Software For Algorithmic Trading Of Equities:

Tsinvest is for simulating the optimal gains of multiple equity investments. The program decides which of all available equities to invest in at any single time, by calculating the instantaneous Shannon probability and statistics of all equities, and then using statistical estimation techniques to estimate the accuracy of the calculated statistics.

The tsinvest home page is at http://www.johncon.com/ntropix/.

To build the program, gunzip the source files, and tar xvf tsinvest.tar. Cd to the tsinvest directory, and type "make".

To install the executables, cp tsinvest tsinvestsim tsshannoneffective to a directory in your executable path. The tsinvest.1, tsinvestsim.1, and tsshannoneffective.1 files are the nroff sources to the man pages. The catman pages, tsinvest.catman, tsinvestsim.catman, and, tsshannoneffective.catman, are also included.

Notes:

1. If you are not using GCC as the compiler, you will have to change the CC and CFLAGS definitions in the Makefile.

2. If you are using GCC, depending on the version, you may have to change the -W* lint and syntax checking arguments. For example,

   CFLAGS = -O

   should work on GCC and most compilers.

3. If you are not using GCC/Linux, then you may have to modify the sources for the random number generator, rand (), used. The one used, generally in the Linux distribution, is actually quite good, and returns an integer between 0 and RAND_MAX. See the man (1) page for rand () for details. The use in the sources is to provide a random number between 0 and 1, inclusive, by dividing the random number generated by RAND_MAX. As an alternative to rand (), the function ran1 (), from:

   "Numerical Recipes in C: The Art of Scientific Computing," William H. Press and Brian P. Flannery and Saul A. Teukolsky and William T. Vetterling, Cambridge University Press, New York, New York, 1988.

   page 210, comes highly recommended. The simulations require a random number generator with low correlations-however, in a pinch, srand () can be used, albeit with great suspicion. My personal preference is ran1 (), however copyright issues precluded distribution in the sources.

4. The program sources have a large amount of internal documentation, much of it duplicated in the man(1) page-the tsinvest program is less than a thousand lines of active code, out of six thousand total lines in the source file. If you want to work on it, read the man(1) page, then see the section on program architecture in the source, Probably the invest () and statistics () functions will be of the most interest.

5. The sources are known to compile on systems that have a GNU C compiler, GCC; the BSD variants, like Sun OS or FreeBSD; Sun Solaris; and MSDOS, without modifications, other than to the Makefile.

A license is hereby granted to reproduce this software source code and to create executable versions from this source code for personal, non-commercial use. The copyright notice included with the software must be maintained in all copies produced.

THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE. THE AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY.

So there.

Copyright © 1994-2011, John Conover, All Rights Reserved.

Comments and/or bug reports should be addressed to:

john@email.johncon.com

http://www.johncon.com/

http://www.johncon.com/ntropix/

http://www.johncon.com/ndustrix/

http://www.johncon.com/nformatix/

http://www.johncon.com/ndex/

John Conover

john@email.johncon.com

January 6, 2006