traider's Recent Activity

  1. traider replied to the thread ETF (mostly) trading system development.

    I understand diversification effect of multiple systems. But right now we are evaluating this single system as opposed to simple Buy and...

    Aug 14, 2018 at 4:26 PM
  2. traider replied to the thread ETF (mostly) trading system development.

    you have risk of execution at open. Open is the most volatile time of the day. You need to trade in and out , with fees. BH gets you the...

    Aug 14, 2018 at 3:55 PM
  3. traider replied to the thread ETF (mostly) trading system development.

    You don't gain much from active trading. This is buy and hold 2005 - Aug 2018 RETURNS 130.36% ALPHA 0.03 BETA 0.43 SHARPE 0.75...

    Aug 14, 2018 at 2:24 PM
  4. traider replied to the thread ETF (mostly) trading system development.

    It looks like an always long or 0 system. No short I suspected the same thing as you, system is overtrained on 2000 - 2005. That's why I...

    Aug 14, 2018 at 10:31 AM
  5. traider replied to the thread ETF (mostly) trading system development.

    Can you compare the system's metrics to buy and hold for the various time periods. (esp sharpe) 2000-present 2005-present 2010-present...

    Aug 14, 2018 at 3:13 AM
  6. traider replied to the thread ETF (mostly) trading system development.

    Can you run your system on a random selection of other ETFs? Choose a period that is as long as possible. Or if you can post your code,...

    Aug 13, 2018 at 7:29 PM
  7. traider replied to the thread The Ratio Put Spread That Has Boomed For Mega tech and SPY.

    How feasible is it to execute 6 options at the same time without paying full spread on all of them?

    Aug 13, 2018 at 6:05 PM
  8. traider replied to the thread Which one of you guys made this reddit post.

    Finance SW dev is not as sexy as you think. Also you haven't pinpointed what exactly you have in mind. Do you want to do derivatives...

    Aug 13, 2018 at 5:59 PM
  9. traider replied to the thread ETF (mostly) trading system development.

    How many trades does the system make per year? Is there any optimization involved? Just IBS shouldn't give you such a smooth equity...

    Aug 13, 2018 at 5:03 PM
  10. traider replied to the thread Which one of you guys made this reddit post.

    100M is quite low if he claims to use advanced techniques to harvest alpha. I've seen beta funds managing much more money... But I...

    Aug 13, 2018 at 4:56 PM
  11. traider replied to the thread Day trading derivatives futures..

    Sir Forex has no Level 2/ DOM. It's quite hard to get a precise and good entry.

    Aug 13, 2018 at 9:05 AM
  12. traider replied to the thread TWS with IB Discussion.

    What's q?

    Aug 12, 2018 at 11:41 AM
  13. traider replied to the thread is orderflow the holy grail? Observe these charts.

    You need to specify how many ticks you are trying to predict. If it's too many, it's unrealistic to expect the DOM to tell you as it is...

    Aug 10, 2018 at 2:35 PM
  14. traider liked TheBigShort's post in the thread A Volatility Pattern You'll Want to See Before Earnings in Children's Place (PLCE).

    This is the beauty of marketing. During this week we have a ton of earnings releases. So what this guy did was do this test on 50...

    Aug 10, 2018 at 6:56 AM
  15. traider replied to the thread The secret to buying pre earnings straddles.

    For many trades, isn't it heavily dependent on fill price since option spreads are huge.

    Aug 9, 2018 at 9:43 PM