Hello and welcome to the party What distributed environment are you using? Hadoop? Your own? Any reason for protobuf? Have you investigated Thrift and Avro? How much data do you have?

Systematic trading

Here, an article about real order-flow trading and big boys. url

Domino's Price and order flow trading

Do you still detrend the data? I'm playing with spline smoothing, but for my low frequency system it's not really necessary yet. Do you use market regime in any quantitative way? I have a mean reversion system, but I take the market regime into ...

The Quantist

If market is extremly overbought according to your analysis and your mean-reversion algo enters it by selling, aren't you predicting that it will go down? I was just saying that technically speaking, when you put your money down on a trade, whatever ...

The Quantist

Give me a single example of a trade that doesn't involve a prediction of some kind - price up, price down, IV up, IV down, .... Give me an example of something you sell or something you buy, without a prediction behind it. Without an expectation ...

The Quantist

25k trades? predicted segments? Could you say over what time period you had the 25k samples? And what is your average trading frequency and holding period? What assets do you trade?

The Quantist

Could you please explain why the IDFT doesn't follow the price before the spike (the big gap)? Are you filtering/removing frequencies?

The Quantist

Banks routinely predict where the euro will be 6 months from now Just sayin... Anyway, we won't have to wait too long for the verification of this prediction.

The Quantist

All quants have a crystal ball eventually. After all, how could you trade without a prediction of some kind...

The Quantist

Like I said, I've browsed quite a lot of quant papers. I found some interesting nuggets along the way I'd be really interested in any opinion you might have on non-linear time frames. For others reading this, think of an M5 candle chart, but the ...

The Quantist

I understand why you say these things. It's the same reason I said mine - to open minds. 97% of retail traders lose. 99.9% of them use candles. 100% of the quant papers I've read don't use candles (maybe I'm interested only in the sub-fields which ...

The Quantist

mnikolic, I've seen that you are using FFT/wavelets. Have you ever used the Hilbert-Huang Transform, if you are familiar with it?

The Quantist

[quote=Ipso;3631121] You see, I knew that somebody will say that the information in that particular article is not appropiate for candlestick display. But like I've said, in tens on articles, NOT EVEN ONE used candlesticks. And some were analyzing ...

The Quantist

Could you explain why? I think it's because it's hard to analyze 4 data streams at once (O H L C) which in fact are derived measures from the same single price stream. Please correct me if I'm wrong, or list additional motives.

The Quantist

I have browsed through tens of quant papers. Not even one graph in them was done using candlesticks. All were continuous lines. Example: url

The Quantist

So, what does the current order-flow on EUR/USD tell you guys.

Domino's Price and order flow trading

This book has a whole chapter on how reliable filtering it's really done: url Hint: it's a very complicated problem to do fully automatically. But they do provide all the information you need to implement it.

Chart spike filter?

One of the best signs a trader didn't understood the basics yet is believing that FIFO makes certain "hedging" strategies impossible. But someone can be very successful even without knowing the basic mechanics. You are living proof of that

MT5 and forward???

There is some info on the blog: url But the charts there don't look very "quanty". Quants don't use candlesticks. You are also an introductory broker to Dukascopy, as evidenced by a link on your site: url

The Quantist

I think you can increase the radomness percent to 99.9999% or even more. url To simulate a random walk you don't need the best random number generator in the universe.

S/R and TL on Randomized Price Movement