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楼主: Diffusion

[技术分析] Maximum Entropy Spectral Analysis

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发表于 2009-11-17 06:42 PM | 显示全部楼层


Yes.

are you afraid of backdoor?
rnhoo 发表于 2009-11-17 18:31
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发表于 2009-11-18 12:58 PM | 显示全部楼层
So, a fully automated trading system is really a luxury for retail traders as I. Maybe before becoming a full time trader, I shouldn't invest too much time on it...
Diffusion 发表于 2009-11-17 18:28


In fact, more and more retail traders are automating.
The only limitation to what you can do is your own ambition!

Automated trading is carried out through API, provided by several brokers.
Of course, you need some (C++ or C#) programming skills. If you don't have
such skills, you may want to work together with some friends around you who
have sufficient programming skills. If you decide to work together with other
people, make sure you all sign a written agreement not to discuss the systems
you develop with any other people.

If you really just want to start from something very simple, you may look at
some of the platforms for automated trading, provided by different brokers, such as
TradeStation Securities. You can write code almost immediately without
real programming knowledge. With TS, you may trade a dozen of symbols comfortably;
but the systems should be relatively simple. If you want to do a lot regression and
other fancy statistics, especially for large portfolios, you certainly still want
to write everything in C and use API.
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 楼主| 发表于 2009-11-18 01:10 PM | 显示全部楼层
In fact, more and more retail traders are automating.
The only limitation to what you can do is your own ambition!

Automated trading is carried out through API, provided by several brokers.
O ...
bobcat 发表于 2009-11-18 12:58


I should have said "part time retail trader"
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 楼主| 发表于 2009-11-21 03:09 AM | 显示全部楼层
rnhoo, which package should I have to use MESA in R? I checked a couple of them, such as MEboot and minxent, neither are MESA.
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 楼主| 发表于 2009-11-21 10:21 PM | 显示全部楼层
rnhoo, which package should I have to use MESA in R? I checked a couple of them, such as MEboot and minxent, neither are MESA.
Diffusion 发表于 2009-11-21 03:09


顶起来。
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发表于 2009-11-21 11:26 PM | 显示全部楼层
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发表于 2009-11-22 09:22 AM | 显示全部楼层
ding
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 楼主| 发表于 2009-11-28 04:15 AM | 显示全部楼层


不过这个和Ehlers的结果不一致。我检查了几遍,认为我这个是对的。
SPX_MESA.PNG
MESA.gif
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发表于 2009-11-29 07:17 PM | 显示全部楼层
45# Diffusion

I replied your message.

Seems you have worked it out yourself. Great work!

Did you use C# from scratch? How effective it is?
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 楼主| 发表于 2009-11-29 07:27 PM | 显示全部楼层
45# Diffusion

I replied your message.

Seems you have worked it out yourself. Great work!

Did you use C# from scratch? How effective it is?
rnhoo 发表于 2009-11-29 19:17


Yes, I use C# to implement the algorithm from scratch. It's not complicated. The problem is I don't know how to use it. Because it's different from Ehlers' result, I may use R to double check my result first.
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