Thanks for posting the spreadsheet. There are some good references there, especially on forecasting. Nice one!

<t>Yes, I've been doing quite a lot of SSA of late.For those who haven't seen it before, the technique involves performing a PCA over lagged values of a time series. Each eigenvalue/eigenvector pair will represent a trend or cyclic component, from most significant to least. The nice thing is that al...

<t>Interesting ideas Z060049. Be sure do some research and let us know what you find From past experience, don't be afraid to do lots of quick slicing and dicing of data in Excel before you invest your valuable time building overly complicated C++ (etc) models or money on expensive trading software....

<r>This does happen but it is usually already arbitraged by the big players, leaving little left at the retail level.A good example goes as follows - Australia plays England in the cricket. An informed and unbiased expert may assess there is a 50-50 chance of either side winning (assuming that the g...

<t>In the US you usually have the choice of 'per share' or 'fixed percent' for equity brokerage. It may make sense to use 'per share' trade shares with high value. Most other equity exchanges use fixed percent brokerage. Most have a minimum brokerage. At a retail level brokerages of 4-10bp per side ...

<t>Take a look at Ward's Neuroshell product. They have spent about 20 years developing ANN modelling tools specifically for financial prediction. By default they use a backprop ANN with 10 neurons (in a single hidden layer) to predict the % price change 10 bars ahead. These neurons use a sigmoid act...

<t>You could try any of the methods you have outlined. Most of the strategies fall into the category of momentum (because it has started moving one direction it is more likely to keep moving that direction) or mean reversion strategies (because it has moved in one direction then it is likely to retu...

<r>Get yourself a copy of one of these books -<AMAZON id="0471460672" tld="uk" url="http://www.amazon.co.uk/Pairs-Trading-Quantitative-Methods-Analysis/dp/0471460672orhttp://www.amazon.co.uk/Alpha-Trading-Profitable-Strategies-Directional/dp/0470529741There"><URL url="http://www.amazon.co.uk/Pairs-T...

<t>A good explanation.Another way of looking at this is that the AUD is considered a risk currency and a commodity currency. Generally when the market has an appetite for risk the AUD will strengthen and similarly when the market expects global growth (using commodities) the AUD will also strengthen...

<t>Be really careful when discussing and comparing Sharpe Ratios as while everyone says they know exactly what it means there are actually various different flavours. You'll see lots of variations in trading programs too.For example the excess return and standard deviation may be measured month-on-m...

<t>I suspect that there are many ways of doing this.By AI, I wouldn't get too hung up on Genetic Programming. Perhaps take a look at Neural Nets, SVMs etc.One way you may find success is to implement a very simple trading strategy, for example a Bollinger Band mean-reversion strategy. Then choose to...

<r>I'm not sure there is an easy answer for this. However -1) Generally trading models that involve finding many parameters by regression fail miserably out-of-sample.2) I'd refer you to one of the following books which I have found valuable.<AMAZON id="0470529741" tld="uk" url="http://www.amazon.co...

Trade it on a demo account. You'll be surprised how different demo account trading is to backtesting. If you're not completely dismayed by this experience then try real account trading for small sized contracts. Once again this is another kettle of fish.Best of luck with it!

Sadly not. It's a bit of a slog and quite mathematical. There is a tool named Neuroshell Trader which automates a one flavour of this, but you still need to configure it which once again is a bit of a dark art.www.neuroshell.com

The spreads on the property based CFD/spread bets are quite prohibitive.