by Talaikis | Feb 9, 2016 | Investing

As I mentioned previously, due to performance issues I've switched from MySQL to MongoDB. Now instead of running script for 4 days it seems read half gigabyte of hst files in one night with one instance. Other pro is that MongoDB in comparison doesn't overload disk...
by Talaikis | Feb 7, 2016 | Investing

I want to use history and live Metatrader data without this outdated platform itself. Previously I've tried to use MT4 capabilities, but when platform is not responding for days when exporting entire history it's not very good. It can be made more efficient, but still...
by Talaikis | Feb 2, 2016 | Investing

Let's make our latest Student's T-distribution Monte Carlo as price path forecaster. First we'll generate enough of random paths based on standard distribution with specified drift and volatility and then take their average as the forecasted price. As I want to...
by Talaikis | Jan 31, 2016 | Investing

HAR-RV ("Heterogeneous AutoRegressive model fro Realized Volatility") is pretty simple model based on the so called “Heterogeneous Market Hypothesis” which states that financial markets move as an interaction of market players acting at different frequencies (like,...
by Talaikis | Jan 29, 2016 | Investing

A quick remake of simple Monte Carlo for binaries as I was interested whether so called "81% payout" wasn't calculated all the risks for the house (dealer). So, let's say I have proven method ("advantage"/ "edge") to win 55% of the time, and I want to calculate how...
by Talaikis | Jan 28, 2016 | Investing

OK, I'm again with more complex beast for advantage exploring. The purpose of previous simple Monte Carlo and this one is to try to asses risks of advantage. Let's say, we have some strategy which gives 55% win rate, but we don't know exactly how much those wins (and...
by Talaikis | Jan 23, 2016 | Investing

Following script tests information advantage in trading (measured by win rate). You set initial capital, risk amount, win rate and how many paths to simulate. I've made it for purpose of evaluating strategies risks. Also note, it's very basic, I assume random number...
by Talaikis | Jan 23, 2016 | Investing

Few weeks ago when talking with one trader showing countless retrospective support and resistance lines on his chart, I gave him one chart and asked to draw support and resistance levels there. He said he can clearly see "key" supports or resistances like: To be...
by Talaikis | Jan 21, 2016 | Investing

Following Python code uses scipy fit function for generalized extreme value distribution. What it does? It calls for MySQL data, converts from pandas to numpy array, searches for distribution, lists sorted results like: Python 1: nakagami, MLE: -inf 2: vonmises, MLE:...
by Talaikis | Jan 21, 2016 | Investing

Pictures are worth thousand words, and as an addition to actively updated Shiller's P/E10 data, below is a simple chart showing relationship between monthly Shiller's P/E10 (lagged by 1 month) and S&P500 monthly returns: And rolling 10-month correlation between:...