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Search: Posts Made By: ajespy
Forum: Trading Journals August 11th, 2013, 05:41 AM
Replies: 16
Views: 3,141
Posted By ajespy
Hey Strato, That is an interesting idea. Let's...

Hey Strato,
That is an interesting idea. Let's see if I have it right.
1 - classify each possible event using a NN, something like a k nearest neighbour.
2 - feed that classification into the...
Forum: Trading Journals May 23rd, 2013, 08:15 AM
Replies: 16
Views: 3,141
Posted By ajespy
As I have refined the outcomes I will be looking...

As I have refined the outcomes I will be looking to predict I need to go back to variable selection. I am starting with a basic list of 200 different indicators spanning 1,5,10,15,30,60 & 120 minute...
Forum: Trading Journals May 9th, 2013, 08:32 AM
Replies: 16
Views: 3,141
Posted By ajespy
Ive been doing a lot of research on different...

Ive been doing a lot of research on different classification models and I keep coming back to log-reg.
During my outcome analysis work I have settled on a very promising concept. I will apply a...
Forum: Trading Journals May 5th, 2013, 07:32 AM
Replies: 16
Views: 3,141
Posted By ajespy
So at this point I have a basic model which I...

So at this point I have a basic model which I could begin to deploy. The model consists of 5 vars:
- Envelope on 2hr chart
- OBV on 2hr chart
- ADXW +signal on 2hr chart
- RVI on 2hr chart
-...
Forum: Trading Journals April 22nd, 2013, 08:21 AM
Replies: 16
Views: 3,141
Posted By ajespy
Wow Ive been busy and have thus neglected my...

Wow Ive been busy and have thus neglected my blog. After shortlisting the 15 vars I joined them to my outcome data and ran a prelim model estimation using the raw vars. Instead of a combination of...
Forum: Trading Journals April 5th, 2013, 12:37 PM
Replies: 16
Views: 3,141
Posted By ajespy
Since writing my last post I have done further...

Since writing my last post I have done further research into big data issues. Turns out variable reduction is a big issue and one that is quite easily solved. I was on the right track with reducing...
Forum: Trading Journals April 4th, 2013, 07:02 AM
Replies: 16
Views: 3,141
Posted By ajespy
OK so I have finalised filtering variables based...

OK so I have finalised filtering variables based on both kendall and hoeffding measures of correlation as well as reviewing different variable components and Information Value. I managed to chop...
Forum: Trading Journals April 1st, 2013, 07:50 AM
Replies: 16
Views: 3,141
Posted By ajespy
I have just finalised 4 different correlation...

I have just finalised 4 different correlation matrices: Pearson, Spearman, Kendall and Hoeffding. I will use these matrices to continue the cull with the aim of cutting at least 3/4 of the current...
Forum: Trading Journals March 28th, 2013, 10:58 PM
Replies: 16
Views: 3,141
Posted By ajespy
So I coded up a SQL join of 185 different...

So I coded up a SQL join of 185 different variables from 180 different data tables. This resulted in a lack of computing power :(

I split the join down to just the first 10 vars and ran the...
Forum: Trading Journals March 24th, 2013, 12:32 AM
Replies: 16
Views: 3,141
Posted By ajespy
#6

The first pass cull has resulted in a subset of 185 different indicators.The subset is a mixed bag. Some vars have weak Information Value but are nicely distributed with respect to the underlying...
Forum: Trading Journals March 22nd, 2013, 11:19 AM
Replies: 16
Views: 3,141
Posted By ajespy
#5 Indicators

After a monster effort I have completed first pass analysis of 287 different vars. I will now begin culling those vars with the lowest IVs.
If a var has an outright IV of less than 0.01 for either...
Forum: Trading Journals March 22nd, 2013, 02:21 AM
Replies: 16
Views: 3,141
Posted By ajespy
#4 Indicators

The code works great and I have managed to initially test 105 different vars so far... so about a qtr of the way through. At this rate I maybe able to finish the intial testing this evening.

On a...
Forum: Trading Journals March 21st, 2013, 11:20 AM
Replies: 16
Views: 3,141
Posted By ajespy
#3 Indicators

Another midnight modelling session!
I have begun high level analysis of 31 different indicators across 7 different time windows for a total of 317. Some indicators have multiple variables associated...
Forum: Trading Journals March 20th, 2013, 10:49 AM
Replies: 16
Views: 3,141
Posted By ajespy
#2 Outcomes

The modeling session continues so whilst my code runs its a good idea to jot down my thoughts...
On further consideration I have decided to continue with investigating the outcomes.
I think my...
Forum: Trading Journals March 20th, 2013, 08:29 AM
Replies: 16
Views: 3,141
Posted By ajespy
FOREX ATS - Development and Deployment

Intro:
I have decided to document the development and deployment of my first FOREX ATS. Upon completion of the system, I hope to be able to review this journal to see where I went wrong/right in the...
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