in reply to Using Perl for writing Trading Systems

although some relationships exist between stocks, a lot depends on decisions made by large companies and governments, e.g. start a war and see the oil prices and gold go up. as you don't have this sort of data in computational form, it will not be considerred by your formulae. Besides all the above (unknown) factors, statistical analysis is confined to the realm of equations/formulae, which are not the best models for the (sometimes subtle) movements of stocks. A lot of effort has recently gone into picking market trends by using neural networks. there are already simple neural network perl modules around, but I haven't seen any such module specifically sculpted for trading analysis. Instead, there exists a number of commercially written ($$$) applications that do exactly the same thing, and display the result in fancy 3D graphs. If you just want to have fun analysing/guessing market trends and playing with the maths, then this would be the way to go....If you're serious about making money, just follow company/government decisions and the resulting market impact
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Re^2: Using Perl for writing Trading Systems
by defjukie (Sexton) on Dec 23, 2004 at 15:49 UTC
    Thanks for the reply.
    Firstly, I am primarily concerned with the currency, as opposed to the equity, markets but I must say I disagree with your claim that "if you're serious about making money, just follow company/government decisions and the resulting market impact". Alas, if it was that easy, there would be no problem. We would all be rich.

    Guys who make fundamental analysis profitable have a mass network of contacts within the handful of companies which they trade. Company reps visit with fund managers to attempt to persuade them, and thus a few other hundred sheep, to buy their stock. They have information that the stay-at-home trader doesn't have. I question the foundation of fundamental annalysis for anyone, but for guys without a wealth of contacts it is impossible. By the time the news comes out the moves have been made.

    Though most monks don't have networks of contacts, we do have data. The internet has made data freely available. This is why statistics can be the only way for the small investor to trade.

    People who believe every bit of market noise is reducible to a news snippet are, as Nassim Taleb would say, "fooled by randomness" - props to tphyahoo for giving this book a mention.

    ~ defjukie
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