wheng3

high support: should apply to a large amount of cases
high confidence: should be correct often
high lift: indicates it is not just a coincidence

wheng3

Press CTRL + A to select all of the text
Press SHIFT + ALT + I to insert multiple cursors at the end of each line
Press Home twice to jump to the start of every line

wheng3

Data collection
-> Data preprocessing and cleaning
-> Feature construction
-> Model training
-> Backtesting
-> Live trading

wheng3

Dollar Milkshake
The algos and carbon fx traders are probably gauging right now whether the Dollar Milkshake trade is over, in view of the Fed’s patience to pull the reins of its normalization policy

So, firstly let’s zero in on the Dollar Milkshake trade theory, no doubt a current hot topic in the forex market with an average daily turnover of approximately 5.35 trillion USD a day.

The crux of the Dollar Milkshake theory put forward by Brent Johnson CEO of Santiago Capital is based on the dollar strengthening and the fallout that could have on global markets
Dollar Milkshake theory sounds yummy and jolly but do not be fooled, “this is a story that ends very, very badly,” said Brent Johnson in his interview.

So Dollar Milkshake theory predicts a bull market in USD, which has been underway for some time, but it comes with a caveat.

wheng3

Pick a starting point.
while(Problem is not solved)
    For each path from the starting point.
        check if selected path is safe, if yes select it
        and make recursive call to rest of the problem
        before which undo the current move.
    End For
If none of the move works out, return false, NO SOLUTON.

More comprehensive and common backtracking formulas:

wheng3

TRADING SYSTEMS: The Seven Deadly Sins of Automated Trading

by Sam Berry, CEO, Littlefish FX

In my last article published in FX Trader Magazine “Revolutionize the way you trade”, I covered some thoughts on the FX industry as a good investment and what we look for. As part of that I mentioned the seven deadly sins of strategy development and so I thought it would be a good subject to expand on and provide you with the laws we abide by.

Don’t rely on back tests – what you need are out of sample forward tests

My team and I can easily generate a system that uses 1:1 leverage and returns 100% per month in a back test with almost no draw down. I can also guarantee that if we ever turned that system on it would at best remain flat in its performance.

wheng3

tmux cheatsheet

As configured in my dotfiles.

start new:

tmux

start new with session name:

wheng3

A search in a sorted collection, think binary search.
Minimum # of steps, think BFS.
Min/max K elements, think heap.
Optimization, think DP.
Combinations, think backtracking and DFS.

wheng3

A priority queue is different from a "normal" queue, because instead of being a "first-in-first-out" data structure, values come out in order by priority. 
A heap is a binary tree (in which each node contains a Comparable key value), with two special properties:

The ORDER property:

For every node n, the value in n is greater than or equal to the values in its children (and thus is also greater than or equal to all of the values in its subtrees).
The SHAPE property:

All leaves are either at depth d or d-1 (for some value d).
All of the leaves at depth d-1 are to the right of the leaves at depth d.

wheng3

We convert the system of inequalities into system of equalities and then use Gaussian elimination with clever pivot selections.