Recent Content by globalarbtrader

  1. Sharpe Ratio

    That, contrary to my expectations, they're not ludicrously overfitted and/or liars. GAT
    Post by: globalarbtrader, Jun 18, 2018 at 11:36 AM in forum: Forex

  2. Fully automated futures trading

    Google RIFF the acronym not the word GAT
    Post by: globalarbtrader, Jun 17, 2018 at 4:03 AM in forum: Journals

  3. Fully automated futures trading

    I did the keynote at this event and a Q&A session on trading system design Presentation is here. Video here (I start rambling on at 5:06:30, and...
    Post by: globalarbtrader, Jun 16, 2018 in forum: Journals

  4. Fully automated futures trading

    Now fixed on github. Thanks for finding the error. GAT
    Post by: globalarbtrader, May 21, 2018 in forum: Journals

  5. Fully automated futures trading

    The normalisation is done at an earlier stage https://github.com/robcarver17/pysystemtrade/blob/master/systems/futures/rawdata.py#L172 GAT
    Post by: globalarbtrader, May 21, 2018 in forum: Journals

  6. My *COD* - did nothing survive 2008?

    Managed futures did very well in 2008. Of course they may not in the next black swan event. Insurance is rarely free. GAT
    Post by: globalarbtrader, May 21, 2018 in forum: Trading

  7. Fully automated futures trading

    That makes sense GAT
    Post by: globalarbtrader, May 18, 2018 in forum: Journals

  8. Fully automated futures trading

    Yes, but that's probably not whats causing it though. Step backwards from the position rather than forwards. GAT
    Post by: globalarbtrader, May 18, 2018 in forum: Journals

  9. Fully automated futures trading

    Try plotting the intermediate diagnostics to see where the wildness is coming from. This is also good to understand better what you are doing. GAT
    Post by: globalarbtrader, May 18, 2018 in forum: Journals

  10. Fully automated futures trading

    I'm keynoting at this thing in London in a few weeks, if anyone is around https://www.fxcm.com/uk/algorithmic-trading/algo-trading-summit-2018/...
    Post by: globalarbtrader, May 16, 2018 in forum: Journals

  11. Study: what happens next to stocks when VIX falls below 14

    Heres one I did earlier https://qoppac.blogspot.co.uk/2017/05/people-are-worried-about-vix.html GAT
    Post by: globalarbtrader, May 10, 2018 in forum: Stocks

  12. Study: what happens next to stocks when VIX falls below 14

    7 data points isn't a study. It's a list of anecdotes. GAT
    Post by: globalarbtrader, May 10, 2018 in forum: Stocks

  13. Fully automated futures trading

    No % per position, 25% total. Same question was asked at the end of the video. GAT
    Post by: globalarbtrader, May 9, 2018 in forum: Journals

  14. Oh no, not another python backtester...

    2. is because of costs GAT
    Post by: globalarbtrader, May 9, 2018 in forum: Programming

  15. Fully automated futures trading

    [MEDIA]
    Post by: globalarbtrader, Apr 30, 2018 in forum: Journals