4 ms·
Can't you just download a historical set and use that to test whatever algorithms you think you would use? Then when you are confident enough in their performa
by physcab 17y ago
Can't you just download a historical set and use that to test whatever algorithms you think you would use? Then when you are confident enough in their performance, you can take the risk? I wouldn't say it would be a complete waste of time because you would be sure to learn something. If you think you can realistically make money--well then, that's a different question that I wouldn't be fit to answer.
- anamax 17y ago> Can't you just download a historical set and use that to test whatever algorithms you think you would use? Be careful - much of the historical data has been pruned to eliminate some data from companies that didn't survive. I've heard that one of the major quant houses (Shaw?) can often guess what data set you used to test your strategy by looking at the strategy. Plus, there's a selection or fitting problem. Your strategy may have worked well on average from 1972-1999, but that doesn't mean that it will work today. And there's a velocity problem. There are pricing errors in old data to exploit. And, if you had today's computers then, you might have been able to find them fast enough because your systems are faster than what folks had then. However, today you're competing with folks who have faster systems than you do.
- physcab 17y agoYou make some good points, but isn't this always going to be a problem when training your algorithms? You can't really train in real time so by the nature of the industry you're always going to be put at a disadvantage by using older data.
- seunpy 17y agoTrading with historical data isn't accurate enough. It doesn't account for the way your trades would have influenced the market.