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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 approved 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.)
Aug
5
comment Why use a column database for tick/bar data?
@JL344 One table per symbol of OHLCV data in a row-oriented DB is very different from the column-oriented DB. In the former they are are stored in row order; in the latter they are stored in column order. In the former appending a new row requires appending, say, 44 bytes, to a single file; in the later it requires appending 8-12 bytes to each of 5 separate disk files. That is their advantage; the gist of Q1 and Q2 is for this usage scenario do column-oriented DBs bring any other advantage?
Aug
5
comment Why use a column database for tick/bar data?
@JL344 You didn't mention the row-oriented approach of one table per symbol (see the UPDATE in my question). Is there a reason people are not using that approach?
Aug
3
comment Why use a column database for tick/bar data?
@Freddy Thanks for the update, sorry I only just saw it. It sounds like you are confusing NoSQL DBs (which, to me, means MongoDB, CouchDB, Cassandra, Redis, etc.) with column-oriented databases? Or do you regard them all as NoSQL solutions?