Recent content by dcifrths

hey andy, i just tried to learn this dynamic charting thing and it must be that i'm not that great at this type of thing in excel b/c i can't understand the example. the spreadsheet you can download from this page: Dynamic Charts has the "Basic Range" sheet which is the example of...

well i'm thinking long term here. i'd like to be able to write (or just use) code that can do the following: use the selected cells (i.e. select cell as range) and out put in successive columns returns, cumulative returns, and ideally some distributional analysis of the returns (for some...

Trading Strategy Sheet Andy et.al., please find attached here my excel sheet. i've altered the strategy a bit such that it takes into account the asymmetric properties of the spread (can blow out far more than it can compress, thus the trigger should be farther away in Z terms and closer...

Z = (x - u)/s so Z*stdev = (x - u), right? haven't thought this through thoroughly but that just jumped out at me. i think others were right when they recommended to use a same industry, simlarly rated company's paper as a proxy for the yield... ... but then wouldn't you have to use the...

thanks a ton andy. i really appreciate how helpful and informed you guys are. i'm a big NEWB when it comes to any kind of programming (Except elementary functional matlab...moving formulas in my head to code or adjusting data etc.). there is an analogous post on 2p2 (where i normally am)...

you got it...is there a way i can make the spreadsheet public? maybe i could email it to you and you post it like you did the CourseInDerivativeSecurities.xls?? that way you can visually see what is going on (i always annotate anything i build as a model so it should be very clear what i'm...

Hey guys, i'm trying to learn VBA and just trading strategies in general. my background isn't strong in computing and i haven't written these types of things before. i do have some matlab experience but not enough :( so basically, i want to re-create an LTCM type trade. i want to execute a...

i read this book in nowhere near 2 days. it was great and a very interesting read. i don't think i laughed more than 1 or 2 times, though i really like how he approached this broad topic. for perspective, it is a fairly long book and the modern "risk" sense (reason i purchased it) was only...

just bought it. i'll add VBA to my new years resolution list...which brings the total to 2. first one though is just to do everything possible to heal my foot and get back skiing this season. i think VBA is hugely necessary though and i'm glad i found this forum for the push to get going on...

what % of your annual salary was your bonus? what was it last year? what did you expect it to be? what woudl you be happy with? i don't think those questions violate any kind of information agreement but if you dont' want to answer, thats fine. Barron

HOLY SH*T!!! OP, wow. that woulda saved me a TON of time a year and half ago. i don't know enough VBA to ever write something like that myself but it is teaching me just some basics that i think i can now put to use....at the very least how to enter inputs with that neat little box and...

some good points..but i wanna dig into this one. the structure of markets and the distribution of rewards isn't that simple. the hedge funds that blow up (i.e. BS and the many more that will die) as a result of poor risk management or over-reaching agents lose basically the principle's money...

bookstabber's book is actually very pertinent and excellent imo. he basically predicted such occurrances and, using engineering terminology, calls them "normal accidents." two factors, according to him are the major determinants of normal accidents: the type/degree of coupling (how...

i don't know exactly all my computer's specs so here goes: - pretty sure it is 2ghz - 2gigabites of ram - 2 local hard drives, 250gigabites and 75 gigabites - 2 dell 24" lcd monitors my laptop is just s generic dell whatever it is that broke and they gave me a new one...nothing to write home...

Hi guys, i happened on this forum in a fairly random way and have andy to thank for it... i was searching the internet for free CDX.NA.IG historical data and google lead my to Andy's data cleaning post that used that exact data set. from there i've found some great links and posted a few...