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visits member for 3 years, 8 months
seen Sep 27 at 14:47

Apr
13
comment How does return-based analysis calculate expected return of a trading system?
@RockScience. The tests are a Monte Carlo permutation test and a bootstrap test on detrended returns.
Apr
12
comment How does return-based analysis calculate expected return of a trading system?
With regard to concerns over data mining, it would be trivially simple to apply the tests outlined in Aronson's book, "Evidence Based Technical Analysis," to the above posited system to determine the extent to which data mining bias has an influence on the system's returns.
Apr
8
answered Any known bugs with Yahoo Finance adjusted close data ?
Apr
3
comment Trading C++ Libraries
The OP wanted "some of the functions that would be used in developing a trading strategy." Although I cannot quote any evidence in support, I am pretty sure that the tools of technical analysis are/can be used in developing such strategies. As to whether TAlib is written in C or C++, well I stand corrected.
Apr
1
answered Trading C++ Libraries
Mar
29
answered How to design a custom equity backtester?
Mar
17
awarded  Student
Mar
17
asked What should be considered when selecting a windowing function when smoothing a time series?
Feb
15
answered Digital Signal Processing in Trading
Feb
10
awarded  Teacher
Feb
10
answered How to estimate the probability of drawdown / ruin?
Feb
8
awarded  Supporter
Feb
8
comment What concepts are the most dangerous ones in quantitative finance work?
I remember reading somewhere a comment that seeking non correlation is a complete waste of time; you want all your strategies to be 100 % correlated to a exponentially rising equity curve.