there's a tradeoff, less trades, less sharpe
Hey max, how much does it cost per month for esignal data? Not incl forex.
Do you get lots of historical data as well?
What time frame is that chart in?
Do you adjust your window size all the time. Because the smaller time frames are unlikely to have a window that...
how do u play this? Spot or futures? Do you get good swap rates that can last you till the break happens?
I understand diversification effect of multiple systems. But right now we are evaluating this single system as opposed to simple Buy and hold.
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 same...
You don't gain much from active trading. This is buy and hold 2005 - Aug 2018
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 asked for...
Can you compare the system's metrics to buy and hold for the various time periods. (esp sharpe)
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, I will try...
How feasible is it to execute 6 options at the same time without paying full spread on all of them?
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 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 curve.
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 guess he must...
Sir Forex has no Level 2/ DOM.
It's quite hard to get a precise and good entry.
Separate names with a comma.