Hi everyone, I have been using yahoo finance daily data to train my model, and assuming live I can pull EOD data, make predictions, and place trades roughly around 4pm. Come to find out that the EOD volumes are actually finalized sporadically hours after close. As a result, the EOD volumes I am pulling at 4pm are biased downwards to the actual volumes finalized later. I am in the process of exploring data sources such that the historical volumes are consistent with the volumes I will be pulling live at 4pm. I am just interested in how others in the community operating on daily data have appro ..read more

I'm working on a model right now. One of the things I want to add into is on tax efficiency into it. If you have any good resources on it that would be great otherwise I'll start the long research process. submitted by /u/tamasiaina [visit reddit] [comments ..read more

So I've come up with a 5 EMA regime filter, all EMA's are true range adjusted. I've intentionally left out volatility as I feel a separate SQN regime filter could compliment the Spaghetti EMA's. I'm curious to see if there's any discussion around this EMA filtering method and potential ideas anybody has to improve on it. I'm also trying to think of a way to make a derivative of this indicator that could self adjust / train itself. Something that I could just do without machine learning models. https://i.imgur.com/O5lgxz2.png Cyan = overbought Green = bull Gray = flat Red = bear Orange = overs ..read more

For several decades, I have worked as an independent consultant. I spent about a decade each in UNIX admin, IT security, and most recently, the digital analytics space, focusing on web and mobile app usage, streaming media/TV analytics, and some unique projects, like managing a competition for a high-profile live TV show, etc. A typical digital analytics client lifecycle involves Technical and legal/compliance audits, data cleansing, normalization, database ingestion, bespoke queries, and data visualization. My typical tech stack includes Bash, Python, AWS/Azure, PostgreSQL/Amazon Redshift, S ..read more

I have a strategy iv been working on for some time, it's been deployed live since June 11th had so far been successful. I feel like we are coming into a volatile market state, as I trade long only im trying to reduce risk. The assets I trade are: Japan225, QQQ, QUAL, BV, VIS, VIG, US100, US500, VGT, MGK and VV. Im contemplating the "Fear Index" - VIX, looking at historical data and trades when compared to VIX, my strategy is more profitable if I prevent trades entering when the VIX is over 25 for example. Before I go too deep down this rabbit hole, does anyone use the VIX as confirmation? I h ..read more

Someone contacted me and sent me screenshots of results on their algo i think, i accidently pressed "ignore" and now the message is gone. Please send it again if you see this message, i didnt get ur username. submitted by /u/PeterTheToilet [visit reddit] [comments ..read more

Hoping this will spur a discussion on how we can all be better fishermen (teach a man to fish etc). I'm trying to find out what is wrong with the validation workflow described in this breakdown of an ETF constituent strategy. I don't do so much with etf constituent strategies so i'm turning to the community to get your thoughts. It seems sound enough... But something seems lacking. To me, one flag was no in sample / out of sample validation of params, but given the multi asset nature of the strategy, maybe that's not necessary? What's a better way to validate this strategy? Please note: not a ..read more

I was revamping some code form last winter and I noticed that all the data I’m pulling from the COT on the Nasdaq APIs ( formerly Quandl ) ends at Jan 2nd 2024.. anyone out there with the same issue? submitted by /u/aaron_j-ix [visit reddit] [comments ..read more

Hey folks, I am sharing my Open Source algorithmic trading system in hopes that others will use it. That is very unlikely to happen at this stage, since the documentation is entirely incomplete, but if anyone is interested in getting on early for developing this with me, or giving it a spin in the real world, please check it out! I have been using it for a few weeks now. Thanks! Links below: Github Page Docs (just started today) First release (v0.1.0) I know this isn't really enough to get going with the project, but you should be able to load it up with the test data pretty easily if you see ..read more

Hi all, I was wondering if you could share your favourite trend change detection method or algorithm and any reference of library you use for that automation. Example EMA crossover, Slopes, Higher high-Lower low etc. submitted by /u/benevolent001 [visit reddit] [comments ..read more