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by TraderWalrus
September 18th, 2023, 2:20 pm
Forum: Programming and Software Forum
Topic: Python frameworks for backtesting
Replies: 2
Views: 2712

Re: Python frameworks for backtesting

Hey TW. I get to survey Python backesting every now an then. But there is nothing super exciting out there. Several projects are not actively maintained and/or 1 man projects. Isn't it an hint that ... well... developing such tool is straightforward/fast, in which case one may be better off doing h...
by TraderWalrus
September 13th, 2023, 3:49 pm
Forum: Book And Research Paper Forum
Topic: How to read 101 Formulaic Alphas by Kakushadze?
Replies: 7
Views: 31282

Re: How to read 101 Formulaic Alphas by Kakushadze?

Hi guys,  I'm currently going through a paper titled " 101 Formulaic Alphas " by kakushadze but I don't know how to read the formulas. For example Alpha #41:  (((high * low) ^ 0.5) - vwap) So does it mean to take the square root of the product of the high price and low price for the day t...
by TraderWalrus
September 11th, 2023, 7:22 am
Forum: Programming and Software Forum
Topic: Python frameworks for backtesting
Replies: 2
Views: 2712

Python frameworks for backtesting

I want to move to Python for my backtesting and possibly auto trading as well. Considering leading frameworks. My requirements are: An open source project on Github Actively developed or at least actively supported with a large community Stable Flexible enough so I could easily implement processes s...
by TraderWalrus
October 27th, 2017, 4:05 am
Forum: General Forum
Topic: Splitting data according to distribution moments
Replies: 11
Views: 2613

Re: Splitting data according to distribution moments

Interesting. I would try your method on absolute returns and see how the splits aligns with other possibilities, like NBER business cycle dates for US data. You could also do a GARCH-type fit and compare with that. As a practical matter, subperiod means will be very hard to estimate, subperiod vari...
by TraderWalrus
October 27th, 2017, 2:59 am
Forum: General Forum
Topic: Splitting data according to distribution moments
Replies: 11
Views: 2613

Re: Splitting data according to distribution moments

Also, instead of modelling returns without any regard for returns in the preceding days you would need to model the dynamical state of the market because your trading system has memory: your trading rules depend on both your current positions -an accumulation of past trades- and perhaps actions tak...
by TraderWalrus
October 25th, 2017, 4:02 am
Forum: General Forum
Topic: Splitting data according to distribution moments
Replies: 11
Views: 2613

Re: Splitting data according to distribution moments

I am interested to take price (or rather, returns) data and divide it to n periods, according to distribution moments, in a way that will create the best separation. How do you approach that? what is the metric by which different classifications will be compared? what are you trying to accomplish? ...
by TraderWalrus
October 24th, 2017, 3:26 pm
Forum: General Forum
Topic: Splitting data according to distribution moments
Replies: 11
Views: 2613

Re: Splitting data according to distribution moments

When I use the position or index as a feature I do get something with K-Means. This however leads the algorithm to keep the certroids as far away from each other, dictating similar group sizes. Or perhaps the variation isn't very large in my data. Figure_1.png I am not familiar with the method you m...
by TraderWalrus
October 24th, 2017, 11:29 am
Forum: General Forum
Topic: Splitting data according to distribution moments
Replies: 11
Views: 2613

Re: Splitting data according to distribution moments

I am thinking k-means clustering.
by TraderWalrus
October 23rd, 2017, 4:24 pm
Forum: General Forum
Topic: Splitting data according to distribution moments
Replies: 11
Views: 2613

Splitting data according to distribution moments

I am interested to take price (or rather, returns) data and divide it to n periods, according to distribution moments, in a way that will create the best separation. How do you approach that?
by TraderWalrus
October 19th, 2017, 4:19 pm
Forum: Economics Forum
Topic: The question of low inflation
Replies: 14
Views: 6716

Re: The question of low inflation

Further views here: https://www.forbes.com/sites/vincentdeluard/2017/08/03/why-is-inflation-so-low-four-heterodox-explanations/#420808db740f The author gives four reasons for low inflation: - Demographic deflation: aging population has less reserves to spend. - Technological deflation: "hedonic...
by TraderWalrus
October 13th, 2017, 11:50 am
Forum: Economics Forum
Topic: The question of low inflation
Replies: 14
Views: 6716

Re: The question of low inflation

Yeah, I suspected you were just after I replied :-) If the Fed is clueless I guess there isn't a clear answer.  However it will be interesting to hear some opinions. Apart from from people saving more and spending less, another reason I can think of is that there is indeed increased spending but in ...
by TraderWalrus
October 12th, 2017, 3:20 pm
Forum: Economics Forum
Topic: The question of low inflation
Replies: 14
Views: 6716

Re: The question of low inflation

Is there a trivial answer then?
by TraderWalrus
October 12th, 2017, 9:05 am
Forum: Economics Forum
Topic: The question of low inflation
Replies: 14
Views: 6716

The question of low inflation

It has been reported for quite a while now, including in the recently published protocols, that the Fed is perplexed about inflation staying low despite unemployment figures going down, together with slow but steady climb in wages. How can it be explained? did Americans increase the portion they sav...
by TraderWalrus
October 9th, 2017, 6:40 am
Forum: General Forum
Topic: Weighted Monte Carlo
Replies: 14
Views: 2374

Re: Weighted Monte Carlo

According to what I've got so far, my rule to determine the size allocated to a system is based on the recent performance of the system on say the last 100 trades, with greater weight gradually given to more recent trades. Ideally re-evaluation should be done after every trade. Realistically, once a...
by TraderWalrus
October 5th, 2017, 4:15 am
Forum: General Forum
Topic: Transportation problems reducing income in an LBO target
Replies: 11
Views: 2253

Re: Transportation problems reducing income in an LBO target

Buy a few trucks. Rent a few more. That will at least help you with the negotiations with Botswana Railways. If you have no choice, why should they go down.
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