11

Sniffing (or stalking) algo indeed detects other algorithms. How does that work in practice? Imagine the order book for a particular equity is: Bid 1 = 99 (size 10,000), Bid 2 = 98 (size 25,000), Bid 3 = 97 (size 30,000), Offer 1 = 101 (size 10,000), Offer 2 = 102 (size 25,000), Offer 3 = 103 (size 30,000). So in the example above, the bids and offers are ...


2

It only means that the directions of future movements of stock prices are impossible to forecast. For a more mathematical explanation, consider this document.


1

It's normal that it takes very long to come close to the efficient frontier with random portfolios. How close you come how fast will be strongly influenced by how you sample the portfolios. In your code, you sample uniformly. You may want to look at the weight distributions of the portfolios on the frontier, and then consider how likely it is that you arrive ...


1

DCF analysis: future values of dividends discounted to today's dollars Comparable company analysis: relative value based on peer group ratios: P/E, P/sales, P/active_user, P/EV, P/TAM for SPACs or ventures Terminal value: total value of assets sold minus liabilities paid For more details, see Company Valuation Methods by Pablo Fernandez


1

Fix the RNG (random number generator)'s seed. This article from sharpsightlabs.com is accessible and illuminating.


1

Depends on what factors you are considering. Things like momentum can be calibrated daily. For Factors like value, it may be a good idea to calibrate monthly.


1

I tried with AlphaVantage in early 2020 for international stock data. The quality is poor vs the US data. (ok, if you are just trading the biggest 20 stocks in the market, it is probably fine. But if you want to go mid to small cap....). In fact, the errors that I have spotted are exactly the same as the errors pulled from yahoo finance. They might have or ...


1

There are many (hundreds?) of ways to get historical equity data online, both free and paid. Check out the "What data sources are available online?" megathread: What data sources are available online? I have my own data service I just started, https://tendollardata.com, that I really do think is worth checking. I write out why in that thread (https:...


1

I really suggest buying the data (from the vendors listed on the megathread What data sources are available online?, or mine https://tendollardata.com/product/historical-minute-data-historical-intraday-data-dataset-all-us-equities-etfs-sp-500-tech-stocks/). I wasted years of my life extracting data. It's not worth the upkeep. If you really are allergic to ...


Only top voted, non community-wiki answers of a minimum length are eligible