576 reputation
515
bio website moderntoolmaking.blogspot.com
location San Francisco, CA
age 28
visits member for 3 years, 7 months
seen Feb 24 at 14:18

Sep
23
comment How to assign equity analyst recommendations to a common, numeric scale?
Go to finance.yahoo.com and search for MSFT. In the left bar, click on "Analyst Opinion," and then click on "More Upgrades and Downgrades"
Sep
23
comment How to assign equity analyst recommendations to a common, numeric scale?
Look at this link: finance.yahoo.com/q/ud?s=MSFT date 11-Feb-08
Sep
23
comment How to assign equity analyst recommendations to a common, numeric scale?
Where do recommendations like "Sector Perform" and "Sector Underperform" fit on this 5 point scale?
Aug
18
comment How do I replicate John Hussman's recession forecasting methodology?
Also, I already have a yield curve variable: 3 month vs 10yr treasuries. How much of an improvement would your yield curve variable provide (2yr vs 10yr)? Why look at just the upper portion of the yield curve, rather than the whole thing?
Aug
18
comment How do I replicate John Hussman's recession forecasting methodology?
What does CMT stand for again?
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
Thanks for the 3 month vs 3 year tip, that is clearly a mistake on my part. Any advice on re-creating the commercial paper index, using the new Financial/Non Financial commercial paper indices? Thanks for the advice.
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
@sheegaon: Of course, thanks.
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
@sheegaon: I first wanted to make sure I was using the correct data. For example, when he says "commercial paper" is "3-Month AA Financial Commercial Paper Rate" from FRED what I'm looking for?
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
"I won't be too religious about actual figures like '1.3%'": Right now I'm trying to replicate John Hussman's methodology. Once I have that figured out, I'm planning to calibrate my own model.
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
What are CP markets?
Aug
9
comment How do I replicate John Hussman's recession forecasting methodology?
@Quant Guy: Could you link to some data sources for those indicators? Primarily the 1st two: leading economic indicators and credit spreads for high grade vs investment grade firms. I think I can find my own data for industrial production and commodity prices (but I welcome direction there too!).
Jul
28
comment Free paper trading site with an API
Great, thank you.
Jul
27
comment Free paper trading site with an API
How much trading do you need to do to get the fees waived?
Jul
19
comment Free paper trading site with an API
I actually based my request off Collective2... their web API is great, but I just wish it was free. Out of curiosity, have you used their site for automatic execution at a brokerage? I was thinking of setting up something like this: My Model -> Collective2 -> Interactive Brokers, and was wondering how well that would work for autotrading. I could of course connect my model directly to the IB API, but it looks like that's a pain to configure. How easy is Collective2 to use?
Jul
18
comment Free paper trading site with an API
Unfortunately, Tradery doesn't have an API for their virtual accounts.
Jul
12
comment Any known bugs with Yahoo Finance adjusted close data ?
The quantmod function adjustOHLC() can calculate correct adjust prices, using dividend and adjustment data from yahoo.
Jun
2
comment How to simulate slippage
Thanks for the detailed response! I don't think I'm quiet at the point to justify paying for higher frequency data. I've got a model I'm back-testing using free daily OLHC data, and I'm trying to figure out how accurately I can simulate trading, given these constraints. Currently, I'm probably looking to make about 1 trade per week at very low volume, so execution automation isn't a high priority for me.
May
23
comment Free intra-day equity data source
@Joshua Ulrich: What kind of account fees do they have? Do I have to pay anything, or could I just park $5000 in some kind of money market account?
Apr
28
comment Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY)
Thanks for the information. Which type of returns does PerformanceAnalytics expect when calculating things like sharpe ratio or charting equity?
Apr
27
comment Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY)
What I want to do is generate a series of returns that I can modify with a simple -1/1 trading system, and then pass to PerformanceAnalytics::charts.PerformanceSummary to plot my equity, returns, and drawdowns.