Zach

556 reputation

311

bio	website	moderntoolmaking.blogspot.com
	location	San Francisco, CA
	age	26
visits	member for	2 years, 2 months
	seen	May 18 at 21:10
stats	profile views	48

I'm a data hacker! http://www.kaggle.com/users/6696/zach

	556 reputation	bio	website	moderntoolmaking.blogspot.com	visits	member for	2 years, 2 months
311 badges		location	San Francisco, CA		seen	May 18 at 21:10

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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.