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  1. D

    Trading Algorithm HELP please!

    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...
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    Trading Algorithm HELP please!

    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...
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    Trading Algorithm HELP please!

    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...
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    Need help with VaR!!!

    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...
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    Trading Algorithm HELP please!

    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)...
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    Trading Algorithm HELP please!

    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...
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    Trading Algorithm HELP please!

    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...
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    The Remarkable Story of Risk (Against the Gods)

    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...
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    another free spreadsheet download

    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...
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    Big Bonuses Seen Again for Wall St

    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
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    another free spreadsheet download

    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...
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    MIT-Press piece on quants, CDO-meltdowns

    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...
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    MIT-Press piece on quants, CDO-meltdowns

    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...
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    What are your computer's specs ?

    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...
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    New Quantnet members say hi

    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...
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    Master list of free financial data

    Andy, there is a FANTASTIC data source that is actually a central database for a ton of the things you've listed: www.economagic.com for $50 you can build a self-updating spreadsheet w/ http codes that update everytime their central database updates. i know for a fact they have every...
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    Quantitative Interview questions and answers

    E[game]= 0. trivial to prove. this is less clear to me. i'd think that it would be as soon as you are up. so if you win $1, you should stop and you should play until you are up $1. that begs the question though, given the variance of the game, why not stop with more money? i don't know how...
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    Quantitative Interview questions and answers

    thats gotta be right. conditional probability of it actually being a six and him reporting it to be a six. Barron
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    Innovating Our Way to Financial Crisis

    i'm not a contrarian, but i am a rationalist (made that up...maybe logician would be more appropriate) who doesn't take well to sensationalist writings, which is what i think we have here. so please don't take my thoughts as "hey, tin foil hat time" agree...though it depends which engine...
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    Calculating Total Return from yahoo data

    Ok, So i would like to know whether it is possible to calculate total return from Yahoo's data (be it for individual stocks, indices etc.) I currently subscribe to www.economagic.com for most of my data needs and they have a total return index for the S&P500 from 1970, monthly. the data...
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    2008 Trade Idea Thread...

    Hi Folks, first time reader, first time poster. I thought it would be fun to post your trade ideas in a centralized thread that you can come back to as time passes. I'll start with one idea i like at the moment: Short CDX.NA.IG spreads. Andy did a data cleaning that gave me a more...