Lua Source demonstration of using Kelly Criteria to figure out appropriate amount to risk for any single trade based on your current capital, odds of winning and win versus loss payout. Continue reading “Lua Source to calculate Kelly Criteria Investment Level”
For those of you who are testing our Forex Mini strategies you need to talk to your Tax professional before you make your first trade during the fiscal year. There is an internal election you need to make and if you don’t you can be stuck with a tax treatment you do not like. Continue reading “Talk to your tax specialist before making your first Forex trade”
Forex Micro Strategies available for sophisticated users
I recently started making Forex Micro-strategies available for sophisticated users under the general terms that they agree to pay 15% of their net profit. Those that pay will also gain the benefit of continued enhancements and new micro strategies. Contact us for access. Continue reading “Precision VS Recall, a Net Trading Profit Perspective”
I needed this utility to save 1 minute bar data tick data in a form where our AI / ML prediction engine could access it. I needed the history but even more important I needed the something that could deliver new ticks to the prediction engine fast as they became available.
I cheated with this utility and open the file in shared mode. This allows my Lua code read new lines as they become available as if the data was delivered by a more traditional pipe. I tested the lua code which reads to the end of the file and then recognizes when new data is available simply by continuing the read process. When no data is available it returns immediately so you can do a very low cost poll without having to re-open or re-read any part of the file. When I move to linux I can replace the file with a named pipe and eliminate the overhead of writing to disk.
Not a elegant architectural approach but it does keep the interface between my proprietary code and the 3rd party cAlgo product as thin as possible so I can change brokers easily in the future.
I was able to get it to deliver 1 minute bar data back to Jan-2011 which is the best source I have found for that much data. Still has a flaw in that I could not figure out how to calculate actual transaction volume for the bar but will comeback to that when it is critical. .
I needed this to save tick data in a form where our AI / ML prediction engine could access it. I needed the history but even more important I needed the something that could deliver new ticks to the prediction engine fast as they became available. I cheated with this utility and open the file in shared mode. This allows my Lua code read new lines as they become available as if the file were a more traditional pipe. Not perfect but I wanted to keep the code in cAlgo as small as possible so I can change brokers easily in the future. It only delivers about a year of back tick data but that is still over a gig of data.
A version of this code is used in our Production Forex Trading by our Forex Prediction Engine.
Article in Inside Market Data – Bayes Analytic Preps Price Prediction Engine
We have an article in Inside Market Data. Bainbridge Island WA-based startup Bayes Analytic is preparing to launch a new stock analysis and trading recommendation engine that leverages advanced trading algorithms and machine learning to predict future price movements based on past trading patterns.