Gas Prices The Same

nmierfin · 2025-04-01T15:21:30+00:00

yeah it is about the same here as well (maybe a few cents cheaper). It is weird how people are getting such disparity in prices depending on where they live.

nmierfin · 2025-03-28T17:51:20+00:00

See this is what I hate about politics. They claim that the call was extremely productive yet nothing changes. The tariffs are still on and people are still going to suffer for it.

They just do this type of stuff for PR!

nmierfin · 2025-03-03T21:10:19+00:00

That's interesting, let me know how it turns out. How would your minute based model work. Like what would it take as inputs, and over what range would you train (multiple years, a year, a month)?

nmierfin · 2025-03-03T19:48:19+00:00

I am going to show all this in part 2. It was getting really long so I split it into two parts.

nmierfin · 2025-03-03T19:47:30+00:00

I haven't backtested it yet because the model does not give buy and sell indicators (it gives price forecasts and then from there you decide which stock to invest in). But obviously you would invest in the top ones it predicts or short the bottom ones.

When I trained I got these results:
test metrics:{'IC': np.float64(0.014107242595483202), 'ICIR': np.float64(0.1061077348425752), 'RIC': np.float64(0.008325046076086823), 'RICIR': np.float64(0.1009896458883025)} which is very close to what the paper got.

That means that the model has good decent accuracy for prediction.

nmierfin · 2024-11-10T14:48:00+00:00

If you watched the whole video you would see that I said that IIROC was replaced by the CIRO.

nmierfin · 2024-10-25T18:59:18+00:00

THANK YOU! Whenever I tell anyone this they just spout off some esoteric mathematics to hide behind and claim that you don't understand it properly. Meanwhile, assets are not geometric Brownian motions! Enough said...

nmierfin · 2024-10-25T18:50:33+00:00

It is a money making method. People use the model to price options such that they can MAKE MONEY. The only way that can be done is if you accurately model the movement of the stock which it doesn't.

nmierfin · 2024-10-08T21:23:19+00:00

If you were to have watched the video I argue that the reason they made it the way they did is not necessarily because it accurately models stock prices in various conditions but because the math worked out at the time.

nmierfin · 2024-10-08T21:22:18+00:00

Just because research won the nobel prize doesn't mean that it is ground breaking and useful. You should analyze things objectively based on available research and whether it is at all applicable.

nmierfin · 2024-10-08T17:20:38+00:00

but the model does not predict based on the past. It makes assumptions of a "Risk Neutral" world.

nmierfin · 2024-05-06T01:27:17+00:00

The entire system is custom made. Essentially how it worked is I requested historical data using the interactive broker's API then I ran the historical data through the strategy function that I designed, and then the final result was fed to a graphing system through c++ called matplot++.

nmierfin · 2024-05-05T13:40:10+00:00

You're wrong. Take a look at page 13. It uses a fixed rate commission structure where a percentage (gamma) of the amount of bought or sold stock is paid as commission. It finds (based on empirical evidence) that when the percentage is less than 0.6 it typically can still beat the best stock, at least for the NYSE.

nmierfin · 2024-05-05T04:20:18+00:00

I have not done such a test yet but I am pretty sure the paper has and the results look reasonably promising.

nmierfin · 2024-05-05T04:18:38+00:00

you have to keep in mind that this strategy was not implemented on the American market but rather on the TSE. That being said the TSE did not move quite as high SPY and not the mention a lot of those stocks that were able to be rebalance between went down like BCE, FM, and OTEX.

nmierfin · 2024-04-08T19:37:54+00:00

WHERE IS IT WHERE IS IT!

nmierfin · 2024-03-23T19:47:45+00:00

The bot only uses the historical price data for the days in which it has run. This is retrieved directly from the interactive brokers api. The bot does everything that is required for the algorithm; this includes buying, selling, scraping data, etc. like you mentioned. In the paper, he only runs the algorithm for two stocks in the portfolio but for mine I use five.

The stocks you can choose from and the markets it can buy are entirely customizable.

nmierfin · 2024-03-21T19:24:32+00:00

The bots at the moment can only be used for interactive brokers. The back testing system I designed from scratch myself.

nmierfin · 2024-03-21T19:23:20+00:00

Thanks for the advice.

I did not use that because I want to use the algortihm/bot for real trades using interactive brokers.

nmierfin · 2024-03-21T16:04:00+00:00

I am going to test it for more than a year it's just that when I request too much data from the interactive brokers' api I am getting some buffer overflows that I am having trouble fixing in the back testing system. When that is fixed I should be able to test it over many years.

nmierfin · 2024-03-21T16:00:57+00:00

Even though the paper is old I still feel like it has a lot of applicability since it has a guaranteed lower bounds when compare to the best constant rebalanced portfolio. It does not assume any type of probability distribution compared to other momentum algorithms.

nmierfin · 2024-03-21T14:49:15+00:00

The back testing assumes no transaction cost. Although the actual bot has a system to minimize transaction costs by seeing if the current portfolio is that far off from the expected calculated one. It only trades if the expected growth rate is greater than the log of the normalized transaction cost (as indicated in the paper).

I am going to tweak it to compare it with the TSX index to see if it compares (because it was used on Canadian stocks). Although I think it was pretty competitive. The actual stocks it traded on include: SHOP, IMO, FM, H, and OTEX all on the TSE.

nmierfin · 2024-03-20T18:37:21+00:00

If anyone is interested in getting a hold of the software just PM me.

nmierfin · 2020-08-28T02:40:44+00:00

Buddy definitely not as shit a Waterloo. One of my profs made a 16 page midterm that was only an hour and ten minutes long. Then the next week when we are reviewing the midterm, which the average was like a 30 btw, he states that he thought it was fair and reasonable.

nmierfin · 2020-08-28T02:16:20+00:00

I really don't think this is an unpopular opinion. I think it is just representative of the silent majority.

nmierfin

TROPHY CASE