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  • 0 posts edited
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  • 24 votes cast
Sep
17
comment How should I include the bid-ask spread as a transaction cost in a backtest?
After receiving a signal from daily close data the earliest opportunity to open a trade would be the following day's open. Why is it "common practice" to use the following day's close? This implies that one waits a whole trading session before acting on the signal.
Jul
12
answered Are there any standard techniques for adding realistic synthetic microstructure noise to a price series?
Jul
6
answered Why is the Drawdown measure not used for portfolio optimization?
Apr
25
comment Why in general is the variance of volume changes higher than variance of price changes?
Accepting that this is true would the implication be that indicators that combine price and volume, such as OBV, money flow index etc. are fundamentally flawed?
Apr
25
answered Entry and exit points for very short mean-reverting timeseries
Apr
11
revised Tests that any system must pass to be taken seriously
Added new idea
Apr
11
revised Tests that any system must pass to be taken seriously
added further information, with link.
Apr
11
answered Tests that any system must pass to be taken seriously
Apr
3
answered Is there a charting API which allows to replicate Bloomberg chart tool features?
Mar
9
answered Literature on generating synthetic time series for testing
Mar
1
answered How to fit probability density function from sample moments?
Feb
8
awarded  Yearling
Jan
11
answered What C++ math libraries are typically used by quants?
Jan
3
revised How to generate a random price series with a specified range and correlation with an actual price?
added some code examples
Jan
3
answered How to generate a random price series with a specified range and correlation with an actual price?
Dec
20
comment Time series price prediction and linear regression: using high/low rather than last quotes price
@TalFishman Could you supply a reference for the approximate VWAP formula you give in this answer?
Nov
29
comment How to generate a random price series with a specified range and correlation with an actual price?
This is such an intriguing approach that I may "knock up" some Octave code on my blog and post a link to it from here.
Nov
29
comment How to generate a random price series with a specified range and correlation with an actual price?
Interesting link! I theorise that one way it could be done is to apply a Fast Fourier Transform (e.g. FFT function in Octave/MATLAB) to the original series, then divide the resulting vector into segments and within each separate segment randomly permute the values, and finally reconstruct the time series by applying the Inverse Fast Fourier Transform (IFFT function). By randomly permuting the values you will not alter the amplitudes of the composite sine waves but will slightly alter their periodicity - this will naturally tend to restrict the range of the new series to that of the original.
Nov
29
answered How to generate a random price series with a specified range and correlation with an actual price?
Oct
30
answered Evaluating automated trading strategies: accepted practice