A paper called Stock Picking via Nonsymmetrically Pruned Binary Decision Trees by Anton V. Andriyashin discusses a method for picking stocks for inclusion in a portfolio. By integrating technical analysis with binary decision trees, the author indicates that "BNS clearly outperforms the traditional approach according to the backtesting results and the Diebold-Mariano test for statistical significance", where BNS is Best Node Strategy. David Aronson of Evidence Based Technical Analysis fame may call the use of some the technical indicators as 'so much snake oil', the paper, at its heart, does describe a methodology for selecting a potentially profitable portfolio if one can use alternate forms of trading signals. Continue reading "Decision Trees, Automated Trading, Simulations,..." »
Saturday, May 31. 2008
Decision Trees, Automated Trading, Simulations, and Strategies
The Joy of Volatility
I initially had this embedded in my follow on article, but I think the information in this paper bears further scrutiny and testing, in regards to what could be classified as what I think is called pairs trading. I guess the secret is in the selection of the pairs. Continue reading "The Joy of Volatility" »
Thursday, May 29. 2008
Evaluating Inter-Process Communication Frameworks
I'm reposting some comments regarding IPC frameworks that I made to the Boost-Users listserve today. It is in response to someone making unsubstantiated remarks regarding the relative merits of ACE and Boost, and another looking for some substatiated remarks. What follows are some substantiated remarks, based upon my personal experience with it and several other libraries. Continue reading "Evaluating Inter-Process Communication Frameworks" »
Wednesday, May 28. 2008
Put Me To Sleep Reading Material
Someone in some data provider's forum was making mention of doing order flow analysis in Excel through Interactive Brokers, and the person felt that they weren't getting enough data. Which is true, Interactive Brokers sends data based upon what is necessary for someone viewing a screen, not based upon some automated data hungry automaton looking to crunch full data feeds. Continue reading "Put Me To Sleep Reading Material" »
Sunday, May 25. 2008
A Keyword Matching Algorithm
There are a number of well known algorithms out there for taking in a set of keywords and matching them against test. Aho and Corasick comes to mind, as does the Wu Manber algorithm (the latter I've implemented, and the code resides elsewhere on this site).
For another project, I didn't need something quite so fancy. Actually two projects come to mind. One is that I have a input comma separated value file which includes stock symbols, a description, and the associated exchange. I wanted to keep statitics on what is read in on an exchange basis. My first kick at the can on this was to implement a string look up table using
Friday, May 23. 2008
A Half Hearted Day
Last night I got some chart software programming accomplished. I can now see bars, trades and quotes. Over the weekend my task to get some indicators on to them, particularily pivots, Bollinger Bands of two or three different time frames, volume historgrams, and a zig zag indicator. A little further down the road, the zig zag indicator will be used for 'snapping' trend/support/resistance lines in to place to help solidify some chart patterns. Continue reading "A Half Hearted Day" »
RCF - Interprocess Communications for C++
For a couple of distributed computing projects, I've been trying to come up with a feasible and easy to use method for making applications talk to each other, whether they be on the same machine or across a network. Continue reading "RCF - Interprocess Communications for C++" »
Thursday, May 22. 2008
Trading Notes: 2008/05/22
I've been trading most days during the month of May. I've been using Interactive Brokers as a broker, and have been using their BookTrader to execute my trades. Regarding things I've learned while using the BookTrader, I'll leave that for another post. Continue reading "Trading Notes: 2008/05/22" »
Wednesday, May 21. 2008
Confusion by Committee
In reading Rob Weir's An Antic Dispoition blog today, he has a very cogent observation regarding committees: Continue reading "Confusion by Committee" »
Monday, May 5. 2008
Reducing Traffic on High Cost Inter-ISP Links
AquaLab has released an open source plugin for BitTorrent clients, specifically Azureus. AquaLab's Ono Plugin's "main goal of this plugin is simple -- to improve download speeds for your BitTorrent client. " Continue reading "Reducing Traffic on High Cost Inter-ISP Links" »
Saturday, May 3. 2008
Multi Touch Screens
In a recent issue of Technology Review, there is an article regarding Open Source Multi Touch Displays. Continue reading "Multi Touch Screens" »