of in-sample length to out-of-sample length?
Thank you for your answer. I am generally a fan of Ernie Chan's book, and his blog as well. He gives good guidelines, but at least in this case he does not provide any justification for his recommendation. If no one else comes up with anything, then I think this would be the accepted answer.
Jul
21
comment Option trading API other than Interactive Brokers
Anyone have any further information on Lightspeed? Seems cheap if you've got the $$ to invest, but I haven't seen much mention of this name before.
Jul
21
comment What are the advantages of switching platforms/languages between strategy development and implementation?
I also looked at each of those other questions, and others, and I do not think any directly address the question of using one versus two languages/platforms for the two stages of development of the same strategy. Most previous questions discuss the relative merits of a complete switch. The closest one is this, but there the focus is more on performance and efficiency, which are less important for medium frequency trading.
Jul
21
comment What are the advantages of switching platforms/languages between strategy development and implementation?
It does not necessarily mean tick-level data, since for a medium frequency strategy it may be enough to get updates every 15, 30 seconds, or whatever, if the tick frequency is very high. I also suspect I'll be fine with Matlab, but the question is whether I am missing anything?
Jul
21
comment How do I compare implied and historic volatility?
@vonjd Thank you for the link! I have been looking for a digital copy of that paper forever!
Jul
21
comment Free intra-day equity data source
It is still not quite free, because you will have to either generate a minimum number of transactions per month or pay the non-pro data fee.