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Dec
1
awarded  Popular Question
Nov
24
awarded  Notable Question
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