Recent content by jshore

Automated trading systems need not be in competition with the big guns. Stay away from high frequency (timescales in seconds or less) and you should not be at much of a disadvantage. With a long enough holding period, the costs of execution slippage and transaction costs should not be...

ANNs can be used effectively if you choose the right "feature space" as it is called. So instead of using OHLC bars you augment with other indicators. ANNs are a form of regression. If you are providing OHLC bars then basically your ANN represents a multi-dimensional surface representing the...