Not really. Its a stat I look at, but not part of the formal design. I'm looking for all the characteristics of a positive skew, momentum style,...
Well the multibillion dollar fund I used to work at used, in the seven years I was there, used Matlab for the equity neutral system and in...
Trades code contractid filled_datetime filledtrade filledprice 3034 ASX 201506 2015-03-20 01:49:56 1...
http://www.elitetrader.com/et/index.php?threads/interactive-brokers-api-wishlist.290380/ This is a cross post. Please reply on the original thread.
Published today on my blog: As regular readers know I use interactive brokers (IB) to run an automated futures trading system. Now in many ways...
Really nice write up of this on bloomberg.
Todays trades code contractid filled_datetime filledtrade filledprice 3023 AUS3 201506 2015-03-19 02:35:05 1...
You could trade futures. However the contract size is CAD100,000. So if you want to hedge in 1/4 account increments your account needs to be at...
I can think of only one other site I bookmarked when I was doing my initial research: quantstart which uses IBPy...
Todays trades code contractid filled_datetime filledtrade filledprice 3008 AUD 201506 2015-03-18 06:27:30 -1...
Things I consider when deciding which contract to trade are: - liquidity (open interest, volume, ) - volatility (higher is better, as reduces...
There is such a thing as a symmetrical moving average - you just defined it. Formally, if it's time T in the past, and we want a 100 wide interval...
Todays trades code contractid filled_datetime filledtrade filledprice 3005 BOBL 201506 2015-03-17 14:39:47 -1...
Are you talking about individual stocks, or 'the market as a whole' (eg trend following the S&P 500 index)?
I don't think we can dispute that trends existed, and still exist. We can look at a dozen charts that will show strong trends over time. What the...
Sure trends have existed for 100 years (https://www.efficient.com/pdfs/A_Century_of_Evidence_on_Trend-Following_Investing.pdf), 200 years...
I did this exercise a few months ago (7th January to be precise). The goal was to put together a cross asset class, low risk, portfolio that could...
Agreed. Eg http://www.ahl.com/ahl-oxford isn't to get people from a 'trading program', it's to get Masters or Phds in econ/stats. I think there...
I don't believe I have an edge. Essentially I think I am just running a dynamic "alternative beta" portfolio, diversified across a relatively...
Todays trades code contractid filled_datetime filledtrade filledprice 2989 AEX 201503 2015-03-16 12:13:43 -1...
Separate names with a comma.