Recent Content by isotope1

  1. Fully automated futures trading

    [MEDIA]
    Post by: isotope1, Apr 1, 2019 in forum: Journals

  2. Fully automated futures trading

    For anyone that's interested, this came up: https://www.kaggle.com/c/two-sigma-financial-news
    Post by: isotope1, Sep 26, 2018 in forum: Journals

  3. Fully automated futures trading

    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...
    Post by: isotope1, Apr 16, 2018 in forum: Journals

  4. Fully automated futures trading

    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,...
    Post by: isotope1, Apr 7, 2018 in forum: Journals

  5. Fully automated futures trading

    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...
    Post by: isotope1, Apr 6, 2018 in forum: Journals

  6. Fully automated futures trading

    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...
    Post by: isotope1, Apr 6, 2018 in forum: Journals

  7. Fully automated futures trading

    Error fixed - https://github.com/chrism2671/PyTrendFollow Well, we can hope ;)
    Post by: isotope1, Apr 6, 2018 in forum: Journals

  8. Fully automated futures trading

    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.
    Post by: isotope1, Apr 6, 2018 in forum: Journals

  9. Fully automated futures trading

    Not that I'm aware of.
    Post by: isotope1, Mar 14, 2018 in forum: Journals

  10. Fully automated futures trading

    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...
    Post by: isotope1, Mar 14, 2018 in forum: Journals

  11. Fully automated futures trading

    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...
    Post by: isotope1, Mar 14, 2018 in forum: Journals

  12. Fully automated futures trading

    Ah yes- that's right. However, as it trades only once a day, this is the best approach in my opinion.
    Post by: isotope1, Mar 14, 2018 in forum: Journals

  13. Fully automated futures trading

    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...
    Post by: isotope1, Mar 14, 2018 in forum: Journals

  14. Fully automated futures trading

    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...
    Post by: isotope1, Mar 14, 2018 in forum: Journals

  15. Fully automated futures trading

    Couldn't have done it without you! :)
    Post by: isotope1, Mar 14, 2018 in forum: Journals