PureBytes Links
Trading Reference Links
|
No, I haven't tried CSI data. I use Reuters for EOD and Esignal for
intraday. It's the esignal data I have the most trouble with. It's
really dirty data and they make no apparent effort to clean it up.
Every once-in-a-while it blows up one of my systems because it wasn't
adjusted for splits or has bad ticks in it. Very frustrating.
Reuters just came out with intraday data based on an acquisition they
made. It's much cleaner. However, it costs more and there are a few
other issues like having to type a country code in front of every
symbol. There's going to be a lot of labor in converting over.
I use some complex signal analysis formulas and a bit of time series
mathematics in a few of my systems.
I partially agree with what you said about signal processing. However,
many of the equations used for smoothing are reasonably effective when
applied to market data. These aren't the "grail" by any means, but
they do work consistently well.
Adaptive tools, in general, do test out a bit better than non-adaptive
tools. However, in reality I'm not sure they're going to beat a couple
of moving averages in live trading. I use several adaptive tools and
feel comfortable with them and the concepts behind them. Kaufman got
me started in that direction.
Basically, engineering mathematics applied to the markets has produced
a few new tools and with some careful application, those tools are
pretty good. I see too many engineers who think they're going to rule
the world of trading with some gee whiz equations. They are the
hardest to explain anything too. They think they're smarter than the
rest of us pumpkins. (I have an engineering degree, a math degree and
an MBA, none of which makes a bit of difference in the world of
trading.) Since it's not my money, I just wish them well.
Don't give up on the signal processing tools completely. Read Ehers
books and think about some of what he is doing. You might like it.
--- In Metastockusers@xxxxxxxxxxxxxxx, "jawjahtek" <jawjahtek@xxxx> wrote:
> Random question and comment:
>
> 1. Superfragalist, have you tried CSI data (assuming you use EOD data)?
> There is no such thing as a good data provider, but at least CSI is
> honest and up front about continually cleaning their data AND telling
> users what errors were made. If you use intraday data, I can see how
> you have been hosed. The only option that I have seen is to match the
> professional set ups: use multiple intraday suppliers.
>
> 2. While I wish the developers of the new adaptive tools all of the
> luck in the world, I don't believe that ANY application of
> Communications (Signal) theory can be successfully applied to price
> data. In academic terms, these theories require Stationarity. In
> layman's terms, this means that the theories require a constant range
> of frequencies (cycle) and phases (time lag). Unfortunately, historical
> price data tells us nothing about the future prices' frequency and
> phase.
>
> Statistician's definition of Stationarity: a statistical name for
> expressing degrees of invariance in the properties of random functions;
> it refers to the statistical model, and not to the data. Most commonly
> used to indicate invariance in the mean and variance, but also in the
> variance of first differences.
>
> I am an Electrical Engineer. Although EEs use the concept of
> Stationarity, its meaning is slighly different in engineering.
> Engineers agree with Mark Twain: there are lies, damn lies, and then
> there is statistics.
>
> I will try the free trial, but I already know that the holy grail does
> not (and cannot) exist.
>
>
> jawjahtek
>
>
>
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "superfragalist" <jackolso@xxxx>
> wrote:
> > Well, I've got all those IVs hung off my wallet also. Reuters at least
> > cleans their data, which esignal doesn't do. In fact, esignal can't
> > even adjust for splits.
> >
> > I didn't know netflix had DVDs on trading. I've just been trading DVDs
> > with them.
> >
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/Metastockusers/
<*> To unsubscribe from this group, send an email to:
Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|