The First Law #idea
“This, too, must be tested.” –Dr. Niederhoffer The First Law. The Guiding Principle. –h
Month: January 2014
Market Data Spam Filter #idea
What does market data look like after you apply a spam filter to it? –h
The Real and The Imagined #idea
The most fascinating thing about counting and the markets is the difference between the real and the imagined. –h
Machine Learning with R #ideas
Machine Learning with R Every time I’ve applied Machine Learning, I end up curve fitting but I keep soldiering on expecting that sooner or later something will click. I loved Machine Learning with R which is full of examples and has a nice overview of the field. The snippet on comparing two variables using CrossTable() Read more about Machine Learning with R #ideas[…]
Are Two Edges Better Than One? #idea
Are Two (Uncorrelated) Edges Better Than One?* Our results pre- and post- Market Stress, our second edge: All Market Stress Change Avg 67.61 93.04 38% Std dev 1042.9 299.79 -71% llt (8640.00) (1000.00) -88% w/l ratio 0.83 0.65 -21% win pct 60% 78% 31% f 0.11 0.45 303% f$ 76591 2200 -97% z 2.32 2.22 Read more about Are Two Edges Better Than One? #idea[…]
Trade Tiers
Trade Tiers: Tier 1: Two or more independent edges, e.g., quant + Market Stress Tier 2: A single edge Tier 3: A seasonal –h