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  1. I have had two reactions, but no answers to my question...
  2. You are right, might not have been totally clear. I want to project my past good trades, on a set of rules. When I look at the historical charts of the stocks I played, I see a significant change in the pattern of the price and volume. I need a set of rules that can tell me if a future change is significant. To do so I check my past trades and check how significant a change on the charts really was. That is why I need a function that automatically calculates the sample size (# of tick data) . When you watch over 500 stock, you really need the right sample size to have a clear idea if the change is significant for that moment. With a too large sample size the variation is too large and with a too small sample size all the changes become significant. I now use a static rule on the sample sizes. (5/10/20/60/260 days). I want to have it automatically. By the way, for me a significant move is at least 2*SD.
  3. He is good at setting-up the rules. But you have a point.... My input is more analyzing my own trades and put them in to a rule. Since I don't trade like a robot, I need to set-up a couple of rules. I trade patterns and that is why I need to translate what I see as a significant increase of price and volume it to a rule. Because I want to test out a couple of statistical tests, I want to check my own historical trading data. :missy: Having Excel calculating the sample size etc., would help me to see what I did good and wrong.
  4. Hi all, I have been busy crunching data for a while, because I have found a partner that does an excellent job with algorithmic trading. But I came to a hold, because statistics isn't my best skill. And I want to spot a correlation between, movement/volume etc. That is the easy part, thanks to Excel. So what I now need is to have a tool to automaticly use the right sample size. Haven't found the function in Excel for that. When I have the right sample size, I want to have Excel tell me when a change in the stock is significant. (Change in volume and stock price). The whole idea is very simple yet clever. I have set a criterium for the stocks, price range and public trade stock. You will be having a list over 500 stock, these stock tend to do nothing really. But when the algo spots a change in volume of stock price, I need to know if that move is significant enough. :missy: Any Excel-wizard or statistic-geniuses around to help me out? Cheers
  5. What is a good place to get historical data of small caps? 1 sec ticks are good enough for now and I just want to have a couple of hundred shares with a time span of 2-6 years I guess.
  6. That is absolutely true! No one wants to sell of their secrets or gives away free-bees. I have done some fair time appraising companies for large Dutch banks, and advised them on what they should finance or how they could exit a company. So I have a good sense of knowing what a good price is. Anyhow I think that I have to offer something too and combined with people that know how to make it to an auto trader. So we all can make decent money on it.
  7. I'll be more than happy to purchase an auto trader. Main problem with what I experience is that I have to share my input and buy an easily copied piece of script, what makes it an self fulfilling prophecy. So if I don't watch out, I will be holding the bag in the end. Did should you a little message anyhow, because we might find a good way to exploit both our knowledge. "It is not expensive if you can sell it with a profit"
  8. My algo trading wet dream, is the ultimate algo: you ditch loads of (stock) information in an programme and it tries to find a correlation between all data. There are algorithms that do such thing, take the pricing system behind Amazon.com. The problem with stocks are that the amount of data can be from the stock prices to the volume, other stocks, indices etc. MUST SEE Ted presentation on algorithms: Kevin Slavin: How algorithms shape our world | Video on TED.com
  9. @Alwaysastudent I really don't know if I want to purchase or just tap in to someones else it's project. I have a fairly good idea what I want to do. At this moment I play small stocks on the momentum(swings) and I do rather well, so I want to do something with that. There are approximately 500 stocks listed on NASDAQ Capital Market, so it is hard to keep on track with all of them and especially when I like to play some OTC too. I don't think that I need to be crazy quick with the algorithm, because with my slow human-speed I can keep up too . @4evermaat Thanks for your insight. I have been trading for some time now and have played all kinds of papers, so I am not totally unaware. I know that it can be tricky to use a blackbox, but with the great amount of material to do backtesting and not putting all my money on the table I think I am fairly safe. @Bluehorseshoe I fully agree with you on that one.
  10. Hi all, I have been trading for some time now (15 years) and I have been always fascinated by blackbox trading. All the secrets surrounding this way of trading is just great, it is no wonder that they call it blackbox trading, because it is very hard to find a good algoritm. Anyhow I started this post, because I want you to shine light on me and make me more (wall) street wise on this topic. In an ideal world I would want to have self learning algoritm, but if you could give that to me you wouldn't be posting on this forum I guess (please tell me I am wrong :rofl:). So what I am after what is more doable, is an algoritm to play small stocks on exchanges like NASDAQ and OTC. I have been fascinating by these small plays, because they are too small for big companies. I make some profit with a combination of indicators, but because there are so many small stocks to play, I can't play them all at once. That is why I want a computer to help me do the trading or even take over the whole trading :missy:. If you are familiar with this kind of an algoritm based trading or you know which way to go with this, please get in contact with me. I am willing to learn badly and do business. Cheers, Pieter
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