meta user
network profile
| bio | website | dcook.org/work |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 6 months |
| seen | May 15 at 8:08 | |
| stats | profile views | 75 |
I'm director at QQ Trends, a company that solves difficult data and software challenges for our clients. (We often have freelance projects, so get in touch if interested.) (And, of course, please do get in touch if you have interesting challenges that you would like our world-class experts to work on!)
Typical work: doing fun stuff with data (fixing, mining, etc.), web sites (front and back-ends), trading strategies. Research: trading strategies, computer go, machine translation, understanding context, AI search algorithms. Languages: C++, PHP, R, javascript, and many more.
I'm British, living and working in Tokyo for 15+ years. Human Languages: English, Japanese (fairly fluent, 1 kyu), some German, Chinese and Arabic.
|
Nov 7 |
comment |
Generate tick data from candlestick @Freddy It was a real, commercial system, being used by real traders. Not my system, I was just dealing with it. That you won't become their customer has been noted :-) |
|
Nov 7 |
comment |
Generate tick data from candlestick @Freddy Read the first half again. Working with a system where I needed to backfill data but we only had 1 minute bars, not ticks. The system in question didn't allow importing bars, it only allowed importing ticks. |
|
Nov 7 |
comment |
Generate tick data from candlestick @Freddy Just to be clear, I personally always use real tick data when I want to backtest a tick stategy, and use bar data when I want to backtest a strategy that uses bars. I think we're in full agreement that it would be foolish to do otherwise. |
|
Nov 7 |
comment |
Generate tick data from candlestick @Freddy My answer shows the mechanics to answer the OP's question; that does not deserve a downvote. (Unless you are disagreeing with part of those mechanics, rather than just when you should apply them.) |
|
Nov 7 |
comment |
Generate tick data from candlestick @Freddy I was just answering the question that was asked. There are systems that are built around ticks; if you want to use those systems for a lower frequency strategy, and you only have bar data, then of course you have to convert the bars to ticks. As mentioned in the first half of my answer, when I've done this I've done it in such a way that makes it obvious to anyone looking at it that the ticks came from bars. |
|
Nov 7 |
comment |
Generate tick data from candlestick @Freddy I went to respond to why you might want to create ticks from bar data, but it got too long, so I posted a full answer :-) (But, I do agree with what you've written here.) |
|
Nov 7 |
answered | Generate tick data from candlestick |
|
Oct 27 |
awarded | Yearling |
|
Oct 5 |
awarded | Disciplined |
|
Oct 3 |
comment |
Government bonds with negative yield Regarding your second point, cash counts as an A1 asset too (assuming A1 == level 1 in the reference I found: "Level 1 assets are cash, certain government securities and other 0% risk-weighted assets under Basel II.") |
|
Sep 4 |
comment |
ROC: difference between discrete and continuous? Thanks, that is a very clear example. |
|
Sep 4 |
comment |
ROC: difference between discrete and continuous? BTW, re: PerformanceAnalytics, "most of the functions assume arithmetic returns". I now notice user508's comment at quant.stackexchange.com/a/1082/1587 says "PerformanceAnalytics defaults to log returns." :-( |
|
Sep 4 |
comment |
ROC: difference between discrete and continuous? Thanks Joshua. The article was also very useful in pointing out the terminology, which was where a lot of my confusion had come from! (discrete == simple == arithmetic) (continuous == log == geometric) |
|
Sep 3 |
asked | ROC: difference between discrete and continuous? |
|
Aug 22 |
comment |
Is this a common variation of sharpe ratio? Thanks; now I know what I'm looking for I see R also has functions for DownsideDeviation, SemiVariance, etc. I didn't ask in the other question as: a)it was off-topic; b) you'd already expressed your bias, and I wanted to hear arguments against ;-) |
|
Aug 22 |
comment |
Drawdown calculation for strategies @Freddy BTW, I started a question about your comment on Sharpe Ratio: quant.stackexchange.com/q/3986/1587 |
|
Aug 22 |
asked | Is this a common variation of sharpe ratio? |
|
Aug 15 |
revised |
portfolio optimisation with VaR (or CVaR) constraints Added link to the book referenced |
|
Aug 14 |
suggested | suggested edit on portfolio optimisation with VaR (or CVaR) constraints |
|
Aug 5 |
comment |
Why use a column database for tick/bar data? @JL344 Re the "Row-oriented databases just aren't designed to handle a huge number of tables as effectively as a huge number of rows in one table." comment, it seems this is a good point. MySQL uses one file per table, so it should be fairly unlimited. However see (serverfault.com/q/83438/87322) where meta queries can become notably slow once you have thousands of tables, apparently. (This is a MySQL bug that is fixable, rather than a flaw with the row-oriented concept.) |
