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- babelproofre replied Apr 8, 2020
Are you 100% sure about that? 'All positions on your account at the end of each trading day (5pm ET)' would seem pretty explicit about open positions at 5pm ET and not any position that had been open in the previous 24 hours but closed by 5pm ET. ...
- babelproofre replied Apr 7, 2020
Just happened on the end of this thread while looking for something else and was surprised by complaints about financing rates. Have any of the complainers actually read the .pdfs for each instrument? I quote: "All positions on your account at the ...
- babelproofre replied Feb 9, 2016
On the matter of data mining bias, I'd like to draw the board's attention to url and a blog about it here -> url . It would seem that this approach would be a valuable tool to have.
- babelproofre replied Nov 9, 2015
I am pleased that this thread has now moved on to NN as this is an area I am particular interested in. As a hopefully useful contribution I would draw readers' attention to url where a pdf file is available with some really useful tips with regard ...
- babelproofre replied Sep 16, 2015
A quite simple introduction to the idea of DMB tests is summarized at url The tests alluded to in previous posts are closest to the test called "method 3" in the link.
- babelproofre replied Jun 22, 2015
Starting from page 33, some more good reading on data mining bias url
- babelproofre replied Jun 18, 2015
A good read on testing for data mining bias here:- url
- babelproofre replied Jun 11, 2015
Well, it would depend on what you want to test, but generally a bootstrap with replacement would be used to measure the variability of a statistic of interest, e.g. confidence intervals. See url for a more detailed description.
- babelproofre replied Jun 10, 2015
Imagine a bag with 1000 marbles in it, where each marble is a single return. Bootstrap with replacement is taking one marble out, recording its value, and then putting it back in the bag, and repeating this another 999 times. Random permutation is ...
- babelproofre replied Jun 8, 2015
An interesting online article here: url ; substitute data mining bias for correlation it then shows how difficult things can be when trying to account for it.
- babelproofre replied May 31, 2015
PipMeUp asked Well, the two offered by Aronson in his book are: The expected return from a "best performing system" equals zero The "best performing system" is devoid of predictive power, i.e. is randomly correlated with future market behaviour ...
- babelproofre replied May 24, 2015
Because somehow I can't upload images to the forum and I don't want to hijack this thread, I have written a short post about data mining bias on my my blog at url . I hope readers find it interesting.
- babelproofre replied May 21, 2015
I have created a repo on Github at url with MATLAB/Octave code for various data snooping tests, as well as uploading some academic papers on the subject.
- babelproofre replied May 21, 2015
Rather than go on a lengthy exposition about the tests, I would refer you to my earlier links and also add White's original paper, url , and the R ttr-tests package url which implements it as well as some other tests. I also have some zipped ...
- babelproofre replied May 21, 2015
Conduct a White's Reality Check test and a Monte Carlo Permutation test, both of which are explained in this book - url and companion website here - url Basically what you would do is detrend and randomly re-order your time series data set and ...
- babelproofre replied May 20, 2015
A very interesting thread, which I have just spent the last few hours reading. I particularly like the move to hourly bars to avoid the complications of being limited by the constraints of daily bars. Also, the idea of using excursions from the open ...
- babelproofre replied Mar 29, 2012
Octave/matlab code for Kalman Filter — v.anandv I know it's a bit late for this thread, but I have just posted some Octave code for the application of a Kalman filter to price action on my blog here url
- babelproofre replied Jan 26, 2012
Testing of the Delta Phenomenon — Have just come across this thread as I did an url search on DP and this thread was the third hit. I did the search as in the very near future I plan to conduct proper tests of the DP. By proper tests I mean ...
- babelproofre replied Jul 5, 2011
Recursive algorithm C++ DLL — I have finally managed to solve my problem and I provide the code in the hope that others may find it useful. I wanted to learn how to create a C++ DLL because I have C++ codes that I want to use, but which make ...
- babelproofre replied Jun 29, 2011
I am just starting to learn how to write C++ DLLs for Metatrader 4 and I have written a simple practice DLL, which is called thus: //+------------------------------------------------------------------+ //| mySMA10.mq4 | //| //| | ...
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