It's not even a regression haha. They only compare 2 price point (t and t-261) and rebalance at a monthly interval. For each instrument, they...
2 GB of memory is insufficient for me, I sometimes encounter some memory leak issue in IB gateway that eats up my memory:...
@globalarbtrader Could I check with you - when you develop your trend following strategy in futures. Do you consciously compare your results...
You can consider using it to collect tick by tick options chain data. Those cost a bomb when you purchase it from vendors.
For fat tail- high kurtosis strategies, trade small. Use fix bets and dont compound your profits.
This backup seems like an overkill. haha!
Martingale is a strategy with positive expected value - BUT only if you have infinite capital. Standard deviation of returns stream is enormous...
Well diversified portfolio all day long. First across asset classes, then strategies. Only free lunch to bring up your risk-adjusted returns. And...
@globalarbtrader @test_user I came across Ernest Chan material on carry/roll returns as a predictor. Instead of using adjacent contract, he...
Was mucking around last time. Wonder if this helps. Under strategy class, define the method. Then below, add a prefix of req (check against...
I believe the official API is also asynchronous. And you have to comb through their official API pages to figure out all the overriding stuff....
For 1 of my strategies, US dollar ate up 40% of my absolute returns and 50% of my risk-adjusted returns from September. I decided to hedge my...
ib_isync package is multiple times easier to use.
Backtest, carry out simulations using monte carlo, boostrapping. Deploy it in paper account for a period of time and monitor performance. If...
Good equity curve. But be careful of overfitting. Try to introduce uncertainty into your backtest by introducing monte carlo simulations,...
Out of topic here. How do you guys cope with IB server outage? like today! My IB gateway can't seem to retrieve data and place orders.
Managed to liquidate my straddle manually. My automated strategy can't retrieve data thru IB gateway. gasp!!!
I must admit that I'm not well verse in HFT area. How about trained models which just read in data and carry out scoring only? There may be...
As an algo trader (with academic background in Economics, Stats, Finance and Comp Science), I steer away from AI techniques. From what I gathered...
@globalarbtrader Thanks for the update. I'm 'greedy' - would love to see 3rd, 4th, 5th and 1st book in that order of preference Personally, I'm...
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