SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 56 matches

by Richyiee
February 11th, 2011, 5:13 am
Forum: Trading Forum
Topic: Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years
Replies: 23
Views: 26191

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

<t>If i was getting done by slippage, i could alter the strategy so instead of buying at the next days open, i would set the order next morning at todays close, as todays close is on average 0.02% higher than next days open, i would on average loose that amount per trade by altering the strategy, bu...
by Richyiee
February 7th, 2011, 5:21 am
Forum: Trading Forum
Topic: Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years
Replies: 23
Views: 26191

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

<t>QuoteOriginally posted by: Gmike2000i am sorry, but if you roll your position every 3 days this means you do just over 80 "roundtrips" in one year and hence trading costs in terms of slippage, commissions, and bid-offer spread are going to have a material impact on the performance of what you eup...
by Richyiee
February 7th, 2011, 5:11 am
Forum: General Forum
Topic: Fx intraday historical data
Replies: 3
Views: 21095

Fx intraday historical data

i dont mind if i have to pay, thnx
by Richyiee
February 6th, 2011, 9:35 am
Forum: General Forum
Topic: Fx intraday historical data
Replies: 3
Views: 21095

Fx intraday historical data

hello , which dyou recommend for getting good fx historical data and live data feeds, its ok if its not free
by Richyiee
February 6th, 2011, 2:56 am
Forum: Technical Forum
Topic: Garch fitting in practice to obtain finish-level probabilities on indices
Replies: 4
Views: 20989

Garch fitting in practice to obtain finish-level probabilities on indices

you can still calculate probabilities directly tho ;p - number of intervals of event happening / total number of intervals
by Richyiee
February 5th, 2011, 3:25 pm
Forum: Technical Forum
Topic: Garch fitting in practice to obtain finish-level probabilities on indices
Replies: 4
Views: 20989

Garch fitting in practice to obtain finish-level probabilities on indices

why dont you just calculate probabilities directly ?for example the Dow index finishing above a given level = the number of days it finishes above certain level/total number of days
by Richyiee
February 5th, 2011, 12:17 pm
Forum: Trading Forum
Topic: Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years
Replies: 23
Views: 26191

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

oh right i thought he was with this "assuming the position" and "getting filled " talk
by Richyiee
February 5th, 2011, 3:53 am
Forum: Trading Forum
Topic: Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years
Replies: 23
Views: 26191

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

yes, next days open. Or most orders are able to get filled the next morning at todays close, although on average next days open is 0.002 lower than todays close so id be loosing a little bit of profits that way. btw are you making immature inuendos
by Richyiee
February 4th, 2011, 4:50 am
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39501

The problem with random walk theory

i refer you back to my post on 'Sun Jan 30, 11 10:26 AM'then what is the probability of this outcome given i have been trading randomly ?
by Richyiee
February 3rd, 2011, 1:07 pm
Forum: Off Topic
Topic: Which interpretation of quantum mechanics ?
Replies: 54
Views: 22402

Which interpretation of quantum mechanics ?

<r>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: RichyieeTransactional interpretationThe transactional interpretation of quantum mechanics (TIQM) by John G. Cramer is an interpretation of quantum mechanics inspired by the Wheeler?Feynman absorber theory.[15] It describes quantum in...
by Richyiee
February 3rd, 2011, 11:45 am
Forum: Off Topic
Topic: Which interpretation of quantum mechanics ?
Replies: 54
Views: 22402

Which interpretation of quantum mechanics ?

<t>Transactional interpretationThe transactional interpretation of quantum mechanics (TIQM) by John G. Cramer is an interpretation of quantum mechanics inspired by the Wheeler?Feynman absorber theory.[15] It describes quantum interactions in terms of a standing wave formed by retarded (forward-in-ti...
by Richyiee
February 3rd, 2011, 9:25 am
Forum: Off Topic
Topic: Which interpretation of quantum mechanics ?
Replies: 54
Views: 22402

Which interpretation of quantum mechanics ?

Which interpretation of quantum mechanics do you believe ?
by Richyiee
February 2nd, 2011, 3:03 am
Forum: Trading Forum
Topic: Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years
Replies: 23
Views: 26191

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

<t>its a long only strategy, i monitor and calculate likelihood of large set of "events", high probability events are traded. The "likelihood" of events will change through time, e.g some high probable events from say i = 1:400 may be less probable from i = 400 onwards, these changes are accounted f...
by Richyiee
February 2nd, 2011, 2:38 am
Forum: Off Topic
Topic: Time dilation
Replies: 86
Views: 22949

Time dilation

QuoteOriginally posted by: thedoc there IS such a thing as absolute acceleration (i.e. I CAN tell whether it's you or me who is accelerating).how dyou tell ?
by Richyiee
February 1st, 2011, 1:20 pm
Forum: Off Topic
Topic: Time dilation
Replies: 86
Views: 22949

Time dilation

if you only have two points of reference, the only meaningful measure is the distance between the two objects at each point in time, how can you say which is accelerating away from which when you only have a scaler measure
GZIP: On