@globalarbtrader has published a couple of excellent books. Implementing his ideas would likely get you a Sharpe ratio of ~1: you won't get rich...
Thank you all - I didn't realise end of month settled 15 minutes early!
Hello, confused about something. The settlement price on 30Nov for the Dec contract is 2648. Yet as per:...
I actually like no1: It has more trades so less chance of overfitting and easier to observe that forward testing matches backtesting. The ratio...
On any short time frame (say less than a week), mechanical is, in my opinion, superior and has already won. It's not that machines are so much...
Linux Mint with Cinnamon best option if you're coming from Windows background and want to be hassle free. As someone mentioned earlier - Linux...
Yeah it works, and as mentioned before the key is consistency. Say your PnL = F(X1...Xn, C) with X your parameters and C your cost. I'd first set...
I would say it depends on your timescale and style. I do a lot of mean-reversion / contrarian trades, and I find that if things don't rebound...
I think scalability is a major issue - there are very few markets where you can deploy the kind of cash that trend followers now have, so they all...
Two considerations: 1/Instruments you'll trade. Take equity index futures. CFD you often get raped on bid/offer which limits the type of...
maybe also post the TWS API group at groups.io
Anaconda installation will come with everything you need, the main package for data analysis is pandas. People tend to script with iPython which...
What I also like doing is using several different data feeds - there are subtle differences between providers and you want to make sure your...
I think you'll save yourself time by learning Python (with pandas library). Syntax extremely similar to Matlab and you'll find countless existing...
Historical data is downloaded once on your computer - you can select the source you want, but given it runs locally it will be fast anyway. As...
I think it's great work. Have you tried different currency pairs? That would effectively be a clean out-of-sample backtest. Would running the...
Just curious what people think of these kind of ads: https://uk.linkedin.com/jobs/view/262204610 I've seen many of these, asking for live P&L...
@globalarbtrader you make good points as always but I'm surprised you need that much specs for a trading machine. I use a Linode with 4GB memory...
Someone at IB was kind enough to spend some time explaining me how things work. It seems quite complicated, this is my recollection /...
Thanks a lot for your replies! @Sig and @Tim Smith : does it matter if your margin account is actually levered? Say you have a 200k margin...
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