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seen Sep 29 '13 at 22:12

Oct
20
comment What is the denominator in calculating daily range as a percentage?
The open makes the most sense as a point of reference. If you observe the range over the last n days, then the open of the first day is the denominator. (Hi - Lo) / Open.
Oct
13
comment What is the denominator in calculating daily range as a percentage?
SRKX: The second method divides two numbers that are directly calculated. The first method takes those same numbers and adds a third number for which care must be taken that it is the correct one. The open 12-days ago, for an n=12 calculation, can be confused with 11 or 13 and then the calculation would be wrong. The second method adds complexity that is prone to OBO error.
Aug
27
comment What programming language is best suited for implementing DeMark?
I appreciate the pattern matching approach over iteration. This is what I was looking for. A 'different' way of conceptualizing problems. Thanks for the code. (which I still need to fully comprehend).
Aug
22
comment What programming language is best suited for implementing DeMark?
Readability is an important aspect of implementation, because it makes it easier to see if you have it right or not. Demark can get quite complex and nested if/else control flows can become Gordian. Thanks for the concept of 'pattern matching'. Can you show a code snippet of OCaml or F# similar to my R snippet?
Aug
17
comment What programming language is best suited for implementing DeMark?
I wouldn't touch Excel with a 10-foot algorithm. Also not adverse to becoming better acquainted with a tool (language) if it makes the job more funner. I would also think OO would be a bit verbose and ugly. But not convinced imperative trumps declarative. Or that functional wouldn't be a really good fit.
Jun
17
comment Who cares about autocorrelation?
Are error terms and residuals similar? As far the terms having significant autocorrelation, does that tell you that your model is naive or maybe you don't understand the problem sufficiently to create a model in the first place?
May
1
comment Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY)
@user508 I copied and pasted your correction into my answer. Thanks. Also, I checked it to make sure it's correct and it is.
Apr
21
comment How does return-based analysis calculate expected return of a trading system?
@glyphard, thanks
Apr
21
comment How does return-based analysis calculate expected return of a trading system?
@glyphard, please re-write your answer. Delete the first five paragraphs and express an equation that reflects what I think you are getting at in the comments. Thanks.
Apr
21
comment How does return-based analysis calculate expected return of a trading system?
@glyphard in my game function, you start with 100 and always end up with only 93.75 at the end of the game. It's not a mean calculation (geometric or arithmetic) but rather an illustration of a losing game. I got one possible way to determine expected return from actual returns here: en.wikipedia.org/wiki/Expected_return.
Apr
20
comment How does return-based analysis calculate expected return of a trading system?
@glyphard but that approach yields nonsense results, as shown in my answer. If it can't get it right with three trades, who knows what accumulated error you'll get after a few hundred trades.
Apr
19
comment How does return-based analysis calculate expected return of a trading system?
I get the winning trades vs losing trades metric, but that's the transaction-based analysis. The original question is "Does returns-based analysis calculate average positive daily returns, average negative daily returns and win/loss percentages in a manner similar to the transaction-based analysis?" This question is specific to returns-based analysis.
Apr
18
comment How does return-based analysis calculate expected return of a trading system?
What is the equation for taking daily returns and calculating expected return?
Apr
12
comment How to design a custom equity backtester?
have you decided what programming language you want to use?
Apr
12
comment How does return-based analysis calculate expected return of a trading system?
@RockScience I added an edit to the question to clarify that our example system generates signals daily.
Apr
12
comment How does return-based analysis calculate expected return of a trading system?
@fRed does viewing the exact same system over the same time frame as daily returns (and increasing your observations 100 fold) address those data mining worries (which I share)?
Mar
13
comment Does the gamma function have any application in quantitative finance?
Your second equation looks like the beta function, which now opens up some more things to ponder.
Mar
13
comment Does the gamma function have any application in quantitative finance?
Appreciate the link. Thank you.
Mar
13
comment Does the gamma function have any application in quantitative finance?
Thanks for the response. I thought it may come up in calculating half-life of a mean reverting spread, but couldn't find it there.
Feb
14
comment Correlation between prices or returns?
This blog post explains it well, and extra bonus points for using R. Thanks.