[MEDIA]
For anyone that's interested, this came up: https://www.kaggle.com/c/two-sigma-financial-news
I did an investigation into trend following on UK LSE stocks with market caps of < £1bn. The feature was defined as a moving average crossover...
I sold all my apple shares (£7000 worth) just before the release of the iPhone. That's worth ~£250k today! oops! I also had a bitcoin mining rig,...
Oh I don't believe it at all. I think a more realistic Sharpe is probably 0.5 going forwards. Strict people might say that's not statistically...
It has a Sharpe of around 0.8 +/- 0.15 over a lengthy backtest period, (accounting for fees and spreads), although it’s fair to say that recent...
Error fixed - https://github.com/chrism2671/PyTrendFollow Well, we can hope ;)
If anyone's around, I'll be at the AHL Hackathon https://www.ahl.com/hackathon PyTrendFollow will be one of the projects that gets a tiny table too.
Not that I'm aware of.
Yeah, there's a column for the improvement. I know a thing about illiquid equities. For that, either try to match things on the book and submit...
It exists! https://github.com/erdewit/ib_insync - I only wish it had been there while I was writing this. If anybody wants to strip out my IB...
Ah yes- that's right. However, as it trades only once a day, this is the best approach in my opinion.
It's their version of a price improvement. If you submit an adaptive market order, it'll wait to see if it can improve on price. The results of...
I used to, but there are too many things that can go wrong with data feeds etc. Normally I: Download the data with cron, as this takes a while...
Couldn't have done it without you! :)
For anyone who's interested, I have open sourced my trading system: Quick features: Downloading and merging of data from Quandl & IB...
I calculate the account curve for each instrument as a separate job for the pool. The 20 seconds is to calculate the equity curve for the entire...
I think my main issue is that it looks diversified when in fact it isn’t. I think the whole thing is driven by these factors: * real gdp growth...
Roughly 25% carry the rest tf, with heavier weighting on slow ewmac. It’s static through time. About 25 instruments here, although only one equity...
The equity curve shown above is with ~25% carry and 17% vol. One grave concern is that the entire system is now only really trading two main...
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