Eurodollar about the same as you. v2tx 3 contracts out, too volatile at the front end for me. Are you still running the crypto market maker? What...
Thanks. Indeed my system is not trading gas at the moment due to the high volatility. Well, it did open a short in gas recently but the cold spike...
inspired by GATs blog, none of these are thresholded
Here's a reference which I found useful for numpty options traders:...
corn, eurodollar, eurostox, gas, 3ktb, mxp, plat, v2tx only been running a month(ish) most performance coming from eurodollar and v2tx
Cheers, interesting. I'm bootstraping the weights also but I'm only trading 8 instruments at the moment so that likely explains the difference in...
thanks GAT, do you have any references to dive deeper?
What forecast types produces the Sharpe of 0.9? I am getting 0.7 with long moving averages and carry only, target vol of 0.15
Slightly off topic to this thread, but i'm going to anyway as the quality of eyes on here is great! I'd like to get my feet wet with an options...
In the simplest case you would want to determine if a time series is showing mean reverting behaviour over a time window and then act accordingly....
On a daily price level my research indicated that it is irrelevant whether we use close or settlement price. I recreated the provided csv files...
The exchange website, ICE or whatever
The approach I took was to scrape the exchange website and parse the HTML table to get the active contracts. I did this to reduce dependency on IB...
Hi all, after reading Systematic Trading and getting exposed to futures via a similar system, and now reading Smart Portfolios - I wonder what...
Will the uni course be using pysystemtrade? Perhaps you could set them some course work to add some machine learning forecast functions to plug-in :)
It wraps the official API, imposes an ioloop and allows API to be used in none event driven manner.
Another good library for IB: ib_insync on github
The approach I took was incremental building, using as much open source as possible, lifting bits outright or using as template - pysystemtrade...
For a stat. arb. type strategy?
On the topic of IB and python, i've found this library https://github.com/erdewit/ib_insync to be a very useful abstraction of the IB API. It is...
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