Dear reader,

due to the fact that I’ve started a platform transition to Matlab® today blogging will be suspended for a couple of days (unfortunately I’ve to assign priorities because to manage 8 hours of trading a day plus the respective trading preparations and wrap-up plus making myself familiar with the new platform plus migration of data and functionality plus taking the time for the family plus blogging is simply all but possible).

Blogging will resume as soon as I’ve finished the transition and will be able to take advantage of the new platform.

Successful trading,

Frank

Matlab** **®** **is a registered trademark of The Mathworks, Inc.

Disclaimer: I do not have any interests with the company and/or their products mentioned above, and I do not get any kind of benefits by mentioning the company and/or their products. They do not even know that I’ve listed them here.

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Frank,

Too bad! I just found you Trading the Odds and like it. Well, Let me know when you are back.

Ging-Sen

I would, and I suspect other readers would also, be interested in your assessment of Matlab and other software platforms for market analysis.

toptick,

I currently use Excel (with > 15,000 rows, > 200 columns and approximately 5 to 10 lines of code (matrix formulas) in approximately 50% of all cells (I don’t use VBA). One of the major problems is that Excel doesn’t seem to accept matrix formulas (I need nested loops) across different sheets (at least as far as I could figure out) or files so I’ve to store data AND formulas into one sheet. So changing one parameter only forces Excel to completely re-calculate all cells which takes at least 1-2 minutes (on a high-end laptop/desktop), which makes evaluating trading strategies a time-consuming business to say the least. And there are other obstacles as well.

With Matlab it often takes a single statement/line of code only (instead of setting up a formula and copying it into several thousands cells) executed within a couple of seconds in order to conduct the same analyis due to the fact that is is specifically designed for vector and matrix operations. It might be possible that Excel with VBA could do the job as well, but from my perspective Matlab’s advantage is that first of all Matlab runs native on Mac OS (and native on other platforms like Amazon’s EC2 as well), and second with Matlab there is an existing user community with an open file exchange (besides design -separation of data and programs-, performance , interchange, handling and expandability reasons).

I’ll give a report of my experiences concerning the migration from Excel to Matlab.

Best,

Frank

Most interesting. Thanks!

Yes indeed, Frank

Please do report on your results

Have you had a chance to use software other than Excel before for the purpose of backtesting trading ideas?

Aly,

I started with Excel from the scratch a few years ago and never used anything else up to now.

Best,

Frank

you are very helpful in day trading decisions….thanks a lot and hope to see u back soon….more armed this time

Frank

I use excel for all of my models. A lot of what I compute is too much for the functions and formulas so I use vba. vba transforms everything and gives a huge amount of power and flexibility.

I taught myself vba about 3 or 4 years ago. It’s not too hard.

Douglas

Frank

Regarding the discussion on platform used – I add the following, see below. I will certainly need to use vba for some of the extra bits of analysis that I refer to. However, I also add the comment for the sake of exchanging ideas with others who may be interested in crunching the numbers for an edge. I submitted the comments below on Quantifiable Edges also.

DECLINING VOLUME:

Bear Market Rally OR New Bull Market

Going back to 1962 on the S&P 500 I have taken all the instances where (i) the index is 2% or more below the 200 D MA, (ii) the index is above the 50 D MA, (iii) volume is declining based on 10 day volume moving averages, (iv) volume is declining based on the 30 D MA of the volume.

Prior to the current rally I find 28 periods of time when this occurred. One time in 1966 it was at the start of a bull run and there was one day in March 2003 also.

Apart from that – looking at the charts – I would define the other 26 periods of time when this occured (usually, like now for several days in a row) – to be bear market rallys.

The reason why I post this comment is to see if it provokes any ideas or comments from yourself or others that may help my modeling.

I am intending to program this excel model further to look at (i) more moving averages (on volume), (ii) timing (I noticed some interesting peaks, troughs and sudden turns in volume) and (iii) the time from when these conditions took place to when the market would then reach a lower level (e.g. what was the maximum wait in these situations before the market turned down or reached a lower level than when these conditions were taking place).

Apologies for the long off topic comment but if anyone else who is interested or who crunches the data has any ideas this might help…..us all.

Douglas

A couple days? Color me impressed. Hope it doesn’t cause excess application of palm to forehead. I hope mathworks isn’t telling bloggers to add the trademark, should only be their use of the term that requires it, not others’. Great blog

ranky where are you ? We miss you

Frank,

How’s the platform transition coming along? Hope that Matlab proves to be eactly what you require. We are definitely missing your daily analysis!

Peter

I have done a bit more on the volume v S&P 500 advance (Bear Rally or New Bull) analysis.

This has increased my confidence that this is a bear market rally and not a new bull market.

OK, at least in the US, “a couple of days” means two. But as we all know, it’s a widely mis-used expression. (I once went into MickeyD’s and ordered a couple of hamburgers, and the guy behind the counter said “how many would you like?” Duh!)

Anyhow, not trying to be critical here, and I realize this is a big (huge) job, but just wondering when we can look for you to be back?

CarlosR,

postings will resume from today onwards.

Best,

Frank