scientific-traders at Yahoo! Groups

Re: IS and OOS processing and optimization speed-up?

Leon Levinov — Sun, 25 Oct 2009 08:43:44 GMT

Hi Jeff, Thank you for prompt answer, will try your solution with the calc_stats(). Regarding IS and OOS optimization etc. What I do - I do optimization IS,

Re: Real time trading with Interactive Brokers

Jeffrey Owen Katz — Sat, 24 Oct 2009 08:45:43 GMT

Hi, You are absolutely correct: you need to test systems "live" in the market; simulations are not the same thing at all. I would add that this is especially

Re: IS and OOS processing and optimization speed-up?

Jeffrey Owen Katz — Sat, 24 Oct 2009 07:01:21 GMT

Hi, Replace the default fitness function in calc_stats() with one that only looks at the in-sample data. Then, use setdates command to set up a in-sample start

IS and OOS processing and optimization speed-up?

LeonL — Fri, 23 Oct 2009 12:02:26 GMT

Hi, It seems that during the optimization the trades simulation and calculations are performed both on in-sample and out-of-sample data. Since I use IS and OOS

Re: intraday data

Jeffrey Owen Katz — Sun, 18 Oct 2009 08:10:48 GMT

Hi, The throttling is no problem, as one can collect the data in several passes with a few minutes between them. In fact, this method is implemented in

Re: having intraday data conversion problem

Jeffrey Owen Katz — Sun, 18 Oct 2009 08:06:46 GMT

Hi, The last valid bars are indeed used to fill missing bars. However, filled (as opposed to real) bars are marked by having volumes of exactly 0.0; valid

Hey, I found something interesting.....

Cycles Studies — Fri, 16 Oct 2009 14:19:09 GMT

Maybe this 2012 stuff is of some interest to members of our group. Mayans, Hopis, even Nostradamus have some sort of prophecy pertaining to 2012. Just

Re: intraday data

Marc K — Wed, 14 Oct 2009 14:31:28 GMT

Thanks, Marc ... From: weitau Subject: [scientific-traders] Re: intraday data To: scientific-traders@yahoogroups.com Date: Wednesday,

Re: intraday data

weitau — Wed, 14 Oct 2009 02:16:33 GMT

http://pitrading.com/historical_data.htm

intraday data

yellowishsubmarine — Wed, 14 Oct 2009 00:28:16 GMT

Does anyone have advice on getting historical intraday data at a reasonable price to use with C-trader? I'm looking for 2 to 4 years of S&P 500 data with 5 or

Re: having intraday data conversion problem

Leon Levinov — Tue, 13 Oct 2009 18:10:09 GMT

Hi Nick, Right on target! The problem arose since I used the CSV file with the dates and time that are correct and no need for daylight saving time

Re: having intraday data conversion problem

weitau — Tue, 13 Oct 2009 14:15:55 GMT

I've noticed the same data shifting problem with 1 minute bars as well. However since all the data was shifted by the same amount, we ignored it. Another

Re: having intraday data conversion problem

Nick Fairbank — Tue, 13 Oct 2009 12:45:45 GMT

Hi Leon, First thought - is it something to do with the 'corrections' which Jeff has included for IB data in respect of time-zones and summer-time (American:

having intraday data conversion problem

LeonL — Tue, 13 Oct 2009 12:32:20 GMT

Hi, Have anybody come across the same problem? I am working with intraday stock data. Recently I have discovered a problem in the data that is converted into

Re: Real time trading with Interactive Brokers

Richard Foulk — Fri, 02 Oct 2009 10:36:13 GMT

Hi Jeff, I messed with this a few years ago, both my own code and connector packages sold by others. The biggest problem is testing. You have to place real